Euro yield curves (irt_h_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


1. Contact Top
1.1. Contact organisation

Eurostat, the statistical office of the European Union

1.2. Contact organisation unit

Unit C1: National accounts methodology. Sector accounts. Financial indicators.

1.5. Contact mail address

2920 Luxembourg LUXEMBOURG

2. Metadata update Top
2.1. Metadata last certified 25/06/2021
2.2. Metadata last posted 25/06/2021
2.3. Metadata last update 25/06/2021

3. Statistical presentation Top
3.1. Data description

Euro yield curves: euro bond yields and coefficients at maturities of 1 to 15 or 30 years (depending on the curve).

3.2. Classification system

The methodology Euro CIRR curve is based on is the one of the OECD Arrangement for Officially Supported Export Credits. The Arrangement stipulates that minimum interest rates shall apply to official financing support for export credits. The minimum interest rates are the relevant commercial interest reference rates, according to the currencies being used.

The Arrangement is a "Gentlemen's Agreement" amongst its Participants, who represent most OECD Member Governments. The Arrangement sets forth the most generous export credit terms and conditions that may be supported by its Participants.

3.3. Coverage - sector

Government and corporate.

3.4. Statistical concepts and definitions

The euro yields are derived from yield curves, which have been published daily by Eurostat since 5 January 1999 ("Euro par Yield Curve"). The curves are based on the observed yields-to-maturity on government bonds, denominated in euro, of the euro area, EU15 and EU25, which are actively traded on the markets, weighted by the volume issued. The bonds selected are highly liquid and conventional in character, with fixed coupons.

The indicators shown are yields and coefficients for every maturity available.

The Euro CIRR curve is calculated for a specific aim. In Export credits, Commercial Interest Reference Rates are minimum interest rates that may benefit from official financing support (direct credits/financing, refinancing or interest rate support). 'CIRRs' are adjusted monthly and are intended to reflect trends in commercial rates.

The bonds selected for the Par yield curve and the zero coupon curve are actively traded euro area, EU-15 and EU-25 government issues only. They are straight fixed-coupon issues of at least EUR 500 million, with a bid-offer spread of no more than 40 basis points, and with a remaining maturity of at least nine months.

The rating specific curve (AAA) is based on triple A corporate bonds issued in euro from the whole world.

Coefficients are shown only for the Euro CIRR curve and the par yield curve.

3.5. Statistical unit

Not applicable.

3.6. Statistical population

Not applicable.

3.7. Reference area

Euro area, European Union, World coverage.

Euro par yield curve and zero coupon curve: euro area, EU-15 and EU-25.

The Euro CIRR (Commercial Interest Reference Rate) curves calculation includes only bonds from the euro-zone.

Rating specific curve (AAA): whole world.

Euro area, European Union, World coverage.

3.8. Coverage - Time

The series start at 4 January 1999 and generally end on 5 August 2005.

Yields for a triple A curve are available from 4 January 1999 to 28 August 2002.

Coefficients are only daily data.

The monthly, quarterly and annual yields are a simple arithmetic average of daily data.

3.9. Base period

Not applicable.

4. Unit of measure Top

Data are in percentage.

5. Reference Period Top

Annual, quarterly, monthly and daily.

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

No specific rules apply.

6.2. Institutional Mandate - data sharing

Not applicable.

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.

8. Release policy Top
8.1. Release calendar

Not applicable.

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

Historical data are frozen and are not updated anymore.

10. Accessibility and clarity Top
10.1. Dissemination format - News release

Not applicable.

10.2. Dissemination format - Publications


10.3. Dissemination format - online database

Please consult free data on-line onĀ

10.4. Dissemination format - microdata access

Not applicable.

10.5. Dissemination format - other

Not applicable.

10.6. Documentation on methodology

Documentation on euro bond yields is available in a Eurostat 'Statistics in Focus' (SIF 39/1999 : The euro yield curves) publication and on Eurostat web site.

10.7. Quality management - documentation

Not applicable.

11. Quality management Top
11.1. Quality assurance

Not applicable.

11.2. Quality management - assessment

Not applicable.

12. Relevance Top
12.1. Relevance - User Needs

Not applicable.

12.2. Relevance - User Satisfaction

Not applicable.

12.3. Completeness

Not applicable.

13. Accuracy Top
13.1. Accuracy - overall

Not applicable.

13.2. Sampling error

Not applicable.

13.3. Non-sampling error

Not applicable.

14. Timeliness and punctuality Top
14.1. Timeliness

Historical data are frozen and are not updated anymore.

14.2. Punctuality

Not applicable.

15. Coherence and comparability Top
15.1. Comparability - geographical

Not applicable.

15.2. Comparability - over time

Not applicable.

15.3. Coherence - cross domain

Not applicable.

15.4. Coherence - internal

Not applicable.

16. Cost and Burden Top

Not applicable.

17. Data revision Top
17.1. Data revision - policy

Historical series; data are no longer revised.

17.2. Data revision - practice

Historical series; data are no longer revised.

18. Statistical processing Top
18.1. Source data

Every business day (UK calendar) at 10 p.m. (UK time), Eurostat received from ISMA (International Securities Market Association Ltd.) in London an electronic file with raw data on individual bonds. These data were provided by the dealers who report prices from the world's major market makers in international securities to ISMA.

Data are not based on a survey but on Eurostat calculations.

18.2. Frequency of data collection

Not applicable.

18.3. Data collection

ISMA collected the data from the world's major market makers in international securities.

18.4. Data validation

Statistical checks have been performed to ensure the quality of the source data used in the calculation.

18.5. Data compilation

The model used for calculation is based on the following regression method. The yield curve is estimated using "spline" regression based on third-degree polynomial functions with the help of a standard Ordinary Least Square (OLS) technique. The range of maturities is divided into several sections, with a separate polynomial adjusted to each of them. Two intersections ('knot-points') are set at five years and ten years. Since there is a higher concentration of bond issues between one and five years, the yield curve is not based on maturity, but on its logarithm. Every working day, the model calculates the 1- to 30-year yields and the coefficients, which can be used to obtain the daily yield for any maturity.

Bonds are weighted by their nominal value. All the yields are expressed in percentages per annum. Calculation is for maturities of 1 to 30 years for the par yield curve and the zero coupon curve. The Euro CIRR curve is calculated for maturities between 1 and 15 years.

More information on the calculation on the euro yield curve is available on Eurostat web site and in a 'Statistics in focus' publication (Theme 2 no. 39/1999).

18.6. Adjustment

No adjustments are made for differences in coupon levels, taxation or market regulation. Data are not seasonally adjusted.

19. Comment Top


Related metadata Top

Annexes Top
SIF 39/1999 : The euro yield curves