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
25 June 2021
2.2. Metadata last posted
25 June 2021
2.3. Metadata last update
19 July 2023
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.
Data are in percentage.
Annual, quarterly, monthly and daily.
6.1. Institutional Mandate - legal acts and other agreements
No specific rules apply.
6.2. Institutional Mandate - data sharing
Not applicable.
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.
8.1. 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.
Historical data are frozen and are not updated anymore.
Historical data are frozen and are not updated anymore.
14.2. Punctuality
Not applicable.
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.
Not applicable.
17.1. Data revision - policy
Historical series; data are no longer revised.
17.2. Data revision - practice
Historical series; data are no longer revised.
18.1. 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.
Euro yield curves: euro bond yields and coefficients at maturities of 1 to 15 or 30 years (depending on the curve).
19 July 2023
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.
Not applicable.
Not applicable.
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.
Annual, quarterly, monthly and daily.
Not applicable.
Data are in percentage.
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.
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.
Historical data are frozen and are not updated anymore.
Historical data are frozen and are not updated anymore.
