Euro yield curves (irt_euryld)

Reference Metadata in Euro SDMX Metadata Structure (ESMS)

Compiling agency: Eurostat, the statistical office of the European Union


Eurostat metadata
Reference metadata
1. Contact
2. Metadata update
3. Statistical presentation
4. Unit of measure
5. Reference Period
6. Institutional Mandate
7. Confidentiality
8. Release policy
9. Frequency of dissemination
10. Accessibility and clarity
11. Quality management
12. Relevance
13. Accuracy
14. Timeliness and punctuality
15. Coherence and comparability
16. Cost and Burden
17. Data revision
18. Statistical processing
19. Comment
Related Metadata
Annexes (including footnotes)



For any question on data and metadata, please contact: EUROPEAN STATISTICAL DATA SUPPORT

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1. Contact Top
1.1. Contact organisation

Eurostat, the statistical office of the European Union

1.2. Contact organisation unit

Unit C2: National accounts production

1.5. Contact mail address

2920 Luxembourg LUXEMBOURG


2. Metadata update Top
2.1. Metadata last certified 30/07/2019
2.2. Metadata last posted 30/07/2019
2.3. Metadata last update 30/07/2019


3. Statistical presentation Top
3.1. Data description

 A yield curve, also known as 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 (coupon payments and/or redemption).

The European Central Bank estimates zero-coupon yield curves for the euro area and also 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 therfore 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).

An outlier removal mechanism is applied to bonds that have passed the selection criteria described in 11.1. 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. 

3.2. Classification system

None

3.3. Coverage - sector

Only bonds issued by the central government (European System of Accounts 2010: sector code 'S.1311') are selected.

3.4. Statistical concepts and definitions

See 3.1

3.5. Statistical unit

Not applicable

3.6. Statistical population

Euro area central government bonds. One series is based on "AAA-rated" bonds, i.e. debt securities with the most favourable credit risk assessment. The other series is based on all (AAA-rated and other) euro area central government bonds.

3.7. Reference area

Euro area

3.8. Coverage - Time

The daily yield curves are available as of 6 September 2004, and are calculated and released daily according to the TARGET calendar.

3.9. Base period

Not applicable


4. Unit of measure Top

yield in annual percentage terms


5. Reference Period Top

Not applicable


6. Institutional Mandate Top
6.1. Institutional Mandate - legal acts and other agreements

Not applicable.

6.2. Institutional Mandate - data sharing

The dataset is received from the ECB as part of a memorandum of understanding.


7. Confidentiality Top
7.1. Confidentiality - policy

Regulation (EC) No 223/2009 on European statistics (recital 24 and Article 20(4)) of 11 March 2009 (OJ L 87, p. 164), stipulates the need to establish common principles and guidelines ensuring the confidentiality of data used for the production of European statistics and the access to those confidential data with due account for technical developments and the requirements of users in a democratic society.

7.2. Confidentiality - data treatment

Not applicable - there are no confidential data


8. Release policy Top
8.1. Release calendar

Daily data are released on the euro yield curve pages of the Eurostat website each day (t + 2 days).

8.2. Release calendar access

Not applicable

8.3. Release policy - user access

In line with the Community legal framework and the European Statistics Code of Practice Eurostat disseminates European statistics on Eurostat's website (see item 10 - 'Accessibility and clarity') respecting professional independence and in an objective, professional and transparent manner in which all users are treated equitably. The detailed arrangements are governed by the Eurostat protocol on impartial access to Eurostat data for users.


9. Frequency of dissemination Top

Daily, monthly, quarterly and annual


10. Accessibility and clarity Top
10.1. Dissemination format - News release
News releases on-line
10.2. Dissemination format - Publications

None

10.3. Dissemination format - online database

Please consult free data on-line or refer to contact details.

10.4. Dissemination format - microdata access

Not available

10.5. Dissemination format - other
See : http://ec.europa.eu/eurostat
10.6. Documentation on methodology

Data sources

The bond and price information are provided by EuroMTS Ltd. www.euromts-ltd.com

The ratings are provided by Fitch Rating. www.fitchratings.com

Quality and selection methodology

All bonds are subject to the same quality and selection methodology. The incoming daily bond data and price/yield information undergo quality checks and scrutiny. This ensures a high quality of representative bond market information as input for the daily yield curve estimations.

Only bonds issued by the 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 ones with specific institutional arrangements, are excluded from the final sample.

Only fixed-coupon with finite maturity and zero coupon bonds are selected, including STRIPS (Separate Trading of Registered Interest and Principal Securities).Variable coupon bonds including inflation-linked bonds and perpetual bonds are not selected.

As liquidity matters, 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 one year up to and including 30 years of residual maturity.

10.7. Quality management - documentation

Not available


11. Quality management Top
11.1. Quality assurance

See http://www.ecb.de/stats/money/yc/html/index.en.html and link in annex below.

11.2. Quality management - assessment

See euro yield curve methodological paper in Annex below


12. Relevance Top
12.1. Relevance - User Needs

The euro yield curve is used as the only official source on government bond yields in the euro area. 

12.2. Relevance - User Satisfaction

Not available

12.3. Completeness

The data collection covers all the business days since 29 December 2006.


13. Accuracy Top
13.1. Accuracy - overall

Due to the high number of bonds used for calculating the yields the accuracy is very high up to 10 years maturity.  For longer maturities the number of bonds available for calculation is smaller. See euro yield curve methodological paper in Annex below

13.2. Sampling error

See euro yield curve methodological paper in Annex below

13.3. Non-sampling error

Not applicable


14. Timeliness and punctuality Top
14.1. Timeliness

t + 2 working days.

14.2. Punctuality

Data is usually available at t + 2 working days


15. Coherence and comparability Top
15.1. Comparability - geographical

Other countries and areas outside the eurro area follow different concepts of yield estimations.

15.2. Comparability - over time

The data can be easily compared over time since 6 September 2004.

15.3. Coherence - cross domain

Daily data are released on the euro yield curve pages of the Eurostat website each day.

15.4. Coherence - internal

Not applicable


16. Cost and Burden Top

Not available


17. Data revision Top
17.1. Data revision - policy

Revisions have not yet taken place since September 2004; they are made when they are necessary.

17.2. Data revision - practice

Major changes in methodology are announced beforehand.


18. Statistical processing Top
18.1. Source data

ECB calculations based on EuroMTS data.

18.2. Frequency of data collection

business daily

18.3. Data collection

online by EuroMTS and ECB

18.4. Data validation

The ECB uses quality checking procedures as described in 12.1.

18.5. Data compilation

see ECB page: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/html/index.en.html

18.6. Adjustment

no seasonal adjustment


19. Comment Top

The ECB is presenting the euro yield curve on its website: http://www.ecb.de/stats/money/yc/html/index.en.html, together with graphical information and information on monthly maturities ranging from three months up to and including 30 years of residual maturity.


Related metadata Top


Annexes Top
Euro yield curve methodology