Euro area yield curve

AAA-rated euro area central government bonds.

Updated: every TARGET business day at noon (12.00 PM CET)1

Data

A yield curve is a representation of the relationship between market remuneration rates and the remaining time to maturity of debt securities, also known as the term structure of interest rates. The ECB publishes several yield curves as shown below.

 

Background

General description of ECB yield curves methodology

A yield curve (which is 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, investor 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. They 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).

Data availability

Daily yield curves are now available as from 6 September 2004, and are calculated and released on a daily basis according to the TARGET calendar.

Data source

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 1995: sector code 'S.1311') are selected.
  • Only bonds with an outstanding amount of at least € 5 billion are included.
  • Bonds with special features, including ones with specific institutional arrangements, are excluded.
  • Only fixed coupon bonds with a finite maturity and zero coupon bonds are selected, including STRIPS . Variable coupon bonds, including inflation-linked bonds, and perpetual 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 passed 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 (AAA-rated and other) euro area central government bonds.

Please refer to the yield curve technical notes file for further technical details, attached as a PDF file on this webpage

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.

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