Eurostat, the statistical office of the European Union

Unit C2: National accounts production

2920 Luxembourg LUXEMBOURG

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 European Central Bank 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).

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.

None.

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

See 3.1.

Not applicable.

Euro area central government bonds. Two type of bonds are available:

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

Euro area.

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

Not applicable.

Yield in annual percentage terms.

Not applicable.

Not applicable.

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

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.

Not applicable, there are no confidential data.

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

Not applicable.

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.

Daily, monthly, quarterly and annual.

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

Please see ECB note: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/html/technical_notes.pdf

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

Not available.

Not applicable.

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.

Not available.

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

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

The slope of the yield curve gives an idea of future interest rate changes and economic activity. The euro yield curve is used as the only official source on government bond yields in the euro area.

Not available.

The data collection covers all the business days since 29 December 2006, the daily yield curves are available as of 6 September 2004.

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.
Please refer to the ECB webpage: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/html/index.en.html.

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

Not applicable.

t + 2 working days.

Data is usually available at t + 2 working days.

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

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

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

Not applicable.

Not available.

Revisions do not take place. Discovered errors are extremely rare and would be corrected immediately.

Major changes in methodology are announced beforehand.

ECB calculations based on EuroMTS data.

Business daily.

Online by EuroMTS and ECB.

The ECB uses quality checking procedures as described in 3.1.

See ECB webpage: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/html/index.en.html

No seasonal adjustment.

The ECB presents the euro yield curve on its website: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/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.