Yield curves
The Yield Curve section provides the results of the daily estimation of euro area government bond yield curves. The ECB estimates government bond yield curves for the euro area. It also derives forward and par yield curves for each estimated curve. The euro-area yield curves are published on a daily basis at noon on the ECB website.
It contains the yield curve parameters for both composite euro-area yield along with spot, instantaneous forward and par yield curve rates by residual maturity.
Data Structure Definition (DSD)
A yield curve is a representation of the relationship between market remuneration rates and the remaining time to maturity of debt securities. A yield curve can also be described as the term structure of interest rates.
Selection criteria and outlier detection are applied to raw data before the estimation. The estimation follows the Svensson methodology. More information available from the Technical Notes here: http://www.ecb.europa.eu/stats/money/yc/html/index.en.html
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 ECB estimates zero-coupon yield curves for the euro area and derives forward and par yield curves.
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)
Data availability: Daily yield curves are available from 6 September 2004 onwards and are calculated and released on a daily basis.
Selection of Bonds: Only fixed coupon bonds with a finite maturity and zero coupon bonds are selected, including STRIPS. Perpetual bonds and variable coupon bonds, including inflation-linked bonds, are not included. In order to reflect a sufficient market depth, the residual maturity brackets have been fixed as ranging from three months up to and including 30 years of residual maturity.
| Dataset | Bulk download | Calendar |
|---|---|---|
| YC - Financial market data - yield curve | SDMX2.1CSV | Release Calendar |