{"series":{"id":"cmb-5y-estimate","label":"Canada Mortgage Bond 5-year yield, estimated daily","description":"Sphera estimate of the 5-year Canada Mortgage Bond yield on each business day: the 5-year Government of Canada benchmark yield plus the initial spread at the latest 5-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-5y(t) + cmb-5y-new-issue-spread(latest issue on or before t) / 100","first_date":"2024-03-13","latest":{"date":"2026-10-01","value":3.75},"csv_url":"https://data.spheracredit.com/api/v1/series/cmb-5y-estimate.csv","methodology":{"source":"Sphera Credit calculation from two Bank of Canada series: goc-5y (Valet series BD.CDN.5YR.DQ.YLD) and cmb-5y-new-issue-spread (Valet group CMB_PURCH).","definition":"An estimate, in percent, of the 5-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 5-year syndication. It is not an observed market yield.","calculation":"For each business day t with a goc-5y value on or after the first 5-year syndication: goc-5y(t) + S / 100, where S is the initial spread in basis points at the latest 5-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-5y. 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 September 17, 2026 the estimate was 3.67% (3.54% plus 13.0 basis points) against a published yield of 3.664%.","It inherits the benchmark bond changes of goc-5y: when the Bank of Canada switches the 5-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":[["2024-03-13",3.745],["2024-03-14",3.845],["2024-03-15",3.865],["2024-03-18",3.915],["2024-03-19",3.815],["2024-03-20",3.765],["2024-03-21",3.795],["2024-03-22",3.725],["2024-03-25",3.755],["2024-03-26",3.775],["2024-03-27",3.745],["2024-03-28",3.755],["2024-04-01",3.885],["2024-04-02",3.885],["2024-04-03",3.865],["2024-04-04",3.825],["2024-04-05",3.865],["2024-04-08",3.895],["2024-04-09",3.835],["2024-04-10",3.985],["2024-04-11",4.015],["2024-04-12",3.935],["2024-04-15",4.015],["2024-04-16",4.005],["2024-04-17",3.975],["2024-04-18",4.035],["2024-04-19",4.015],["2024-04-22",4.035],["2024-04-23",4.035],["2024-04-24",4.065],["2024-04-25",4.135],["2024-04-26",4.105],["2024-04-29",4.055],["2024-04-30",4.115],["2024-05-01",4.055],["2024-05-02",4.005],["2024-05-03",3.915],["2024-05-06",3.895],["2024-05-07",3.875],["2024-05-08",3.925],["2024-05-09",3.925],["2024-05-10",4.015],["2024-05-13",4.005],["2024-05-14",4.005],["2024-05-15",3.885],["2024-05-16",3.885],["2024-05-17",3.935],["2024-05-21",3.875],["2024-05-22",3.905],["2024-05-23",3.925],["2024-05-24",3.925],["2024-05-27",3.955],["2024-05-28",4.005],["2024-05-29",4.055],["2024-05-30",4.005],["2024-05-31",3.915],["2024-06-03",3.825],["2024-06-04",3.745],["2024-06-05",3.655],["2024-06-06",3.675],["2024-06-07",3.745],["2024-06-10",3.765],["2024-06-11",3.735],["2024-06-12",3.655],["2024-06-13",3.585],["2024-06-14",3.555],["2024-06-17",3.585],["2024-06-18",3.49],["2024-06-19",3.52],["2024-06-20",3.57],["2024-06-21",3.57],["2024-06-24",3.58],["2024-06-25",3.62],["2024-06-26",3.72],["2024-06-27",3.72],["2024-06-28",3.72],["2024-07-02",3.81],["2024-07-03",3.78],["2024-07-04",3.81],["2024-07-05",3.7],["2024-07-08",3.67],["2024-07-09",3.68],["2024-07-10",3.67],["2024-07-11",3.61