{"series":{"id":"cmb-10y-estimate","label":"Canada Mortgage Bond 10-year yield, estimated daily","description":"Sphera estimate of the 10-year Canada Mortgage Bond yield on each business day: the 10-year Government of Canada benchmark yield plus the initial spread at the latest 10-year syndication on or before that day. Not an observed market yield.","unit":"percent","frequency":"daily","category":"cmb","citation":"Sphera estimate derived from Bank of Canada data (Source: Bank of Canada)","derived":true,"formula":"goc-10y(t) + cmb-10y-new-issue-spread(latest issue on or before t) / 100","first_date":"2024-02-14","latest":{"date":"2026-10-01","value":4.16},"csv_url":"https://data.spheracredit.com/api/v1/series/cmb-10y-estimate.csv","methodology":{"source":"Sphera Credit calculation from two Bank of Canada series: goc-10y (Valet series BD.CDN.10YR.DQ.YLD) and cmb-10y-new-issue-spread (Valet group CMB_PURCH).","definition":"An estimate, in percent, of the 10-year Canada Mortgage Bond yield on a business day, assuming the spread over the Government of Canada benchmark is still the initial spread at the latest 10-year syndication. It is not an observed market yield.","calculation":"For each business day t with a goc-10y value on or after the first 10-year syndication: goc-10y(t) + S / 100, where S is the initial spread in basis points at the latest 10-year syndication with a trade date on or before t. On a syndication day, that day's spread is used. Rounded to three decimal places.","timing":"Daily on business days, dated like goc-10y. It moves with the benchmark yield every day and with the spread only when a new syndication is published.","caveats":["Spreads move between syndications, so the estimate can drift away from where Canada Mortgage Bonds trade as the last syndication ages.","On a syndication day it need not equal the published purchase yield: on August 19, 2026 the estimate was 3.91% (3.69% plus 22.0 basis points) against a published yield of 3.891%.","It inherits the benchmark bond changes of goc-10y: when the Bank of Canada switches the 10-year benchmark bond, the estimate moves with it."],"references":[{"title":"Bank of Canada: Selected bond yields","url":"https://www.bankofcanada.ca/rates/interest-rates/canadian-bonds/"},{"title":"Bank of Canada: Canada Mortgage Bonds, Government purchases and holdings","url":"https://www.bankofcanada.ca/markets/canada-mortgage-bonds-government-purchases-and-holdings/"}]}},"observations":[["2024-02-14",3.945],["2024-02-15",3.935],["2024-02-16",3.975],["2024-02-20",3.895],["2024-02-21",3.935],["2024-02-22",3.925],["2024-02-23",3.855],["2024-02-26",3.885],["2024-02-27",3.945],["2024-02-28",3.915],["2024-02-29",3.875],["2024-03-01",3.825],["2024-03-04",3.845],["2024-03-05",3.755],["2024-03-06",3.735],["2024-03-07",3.745],["2024-03-08",3.725],["2024-03-11",3.735],["2024-03-12",3.785],["2024-03-13",3.815],["2024-03-14",3.915],["2024-03-15",3.935],["2024-03-18",3.995],["2024-03-19",3.915],["2024-03-20",3.875],["2024-03-21",3.905],["2024-03-22",3.835],["2024-03-25",3.875],["2024-03-26",3.885],["2024-03-27",3.835],["2024-03-28",3.845],["2024-04-01",3.985],["2024-04-02",4.005],["2024-04-03",3.985],["2024-04-04",3.935],["2024-04-05",3.975],["2024-04-08",4.005],["2024-04-09",3.945],["2024-04-10",4.085],["2024-04-11",4.115],["2024-04-12",4.035],["2024-04-15",4.135],["2024-04-16",4.125],["2024-04-17",4.085],["2024-04-18",4.145],["2024-04-19",4.125],["2024-04-22",4.145],["2024-04-23",4.155],["2024-04-24",4.185],["2024-04-25",4.245],["2024-04-26",4.215],["2024-04-29",4.155],["2024-04-30",4.215],["2024-05-01",4.155],["2024-05-02",4.115],["2024-05-03",4.045],["2024-05-06",4.005],["2024-05-07",3.965],["2024