In the West African Economic and Monetary Union (WAEMU) zone, the construction of a risk-free interest rate curve is an objective for public decision-makers. Indeed, it helps to support the current regulatory changes, as well as the development process of the regional financial market. Based on the conclusions of Gbongué and Planchet (2015) and Gbongué (2019), we propose a new methodology for constructing the risk-free interest rate curve, adapted to the particularities of this zone, with the aim of reducing estimation errors of the theoretical value of sovereign bonds. Note that it is based on the fundamentals of the Nelson and Siegel model, in order to facilitate the prediction of this curve in the future.