],["2024-07-12",3.58],["2024-07-15",3.57],["2024-07-16",3.53],["2024-07-17",3.52],["2024-07-18",3.55],["2024-07-19",3.56],["2024-07-22",3.58],["2024-07-23",3.54],["2024-07-24",3.51],["2024-07-25",3.5],["2024-07-26",3.44],["2024-07-29",3.41],["2024-07-30",3.37],["2024-07-31",3.3],["2024-08-01",3.23],["2024-08-02",3.1],["2024-08-06",3.21],["2024-08-07",3.24],["2024-08-08",3.28],["2024-08-09",3.23],["2024-08-12",3.19],["2024-08-13",3.13],["2024-08-14",3.12],["2024-08-15",3.19],["2024-08-16",3.19],["2024-08-19",3.2],["2024-08-20",3.14],["2024-08-21",3.13],["2024-08-22",3.19],["2024-08-23",3.14],["2024-08-26",3.16],["2024-08-27",3.15],["2024-08-28",3.18],["2024-08-29",3.22],["2024-08-30",3.24],["2024-09-03",3.15],["2024-09-04",3.07],["2024-09-05",3.04],["2024-09-06",3.01],["2024-09-09",2.98],["2024-09-10",2.94],["2024-09-11",2.96],["2024-09-12",2.95],["2024-09-13",2.93],["2024-09-16",2.89],["2024-09-17",2.93],["2024-09-18",2.95],["2024-09-19",2.915],["2024-09-20",2.925],["2024-09-23",2.935],["2024-09-24",2.935],["2024-09-25",2.985],["2024-09-26",2.995],["2024-09-27",2.925],["2024-10-01",2.935],["2024-10-02",2.995],["2024-10-03",3.075],["2024-10-04",3.205],["2024-10-07",3.255],["2024-10-08",3.255],["2024-10-09",3.265],["2024-10-10",3.205],["2024-10-11",3.175],["2024-10-15",3.105],["2024-10-16",3.075],["2024-10-17",3.125],["2024-10-18",3.095],["2024-10-21",3.175],["2024-10-22",3.175],["2024-10-23",3.205],["2024-10-24",3.205],["2024-10-25",3.225],["2024-10-28",3.235],["2024-10-29",3.235],["2024-10-30",3.245],["2024-10-31",3.215],["2024-11-01",3.255],["2024-11-04",3.235],["2024-11-05",3.275],["2024-11-06",3.315],["2024-11-07",3.225],["2024-11-08",3.215],["2024-11-12",3.305],["2024-11-13",3.335],["2024-11-14",3.315],["2024-11-15",3.295],["2024-11-18",3.295],["2024-11-19",3.345],["2024-11-20",3.405],["2024-11-21",3.505],["2024-11-22",3.485],["2024-11-25",3.375],["2024-11-26",3.325],["2024-11-27",3.285],["2024-11-28",3.275],["2024-11-29",3.125],["2024-12-02",3.135],["2024-12-03",3.175],["2024-12-04",3.105],["2024-12-05",3.125],["2024-12-06",3.005],["2024-12-09",3.045],["2024-12-10",3.025],["2024-12-11",3.085],["2024-12-12",3.125],["2024-12-13",3.155],["2024-12-16",3.145],["2024-12-17",3.135],["2024-12-18",3.225],["2024-12-19",3.305],["2024-12-20",3.235],["2024-12-23",3.225],["2024-12-24",3.235],["2024-12-27",3.225],["2024-12-30",3.165],["2024-12-31",3.145],["2025-01-02",3.145],["2025-01-03",3.145],["2025-01-06",3.145],["2025-01-07",3.195],["2025-01-08",3.205],["2025-01-09",3.225],["2025-01-10",3.355],["2025-01-13",3.425],["2025-01-14",3.465],["2025-01-15",3.325],["2025-01-16",3.235],["2025-01-17",3.195],["2025-01-20",3.175],["2025-01-21",3.155],["2025-01-22",3.205],["2025-01-23",3.215],["2025-01-24",3.165],["2025-01-27",3.095],["2025-01-28",3.075],["2025-01-29",3.055],["2025-01-30",2.975],["2025-01-31",2.925],["2025-02-03",2.805],["2025-02-04",2.845],["2025-02-05",2.815],["2025-02-06",2.815],["2025-02-07",2.935],["2025-02-10",2.925],["2025-02-11",2.965],["2025-02-12",3.055],["2025-02-13",2.985],["2025-02-14",2.975],["2025-02-18",3.075],["2025-02-19",3.065],["2025-02-20",3.095],["2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