Norway - Average Long-term Government Bond

Each day, Norges Bank publishes a compendium of interest rates with a one-day lag, including NIBOR (nominal and effective) from overnight to one year, and government securities (three months to ten years).

Sovereign yields

Active:

• Method: Zero-coupon yield
• Measurement: Percent per annum (% p.a.)
• Adjustment: Not seasonally adjusted (NSA)
• Native frequency: Business daily
• Start date: Uniformly 2 January 2019

Predecessor:

• Synthetic yield - As early as 1985 to 2021

NOWA

The interest rate on unsecured overnight interbank loans between banks that are active in the Norwegian overnight market. Based on actual transactions, so suitable a risk-free alternative reference rate. Established in 2011. Administration transferred from Finans Norges to Norges Bank on 1 January 2020.

NIBOR

The Norwegian Inter-Bank Offered Rate (the money market interest rate). Both nominal and effective rates are published, for nine maturities: overnight, 1- and 2-week, 1-, 2-, 3-, 6-, 9- and 12-month.

After omitting low and high rates based on provisions outlined in the rules, the Nibor panel banks submit interest rates for each maturity. Nibor is calculated as a simple average of these interest rates.

An individual panel bank submits interest rates that reflect the interest rates the bank would charge on lending in NOK to a leading bank that is active in the Norwegian money and foreign exchange markets. The rates should be regarded as the best possible estimates of the market rates, but not as binding offers.

Nibor is published as an annual nominal interest rate over 360 days, which is standard in the foreign exchange market. The percentage return over the term is calculated by dividing the interest rate by 360 and multiplying it by the actual number of days to maturity.

Treasury bills

Zero-coupon government securities with an original security of less than one year. At maturity, the holder is Normally issued at the beginning of each month as well as in connection with IMM dates each year. Published: rates on 3-, 6-, 9- and 12-month maturities.

Government bonds

Interest-bearing securities with an original maturity of more than one year, and normally between two and eleven years. Interest is payable at the coupon rate on a specific date once a year, over the life of the bond. At maturity, the bondholder is paid the face value of the bond in addition to the coupon rate, which reflects the market rate at the time that the bond was first issued. Published: rates on 3-, 5- and 10-year maturities.

IMM dates

The third Wednesday in March, June, September and December. New 12-month Treasury bills are issued on IMM dates.

The data for the 10-year rate refers to the par yield rates.

Long term (in most cases 10 year) government bonds are the instrument whose yield is used as the representative "interest rate" for this area. Generally the yield is calculated at the pre-tax level and before deductions for brokerage costs and commissions and is derived from the relationship between the present market value of the bond and that at maturity, taking into account also interest payments paid through to maturity. (https://stats.oecd.org/index.aspx?queryid=86).

Moody's Analytics supplements

For the yield on 10-year government debt, we back-extend.

Daily interest rates are not revised after they are first published.

Further reading

Norges Bank:

• Interest rates
• Nowa - Norwegian Overnight Weighted Average
• Report with a recommendation for an alternative reference rate in NOK (Sep 2019, pdf)

Finans Norge:

• Nowa - Norwegian Overnight Weighted Average (Norwegian)

Third-party commentary:

• BAHR » Finance | What next for NIBOR? (Jun 2019)
• Clarus Financial Technology » NOK rates - NIBOR and NOWA (Apr 2019)