Greek govt bonds

April 28, 2010

The price action on Greek government bonds over the last couple of days has been staggering. I’ve been watching the short end 2yr GGBs. Yesterday the yield went out from 14% in the morning, through 15% to 16% in the afternoon. This morning the yield hit 20% on the 2012 GGBs. At the time of writing it’s calmed down to 17%. This compares to yields of 0.8 to 2% for benchmark EGBs, depending on coupon.

For those not familiar with fixed income pricing, yields are inversely proportional to prices. Rising yields means falling prices. Prices are quotes as percentage of par. For benchmark German, French, Belgian or Dutch EGBs short end prices are ~99 to 105% of par. Bear in mind the coupons !  Those high GGB yields mean investors and speculators are only prepared to pay ~67% or 77% of par. Which reflects the market’s view of the default risk.

The flows are intriguing too, but I won’t comment here 😉


3 Responses to “Greek govt bonds”

  1. Paul Blank Says:

    S&P just downgraded Spain, so we should see the contagion spreading!

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