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Developments in the Greek government bond market: January 2011

16/02/2011 - Press Releases

Government bond performance was mixed on international markets in January. In the US, long-term bond prices fell and yields rose while short-term bonds recorded small gains. In the euro area, German and French government bonds recorded significant losses, with short-term yields reaching the highest levels seen during the past two years. In addition, in the so-called “peripheral” euro area markets, prices fell and yields rose slightly, with the exception of Greece, where strong gains were reported along the whole maturity spectrum.

On the electronic secondary securities market for Greek government bonds (HDAT), prices rose and yields fell considerably during January. Specifically, the 3-year benchmark bond yield fell by 113 basis points (bps), to 13.20%, at the end of January, the 10-year benchmark bond yield fell by 112 bps, to 11.43% and the 30-year benchmark bond yield by 68 bps to 8.64%. As a result, the yield curve flattened while remaining inverted, with the difference between the 30- and the 3-year bond yields reaching -456 bps at the end of January from -501 bps at the end of December.

The spread between the Greek and the German 10-year bond yields declined significantly to an average of 867 bps in January compared with 906 bps in December.

As for government benchmark bond prices, the 3-year bond price rose to 83.78 at the end of January from 81.37 at the end of December, the 10-year bond price to 70.97 from 66.01 and the 30-year bond price to 57.20 from 52.91.

Trading volume on HDAT in January rose to EUR 707 million, compared with EUR 268 million in the previous month and EUR 21.1 billion in January 2010. The daily average turnover was EUR 35.4 million in January compared with EUR 11.7 million during the previous month. The most actively traded bond during the month was the 10-year benchmark with EUR 115 million worth of transactions, followed by the 5-year benchmark with EUR 91 million. Buying interest in HDAT intensified in January. Οf the 661 orders executed, “buy” orders represented 57% and “sell” orders represented 43%.

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