Reference metadata describe statistical concepts and methodologies used for the collection and generation of data. They provide information on data quality and, since they are strongly content-oriented, assist users in interpreting the data. Reference metadata, unlike structural metadata, can be decoupled from the data.
Eurostat, the statistical office of the European Union
1.2. Contact organisation unit
C.1: National accounts methodology; Standards and indicators
1.3. Contact name
Restricted from publication
1.4. Contact person function
Restricted from publication
1.5. Contact mail address
2920 Luxembourg LUXEMBOURG
1.6. Contact email address
Restricted from publication
1.7. Contact phone number
Restricted from publication
1.8. Contact fax number
Restricted from publication
2.1. Metadata last certified
10 June 2021
2.2. Metadata last posted
10 June 2021
2.3. Metadata last update
10 June 2021
3.1. Data description
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.
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. 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.
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.
Yield in annual percentage terms.
Not applicable.
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.
7.1. 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.
8.1. 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.
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.
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.
12.2. Relevance - User Satisfaction
Not available.
12.3. Completeness
The data collection covers all the business days since 29 December 2006, the daily yield curves are available as of 6 September 2004.
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. Please refer to the ECB webpage.
Other countries and areas outside the euro 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.
Not available.
17.1. Data revision - policy
All data disseminated consist of data already disseminated by the ECB. The revision policy is therefore effectively the revision policy applied by the ECB.
17.2. Data revision - practice
The revision practice effectively corresponds to the revision practice of the ECB. Because of the nature of the data, ECB normally revises the data in case of error correction, which happen rarely, since errors are extremely infrequent.
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 3.1.
The ECB presents the Euro area yield curves on its website together with graphical information and information on monthly maturities ranging from three months up to and including 30 years of residual maturity.
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.
10 June 2021
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.
Not applicable.
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.
