Developments in the Greek government bond market - October 2003
10/11/2003 - Press Releases
deteriorated on international bond markets during October. The economic data released during the month provided further evidence that the pace of global
growth is accelerating. The strength of the economic data had a greater impact
on investors’ confidence than the reassuring comments by the FED at its
October meeting. The FED reiterated the recent accommodative stance, suggesting that interest rates will remain low for a considerable period of time.
of Greek government bonds trading on the electronic secondary securities market
(HDAT) was in line with the rest of the euro-zone. The upgrade of the Greek long-term
debt by the rating agency Fitch (from A to A+) had only a muted market impact
with the yield spread between the Greek and the German 10-year benchmark bond
narrowing temporarily to 11 basis points (bps), whereas the monthly average
yield spread for October widened to 13 bps from 12 bps in September. Overall
Greek bond prices declined in the range of 92-257 basis points erasing all the
gains made during September. The 10-year benchmark bond (maturing on
) closed at 101.05 (with a yield of 4.45%) on October 31 compared to 103.27
(4.17%) at the end of September. The 20-year bond (maturing on
) recorded the highest price decline, from 112.61 (4.87%) at the end of October
to 110.04 (5.06%) a month earlier, and the 3-year bond (maturing
) the smallest, closing at 99.25 (3.04%) at the end of October compared to
100.17 (2.68%) on September 30.
curve shifted upwards and flattened considerably during October as yields at the
short end of the curve rose 36-39 bps (3 and 5year yields) compared to 19 bps at
the long end (20-year yield). The 3- to 20-year bond yield spread narrowed to
202 bps from 219 bps at the end of September.
turnover on HDAT surged in October to EUR 79.72 billion, the highest level
recorded so far, up from EUR 65.20 billion in September and compared to EUR
69.30 billion in October 2002. More than half of this volume (52%) was
concentrated on bonds with remaining maturity between 7 and 10 years. The
10-year benchmark bond recorded the highest traded volume amongst individual
bonds on HDAT with EUR 23.2 billion. Its liquidity, as measured by the ratio of
the monthly traded volume over the amount outstanding, rose to 341% in October
from 229% in September. Of the 13,858 orders executed in HDAT during October,
50.73% were “buy” orders and 49.27% “sell” orders.