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Developments in the Greek government bond market: May 2011

20/06/2011 - Press Releases

On the electronic secondary securities market for Greek government bonds (HDAT), prices fell and yields rose in May, with the exception of the 5- and 7-year benchmark bonds that recorded significant gains. In the rest of the so-called “peripheral” euro area government securities markets, prices exhibited a similar trend while, on the contrary, prices increased in countries with the highest sovereign credit rating.

In particular, with regard to Greek government benchmark bond prices, the 3-year bond price fell to 60.79 at the end of May from 61.29 at the end of April, the 10-year bond price declined to 54.59 from 55.94 and the 30-year bond price to 44.23 from 50.16, respectively. In contrast, the 5-year bond price rose to 61.68 at the end of May from 59.68 at the end of April and the 7-year bond price rose to 58.00 from 56.04 respectively.

As for Greek government bond yields, the 3-year benchmark bond yield increased by 94 basis points (bps) to 24.61% at the end of May, the 10-year benchmark bond yield rose by 52 bps to 16.11% and the 30-year benchmark bond yield by 124 bps to 11.06%. On the contrary, the 5- and the 7-year benchmark bond yields declined respectively by 73 bps, to 20.40%, and by 69 bps, to 18.04%. As a result, the yield curve remained inverted and flattened slightly, with the difference between the 30- and the 3-year bond yields reaching the level of -1,354 bps at the end of May from -1,384 bps at the end of April.

The average monthly spread between the Greek and the German 10-year bond yields was 1,281 bps in May, compared with 1,049 bps in April.

Trading volume on HDAT in May declined to EUR 695 million compared with EUR 1.40 billion in the previous month and EUR 1.39 billion in May 2010. The daily average turnover was EUR 31.6 million compared with EUR 73.9 million during the previous month. Investors’ interest was mainly focused on bonds with maturities under 5 years, which attracted EUR 514 million worth of transactions, or 74% of the overall trading volume. Out of the 639 orders executed on HDAT, 62.4% were “sell” orders and 37.6% “buy” orders.





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