<p>The data provider may have more information on the series. The following is what I believe is the usual definition.</p>

<p>The generic bond yield is associated with a maturity point, for example, a “generic 10-year yield.” For each trading day, the data provider fixes a particular bond from that issuer that has a maturity that is close to the chosen maturity point. The “generic yield” is the yield on that bond for that date. The key to the definition is the rule that picks the bond each day. The series will likely jump when the bond chosen changes (called a rollover).</p>

<p>An alternative is a “fitted yield.” For such yields, the data provider fits a curve through all observed bond prices for the issuer using some algorithm. The fitted yield at a maturity point is then read off the curve. The advantage is that the curve only moves if most of the traded bonds move, so there is no artificial jump on rollover. The Fed H.15 series are well-known fitted curves.</p>

<p>Bloomberg also refers to “current” bonds. This is a time series of the current benchmark bond/note of that maturity; the time series starts as soon as there is yield data available for that issuers. There is no rollover, but the time series is obviously short.</p>

CC BY-SA 3.0
2018-03-04T13:13:10.647Z
2018-03-04T13:13:10.647Z
Brian Romanchuk
<p>I was looking on historical sovereign bond yields for a project.</p>

<p>I was wondering what is meant by "generic bond yields" mentioned on bloomberg. Somewhere else i found data about the same country but not entitled as "generic".</p>

<p>Could someone please share his knowledge on the matter?</p>

CC BY-SA 3.0
2018-03-04T01:44:52.267Z
Also asked at https://quant.stackexchange.com/questions/38588/generic-bond-yields
Henry
<macroeconomics><international-economics><bonds><government>
Generic bond yileds
peter5
# Generic bond yileds

(Asked by: username_0 on 2018-03-03)

I was looking on historical sovereign bond yields for a project.

I was wondering what is meant by "generic bond yields" mentioned on bloomberg. Somewhere else i found data about the same country but not entitled as "generic".

Could someone please share his knowledge on the matter?

**Tags:** macroeconomics, international-economics, bonds, government
> **Comments:**
> **username_1**: Also asked at https://quant.stackexchange.com/questions/38588/generic-bond-yields  

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## 1 answers

### Answer by username_2 on 2018-03-04. Score: 1 | Accepted answer

The data provider may have more information on the series. The following is what I believe is the usual definition.

The generic bond yield is associated with a maturity point, for example, a “generic 10-year yield.” For each trading day, the data provider fixes a particular bond from that issuer that has a maturity that is close to the chosen maturity point. The “generic yield” is the yield on that bond for that date. The key to the definition is the rule that picks the bond each day. The series will likely jump when the bond chosen changes (called a rollover).

An alternative is a “fitted yield.” For such yields, the data provider fits a curve through all observed bond prices for the issuer using some algorithm. The fitted yield at a maturity point is then read off the curve. The advantage is that the curve only moves if most of the traded bonds move, so there is no artificial jump on rollover. The Fed H.15 series are well-known fitted curves.

Bloomberg also refers to “current” bonds. This is a time series of the current benchmark bond/note of that maturity; the time series starts as soon as there is yield data available for that issuers. There is no rollover, but the time series is obviously short.


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