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Developments in the Greek government bond market - November 2006

05/12/2006 - Press Releases

On international markets, government bonds traded higher in November and yields fell across all maturities and particularly on US long-term bonds, as both 10 and 30-year benchmark bond yields fell by around 15 basis points (bps) in the US while in the Euro-zone by 6 and 2 bps respectively. On short-term maturity bonds (3-year) yields fell by 11 bps in the US and around 5 bps in the Euro-zone. The main factor leading to this performance was economic data released in the US, confirming the pattern seen during the past few months of slower economic growth, relatively weaker business and consumer confidence surveys and a moderation of inflationary pressures. On the contrary, in the Euro-zone, the economic data released during November continued to show positive developments. In addition, the repeated warnings by members of the European Central Bank Governing Council about the need of remaining vigilant on inflation led investors to anticipate higher official interest rates in the coming months.

On the Greek electronic secondary securities market (HDAT), benchmark bond yields fell along the whole maturity spectrum, in line with the performance seen in the rest of the Euro-zone markets. More specifically, 3-year bond yields fell by around 6 bps to 3.75% at the end of November from 3.82% at the end of October whereas 10 and 30-year bond yields fell respectively by 9 and 5 bps to 3.97% and 4.24% from 4.05% and 4.29%, thereby recovering all the losses recorded during October. As a result, the yield curve (measured as the yield difference between the 30 and the 3-year bond yields) steepened slightly to 48 bps at the end of November from 47 bps at the end of October. Finally, the average monthly spread between the Greek and the German 10-year benchmark bond yields narrowed further in November to 26 bps from 29 bps October.

Benchmark bond prices increased in the range of 18 – 90 bps in November. The 3-year bond price rose by 18 bps to 99.12 at the end of November from 98.94 on October 31. The 10-year bond price rose by 69 bps to 97.03 from 96.34 and the 30-year bond, which recorded the highest gains, closed at 104.47 on November 30 compared to 103.57 on October 31.

Trading volume on HDAT in November recorded EUR 64.56 billion worth of transactions compared to EUR 52.64 billion in October and to EUR 74.68 billion in November 2005. The daily average turnover was EUR 2.93 billion compared to EUR 2.39 billion in October. Trading activity was mainly focused on bonds with remaining maturity between 7 and 10 years, which absorbed EUR 41.13 billion worth of transactions, or 64% of the overall traded volume. The most actively traded bond was the 10-year benchmark with EUR 29.4 billion worth of transactions followed by the 10-year bond, maturing on 20/7/2015, with EUR 7.7 billion. Of the 11,599 orders executed on HDAT, 50.48% were “buy” orders and 49.52% “sell” orders.

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