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Summary

User supplied summary for the plot

Effective yield to maturity on all 16 Norwegian government bonds (NST series), updated daily after market close.

Sondov Engen (@sen)1 point·permalink
Just a thought, but could be nice to add a hover that shows various bond info and price development (maybe even a line chart)
Terje Tofteberg (@trt)·permalink
Added some context. I like clicking better, since it works on your phone as well.
Sondov Engen (@sen)·permalink
Neat!!
Terje Tofteberg (@trt)·permalink
Hi Sondov Engen, is it possible to do equations in the Description as we do in Documents? That would be cool here.
Sondov Engen (@sen)1 point·permalink
Hi Terje Tofteberg, this should be possible in the next release!

Description

The below description is supplied in free-text by the user

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).