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Developments in the Greek government bond market: June 2011

12/07/2011 - Press Releases

On the electronic secondary securities market (HDAT), prices for most Greek government bonds fell and yields rose in June, particularly at the short end of the yield curve, while, on the contrary, the 10- and the 15-year benchmark bonds recorded modest gains. In the rest of the so-called “peripheral” euro area government securities markets, prices fell and yields rose. In countries with the highest sovereign credit rating, such as Germany and the US, government bond performance was mixed.

In particular, with regard to Greek government benchmark bond prices, the 5-year bond price, which recorded the highest losses, fell to 56.99 at the end of June from 61.68 at the end of May and the 3-year bond price fell to 58.90 from 60.79. In the longer tenors, the 10-year bond price rose to 54.66 at the end of June from 54.59 a month earlier, the 15-year bond price rose to 48.00 from 46.75 while, in contrast, the 30-year bond price declined to 43.51 from 44.23.

As for Greek government bond yields, the 3-year benchmark bond yield increased by 200 basis points (bps) to 26.61% at the end of June, the 10-year benchmark bond yield rose by 5 bps to 16.16% and the 30-year benchmark bond yield by 18 bps to 11.24%. As a result, the yield curve remained inverted and steepened considerably, with the difference between the 30- and the 3-year bond yields reaching the level of -1,537 bps at the end of June from -1,354 bps at the end of May.

The average monthly spread between the Greek and the German 10-year bond yields was 1,371 bps in June, compared with 1,281 bps in May.

Trading volume on HDAT in June declined to EUR 368 million compared with EUR 695 million in the previous month and EUR 1.57 billion in June 2010. The daily average turnover was EUR 17.5 million compared with EUR 31.6 million during the previous month. Investors’ interest was mainly focused on bonds with maturities under 3 years, which attracted EUR 222 million worth of transactions, or 60% of the overall trading volume. Out of the 345 orders executed on HDAT, 69.6% were “sell” orders and 30.4% “buy” orders.



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