Detailed angle-resolved photoemission studies of Tb and Dy metal in the paramagnetic phase provide direct experimental proof of the presence of nesting features in the Fermi surfaces (FS) of these heavy lanthanide (Ln) metals. The observations clearly support the hypothesis that nesting of the FS in the paramagnetic phase is responsible for the development of helical antiferromagnetic ordering in heavy Ln metals. They also show that magnetic exchange splitting of the electronic states is responsible for the disappearance of FS nesting in the ferromagnetic phases.