Norges Bank

Sovereign yields – synthetic yields no longer updated

The synthetic yield series for both Treasury bills and government bonds were updated for the last time on 30 June 2021. 

Data series

Updated until 30 June 2021

Treasury bills - daily data (xlsx)

Treasury bills - annual data (xlsx)

Government bonds - daily data (xlsx)

Government bonds - annual data(xlsx)

Background for terminating the series

Historically, synthetic yields were published because there were few bond issues outstanding and a wide variation in residual terms to maturity for the different bonds. There was thus a need to interpolate (or extrapolate) in order to estimate the maturity segments three, five and 10 years.

Today the situation is different. Government Debt Management’s strategy has been to issue a new 10-year bond every year. From 2023 onward, a bond will mature every year. There will therefore always be a bond with a residual term to maturity of close to two, three, five, seven or 10 years. Norges Bank publishes these generic yields every business day at 4:15 pm.

Daily prices and yields for Norwegian government securities

It is also often the case that bonds along the yield curve usually pay different coupons. Bonds with different coupons are not directly comparable. Two bonds with the same redemption date, but with different coupons, will not have the same effective yield. The reason is that they generate different cash flows and thus do not have the same present value. This is often referred to as the coupon effect. The observed effective yields on coupon bonds must be expressed in a standardised form before they can be used to calculate forward rates, for example. Deriving zero coupon yields from effective bond yields makes it possible to compare bonds with different coupons. Norges Bank publishes zero coupon yields with maturities from six months to 10 years every business day right after 9:00 am.

Zero coupon yields


Edited 18 November 2022 15:00
Edited 18 November 2022 15:00