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Developments in the Greek government bond market : December 2010

13/01/2011 - Press Releases

Government bond prices fell and yields rose significantly in the US and the so-called ”core” euro area markets in December, with the exception of short-term German and French bond yields that were almost unchanged. On the contrary, gains were recorded in the rest of the euro area markets, with the exception of Greece.

On the electronic secondary securities market for Greek government bonds (HDAT), prices fell and yields rose during December, particularly at the short end of the yield curve. The only exception was represented by the 30-year benchmark bond whose price and yield, at the end of December, were unchanged at the levels of November 30. The 5-year benchmark bond yield recorded the highest increase, by 124 basis points (bps), to 13.67% at the end of December and the 3-year benchmark bond yield rose by 110 bps to 14.33%. In the longer tenors, the 10-year benchmark bond yield recorded an increase of 55 bps to 12.55% at the end of the month, while the 15-year benchmark bond yield rose by 46 bps to 11.10%. As a result, the yield curve remained inverted, while the difference between the 30- and the 3-year bond yields reached -501 bps at the end of December from -391 bps at the end of November.

The spread between the Greek and the German 10-year bond yields widened slightly to an average of 906 bps in December compared with 897 bps in November.

As for government benchmark bond prices, the 3-year bond price fell to 81.37 at the end of December from 82.70 at the end of November, the 5-year bond price fell to 74.85 from 78.02, the 10-year bond price to 66.01 from 68.14 and, finally, the 30-year bond price remained virtually unchanged at 52.91 on December 31 compared with 52.90 on November 30.

Trading volume on HDAT in December declined sharply to EUR 268 million, compared with EUR 926 million in the previous month and EUR 17.5 billion in December 2009. The daily average turnover was EUR 11.7 million in December compared with EUR 42.1 million during the previous month. The most actively traded bond during the month was the 3-year bond maturing on March 20, 2011, with EUR 68 million worth of transactions. Of the 263 orders executed on HDAT, 61.2% were “sell” orders and 38.8% “buy” orders.





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