Regulatory Alerts2016-11-01
Methodological Note on the Construction of the Yield Curve for Public Securities of CEMAC States
The Banque des États de l'Afrique Centrale (BEAC) issues this methodological note to standardize the construction of sovereign yield curves for CEMAC public securities by integrating primary auction data with secondary market transactions. The document mandates a three-segment approach—covering short-term BTA, medium/long-term OTA and OT instruments, and an extrapolated long-end segment—using linear interpolation and Brandt’s parametric model to derive benchmark yields. By applying strict data thresholds (minimum 1 billion FCFA for primary issuances and 250 million FCFA for secondary trades) and harmonizing actuarial bases, BEAC ensures a reliable, monthly-updated reference curve that supports pricing and risk assessment across the regional debt market.