Euro area yield curves

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.

It is updated every TARGET business day at noon (12:00 CET). No data or other information are provided regarding any day on which the relevant trading venue from which the euro area yield curve data are sourced is not open for business.

ECB Data Portal

• Yield curves
• Yields for 1Y maturity
• Yields for 5Y maturity
• Yields for 10Y maturity
• Yields for 20Y maturity
• Yields for 30Y maturity

Downloads (SDMX format)

• Latest release XML CSV
• Current year - AAA XML CSV
• Current year - euro area XML CSV
• All years - AAA XML CSV (large file)
• All years - euro area XML CSV (large file)

Questions?

Statistical information request

General description of ECB yield curves methodology

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).

Data availability

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.

Data source

• Bond and price information provided by EuroMTS Ltd.
• Ratings provided by Fitch Rating.

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.
• 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.
• 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.

Please refer to the yield curve technical notes file for further technical details.

Monthly Bulletin article (February 2008)

Statistics Paper Series, No 27: "Yield curve modelling and a conceptual framework for estimating yield curves: evidence from the European Central Bank’s yield curves" (February 2018)