Yield curve of Norwegian treasuries by @trt

Data

All 16 Norwegian government bonds (Statsobligasjoner) in the NST series, listed on Oslo Børs.

Yields are effective buy/sell yields (effektiv kjøps-/salgsrente) — equivalent to yield to maturity (YTM). Sourced from Norges Bank's securities database, dataset SEC.

BY (kjøpsrente): yield at the best ask — what you receive buying at market
AY (salgsrente): yield at the best bid — what the seller receives
The shaded band between BY and AY reflects the bid-ask spread, a proxy for liquidity. Short-end bonds (under 1 year) typically show wider spreads (7–10 bp) than longer maturities (2–4 bp).

Yield curve model

The smooth curve is a Nelson-Siegel fit — an industry-standard 3-parameter model:

y(\tau) = \beta_0 + \beta_1 \cdot \frac{1 - e^{-\tau/\lambda}}{\tau/\lambda} + \beta_2 \cdot \left( \frac{1 - e^{-\tau/\lambda}}{\tau/\lambda} - e^{-\tau/\lambda} \right)

Parameters (\beta_0, \beta_1, \beta_2) are estimated daily via OLS with a grid search over \lambda. Bonds deviating more than ±3 bp from the fitted curve are flagged as cheap (above curve, green) or rich (below curve, amber). Deviations within ±3 bp are within model noise and should not be interpreted as trading signals. This is not investment advice.

Update schedule

Updated on Norwegian business days shortly after market close (15:30 UTC).

Yield curve of Norwegian treasuries

Summary

Description

Data

Yield curve model

Update schedule