Euro area yield curve
The euro area yield curve shows separately AAA-rated euro area central government bonds and all euro area central government bonds (including AAA-rated). It is updated every TARGET business day at noon (12:00 CET).
A yield curve is a representation of the relationship between market remuneration rates and the remaining time to maturity of debt securities. A yield curve can also be described as the term structure of interest rates. The ECB publishes several yield curves, as shown below.
A yield curve (which can also be known as the term structure of interest rates) represents the relationship between market remuneration (interest) rates and the remaining time to maturity of debt securities. The information content of a yield curve reflects the asset pricing process on financial markets. When buying and selling bonds, investors include their expectations of future inflation, real interest rates and their assessment of risks. An investor calculates the price of a bond by discounting the expected future cash flows.
The ECB estimates zero-coupon yield curves for the euro area and derives forward and par yield curves. A zero coupon bond is a bond that pays no coupon and is sold at a discount from its face value. The zero coupon curve represents the yield to maturity of hypothetical zero coupon bonds, since they are not directly observable in the market for a wide range of maturities. The yields must therefore be estimated from existing zero coupon bonds and fixed coupon bond prices or yields. The forward curve shows the short-term (instantaneous) interest rate for future periods implied in the yield curve. The par yield reflects hypothetical yields, namely the interest rates the bonds would have yielded had they been priced at par (i.e. at 100).
Daily yield curves are now available, with data from 6 September 2004 onwards, and are calculated and released on a daily basis according to the TARGET calendar.
Selection of bonds
The following criteria are applied when selecting bonds:
- Only bonds issued in euro by euro area central government (European System of Accounts 2010: sector code 'S.1311') are selected.
- Only bonds with an outstanding amount of at least €5 billion are included.
- Bonds with special features, including specific institutional arrangements, are excluded.
- Only fixed coupon bonds with a finite maturity and zero coupon bonds are selected, including STRIPS. Perpetual bonds and variable coupon bonds, including inflation-linked bonds, are not included.
- Only actively traded central government bonds with a maximum bid-ask spread per quote of three basis points are selected. The prices/yields are those at close of market on the reference day.
- In order to reflect a sufficient market depth, the residual maturity brackets have been fixed as ranging from three months up to and including 30 years of residual maturity.
An outlier removal mechanism is applied to bonds that have fulfilled the above selection criteria. Bonds are removed if their yields deviate by more than twice the standard deviation from the average yield in the same maturity bracket. Afterwards, the same procedure is repeated.
Two credit risk yield curves
The spot, forward and par yield curves, and their corresponding time series, are calculated using two different datasets reflecting different credit default risks.
- One sample contains "AAA-rated" euro area central government bonds, i.e. debt securities with the most favourable credit risk assessment.
- The second dataset contains all (including AAA-rated) euro area central government bonds.
Disclaimer and limitation of liability
The content of this website section, including yields, prices and all other data or information, is made available by the ECB for public information purposes only. It is not intended to be used for any other purpose including, without limitation, calculating price/yield quotations, identifying trading opportunities or as the basis for any other form of advice regarding the pricing of financial assets or identifying investment opportunities.
The ECB aims to keep the content of this website section current and accurate, taking reasonable measures to update this site every TARGET business day at noon (12 p.m. CET). An update may however be delayed on the same TARGET business day or postponed to the following TARGET business day, for example when a TARGET business day falls on a public holiday observed by the ECB.
The ECB shall not be liable for any error or inaccuracy in the content of this section, for any delay in updating this section, for any action taken in reliance thereon including, without limitation, any reference made in contractual agreements, investment decisions or the results of any investments made by users of this website section. The ECB expressly disclaims all warranties, expressed or implied, as to the accuracy of any of the content provided or as to the merchantability or fitness of the content provided.
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