THIS PAPER BUILDS on previous work by the Central Bank of Lesotho to estimate Lesotho’s yield curve. Its purpose is to contribute to capital market development goals by helping encourage corporate bond issuances, improving pricing of financial products, and providing guidance as to yields that will be achieved at government bond auctions. Since South African zero-coupon yields are available on a daily basis, the model developed in this paper harnesses this information to estimate Lesotho’s zero-coupon yield curve at any date. The model performs well as measured by both in-sample and out-of-sample testing, producing negligible bias.