Polish sovereign zero-coupon yield curve
Daily NSS-fitted curves, 2005-2026. Monthly snapshots with the underlying bond panel, 1y forwards, the NBP Survey of Professional Forecasters implied path, and US/euro-area comparison at 12 tenors. Click bonds to see their YTM history. Download the snapshot panel as CSV.
Read the short — "Why naive Nelson-Siegel under-prices the Polish belly"How to read this page (methodology and glossary)
The Polish sovereign zero-coupon curve is fitted to every trading day from 2005 onward using the Nelson-Siegel-Svensson (NSS) functional form, estimated by weighted nonlinear least squares on the BondSpot mid-quote panel of Treasury bonds and OK bills, with the NBP reference rate anchoring the very short end. Weights are derived from a microstructure-aware information matrix (see the LW-NSS short). The viewer below walks monthly snapshots through that twenty-one-year history.
Glossary
| NSS | Nelson-Siegel-Svensson zero-coupon yield curve. Six parameters per day: level, slope, two curvature components and two decay parameters. |
| LW-NSS | Liquidity-weighted NSS. The microstructure-derived weight matrix that down-weights illiquid bonds; default fit on this page. |
| TTM | Time-to-maturity of a bond in years on the snapshot date. |
| YTM | Yield-to-maturity computed from the BondSpot mid price under the bond's own coupon schedule. |
| Forward 1y | One-year-spaced instantaneous forward rate implied by the NSS curve at the snapshot date. |
| ACM rf | Risk-free expected average short-rate path from the Adrian-Crump-Moench five-factor affine term-structure model. |
| BRW rf | Same path with the Bauer-Rudebusch-Wu small-sample bias correction applied to the VAR persistence. |
| NBP SPF | Implied 1y/3y/5y horizon path from the most recent NBP Survey of Professional Forecasters. |
| BondSpot | Cash turnover of the bond on the BondSpot venue in the prior calendar month, in PLN mln. |
| Min-Fin | Whole-market outright secondary turnover of the series from the Ministry of Finance monthly disclosure (Transakcje_po_seriach), latest reported month, in PLN bn. Publication lags up to two months. Excludes repo and sell-buy-back. |
| Share | BondSpot venue turnover as a percent of the Min-Fin outright figure, both taken in the same (Min-Fin) month. |
| Segment | Short (TTM ≤ 1.5y), belly (1.5-7y), long (>7y); used for the colour coding of the bond bubbles on the curve. |
| MAE | Median absolute fit error in basis points across the bond panel on the snapshot date. |
What each panel shows at the slider date
Zero-coupon curve and bond panel. The NSS fit at the snapshot date (solid line) with the underlying coupon-bond panel rendered as bubbles sized by outstanding amount. The NBP reference rate anchors the very short end. Click any row in the bond table to highlight the bond on the curve and load its weekly YTM history.
Forecast family. NSS 1y-spaced forwards, the ACM and BRW expected short-rate paths, and the time-shifted NBP SPF implied path, all overlaid on a common horizon axis. The four series let you read off, on any historical date, where the curve was pricing future short rates versus where surveys and the bias-corrected model thought they were going.
Cross-country snapshot. PL versus GSW US Treasury versus ECB euro-area AAA zero-coupon yields at twelve standard tenors on the snapshot date, computed from the same NSS family on each panel.
Selected bond YTM history. Weekly YTM closes for the bond clicked above, from the bond's first BondSpot fixing to today.
Zero-coupon curve and bond panel
NSS fit (solid line) with the underlying coupon-bond panel as bubbles, sized by outstanding amount. Salmon dots are long-end bonds (>7y), dark blue is the belly (1.5–7y), grey is the short end. Click any bond row in the table below to highlight it on the curve and show its YTM history.
Forecast family — NSS forwards, ACM & BRW rf, NBP SPF
Four short-rate forecast paths overlaid: NSS 1-year-spaced forwards from the fitted curve, ACM expected average short rate (rf), BRW rf with the Bauer-Rudebusch-Wu bias correction, and the most recent NBP Survey of Professional Forecasters implied path. Snapshot: — · SPF vintage: —
Cross-country snapshot — full curve at all tenors
PL versus US (GSW Treasury) versus euro-area AAA zero-coupon yields at 3m, 6m, 1y, 2y, 3y, 4y, 5y, 6y, 7y, 8y, 9y, 10y on the snapshot date. Snapshot: —
Bond panel — click a row to highlight on the curve
All bonds in the snapshot fit, sorted by time-to-maturity. Outstanding amount in PLN bn, fitted YTM in percent. BondSpot is venue turnover in the prior calendar month (PLN mln). Min-Fin is whole-market outright secondary turnover for the latest reported month (PLN bn, publication lag up to two months). Share is BondSpot / Min-Fin on the Min-Fin month.
| ISIN | Series | TTM (y) | YTM (%) | Outstanding (PLNbn) | BondSpot prior mo (PLNmln) | Min-Fin outright (PLNbn) | Share (%) | Segment |
|---|
Selected bond — YTM history
Click a bond row above to load its weekly YTM history.
Polish curve — time series
Cross-country comparison — time series
Methodology: liquidity-weighted Nelson-Siegel-Svensson (LW-NSS) on BondSpot venue closing fixings. Weights derived from Min-Fin disclosures of outstanding amounts and prior-month turnover. NBP Survey of Professional Forecasters implied path constructed from quarterly survey releases per PhD Chapter 5.4. US zeros from Gürkaynak-Sack-Wright. Euro-area zeros from the ECB AAA spot-rate database. PCA factors from the EH-paper panel. Build date —.
Source-by-source observation timestamps for every input feeding this page are listed in the Data lineage & freshness block on the home page.