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Developments in the Greek government bond market – September 2010

13/10/2010 - Press Releases

Government bond prices fell and yields rose on Euro-zone markets in September, with the exception of Greece. In the US, small losses were recorded at the long end of the yield curve while short-term government bond prices rose and yields fell.

On the electronic secondary securities market for Greek government bonds (HDAT) yields fell significantly during September, in particular at the short end of the yield curve. The major decline was recorded in the 3-year benchmark bond yield that fell by 176 basis points (bps) to 10.45% at the end of September, while the 10-year benchmark bond yield fell by 101 bps to 10.48% and the 30-year benchmark bond yield by 75 bps to 8.51%. The yield curve remained inverted, with the difference between the 30- and the 3-year bond yields reaching -193 bps at the end of September from -295 bps at the end of August. Finally, the spread between the Greek and the German 10-year bond yields narrowed to 824 bps at the end of September from 937 bps on August 31.

As for government benchmark bond prices, the 3-year bond price rose to 87.05 at the end of September from 83.19 at the end of August, the 10-year bond price rose to 74.80 from 69.94 and the 30-year bond price to 58.00 from 53.18.

Trading volume on HDAT in September was EUR 1.8 billion, compared to EUR 819 million in the previous month and EUR 51.8 billion in September 2009. The daily average turnover was EUR 82.7 million in September compared with EUR 37.2 million during the previous month. Investor interest was mainly focused on bonds with remaining maturity below 3 years, which absorbed EUR 1 billion worth of transactions, or 55% of the overall traded volume. The most actively traded bond during the month was the 3-year bond maturing on March 20, 2011 with EUR 451 million worth of transactions. Of the 1,400 orders executed on HDAT, 57% were “sell” orders and 43% “buy” orders.





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