-05-08",4.025],["2024-05-09",4.015],["2024-05-10",4.085],["2024-05-13",4.075],["2024-05-14",4.075],["2024-05-15",3.965],["2024-05-16",3.97],["2024-05-17",4.03],["2024-05-21",3.98],["2024-05-22",4],["2024-05-23",4.03],["2024-05-24",4.01],["2024-05-27",4.03],["2024-05-28",4.1],["2024-05-29",4.16],["2024-05-30",4.11],["2024-05-31",4.03],["2024-06-03",3.93],["2024-06-04",3.85],["2024-06-05",3.79],["2024-06-06",3.8],["2024-06-07",3.87],["2024-06-10",3.91],["2024-06-11",3.88],["2024-06-12",3.8],["2024-06-13",3.73],["2024-06-14",3.69],["2024-06-17",3.72],["2024-06-18",3.67],["2024-06-19",3.7],["2024-06-20",3.74],["2024-06-21",3.75],["2024-06-24",3.75],["2024-06-25",3.78],["2024-06-26",3.88],["2024-06-27",3.88],["2024-06-28",3.91],["2024-07-02",4.02],["2024-07-03",3.98],["2024-07-04",4.01],["2024-07-05",3.91],["2024-07-08",3.88],["2024-07-09",3.9],["2024-07-10",3.88],["2024-07-11",3.84],["2024-07-12",3.81],["2024-07-15",3.82],["2024-07-16",3.76],["2024-07-17",3.75],["2024-07-18",3.78],["2024-07-19",3.8],["2024-07-22",3.82],["2024-07-23",3.8],["2024-07-24",3.8],["2024-07-25",3.78],["2024-07-26",3.73],["2024-07-29",3.69],["2024-07-30",3.64],["2024-07-31",3.59],["2024-08-01",3.52],["2024-08-02",3.41],["2024-08-06",3.53],["2024-08-07",3.56],["2024-08-08",3.59],["2024-08-09",3.52],["2024-08-12",3.49],["2024-08-13",3.44],["2024-08-14",3.42],["2024-08-15",3.525],["2024-08-16",3.515],["2024-08-19",3.525],["2024-08-20",3.465],["2024-08-21",3.465],["2024-08-22",3.525],["2024-08-23",3.485],["2024-08-26",3.505],["2024-08-27",3.515],["2024-08-28",3.535],["2024-08-29",3.585],["2024-08-30",3.615],["2024-09-03",3.515],["2024-09-04",3.445],["2024-09-05",3.425],["2024-09-06",3.415],["2024-09-09",3.385],["2024-09-10",3.355],["2024-09-11",3.365],["2024-09-12",3.365],["2024-09-13",3.355],["2024-09-16",3.315],["2024-09-17",3.355],["2024-09-18",3.385],["2024-09-19",3.385],["2024-09-20",3.395],["2024-09-23",3.395],["2024-09-24",3.405],["2024-09-25",3.465],["2024-09-26",3.465],["2024-09-27",3.405],["2024-10-01",3.395],["2024-10-02",3.475],["2024-10-03",3.545],["2024-10-04",3.655],["2024-10-07",3.695],["2024-10-08",3.695],["2024-10-09",3.705],["2024-10-10",3.685],["2024-10-11",3.665],["2024-10-15",3.585],["2024-10-16",3.555],["2024-10-17",3.605],["2024-10-18",3.585],["2024-10-21",3.675],["2024-10-22",3.675],["2024-10-23",3.705],["2024-10-24",3.685],["2024-10-25",3.715],["2024-10-28",3.715],["2024-10-29",3.715],["2024-10-30",3.705],["2024-10-31",3.675],["2024-11-01",3.735],["2024-11-04",3.695],["2024-11-05",3.705],["2024-11-06",3.765],["2024-11-07",3.675],["2024-11-08",3.635],["2024-11-12",3.715],["2024-11-13",3.765],["2024-11-14",3.68],["2024-11-15",3.67],["2024-11-18",3.67],["2024-11-19",3.72],["2024-11-20",3.78],["2024-11-21",3.86],["2024-11-22",3.84],["2024-11-25",3.71],["2024-11-26",3.67],["2024-11-27",3.63],["2024-11-28",3.62],["2024-11-29",3.47],["2024-12-02",3.46],["2024-12-03",3.52],["2024-12-04",3.47],["2024-12-05",3.47],["2024-12-06",3.38],["2024-12-09",3.43],["2024-12-10",3.42],["2024-12-11",3.48],["2024-12-12",3.54],["2024-12-13",3.57],["2024-12-16",3.58],["2024-12-17",3.54],["2024-12-18",3.62],["2024-12-19",3.74],["2024-12-20",3.67],["2024-12-23",3.68],["2024-12-24",3.69],["2024-12-27",3.7],["2024-12-30",3.64],["2024-12-31",3.63],["2025-01-02",3.62],["2025-01-03",3.63],["2025-01-06",3.63],["2025-01-07",3.7],["2025-01-08",3.72],["2025-01-09",3.74],["2025-01-10",3.84],["2025-01-13",3.9],["2025-01-14",3.94],["2025-01-15",3.81],["2025-01-16",3.74],["2025-01-17",3.7],["2025-01-20",3.68],["2025-01-21",3.65],["2025-01-22",3.7],["2025-01-23",3.72],["2025-01-24",3.68],["2025-01-27",3.59],["2025-01-28",3.6],[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