The Treasury yield curve

At current stage of development the secondary market of Georgian government securities is shallow and is not characterized by adequate liquidity, therefore it is optimal to use the data of the primary market and the Tbilisi Interbank Rate (TIBR) to construct GEL yield curve.

To construct GEL yield curve following instruments are used: Treasury bills/bonds with various maturities issued by the Ministry of Finance of Georgia, certificates of deposit issued by the National Bank of Georgia and Tbilisi Interbank Rate (TIBR) – In total 8 maturity groups are used.

Corporate yield curve

The purpose of constructing the corporate yield curve is to provide the market with standard AAA and BB corporate yield curves on a daily basis.

The procedure and methodology takes into the consideration the determination of the spread for each yield curve, which is added to the treasury yield curve already estimated for the current date. The mentioned procedure is designed in accordance with the challenges/specifics of the local market, which is manifested in the lack of fixed rate corporate instruments.

Same to the of treasury yield curve, in case of corporate curves, we also estimate the zero rate yield curves, and the nominal and forward curves are calculated from the zero curve.