AAA-rated euro area central government bonds. Updated every TARGET business day at noon (12.00 PM CET)
A yield curve is a representation of the relationship between market remuneration rates and the remaining time to maturity of debt securities, also known as the term structure of interest rates. The ECB publishes several yield curves as shown below.
A yield curve (which is 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, investor 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 ECB 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. They 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).
Daily yield curves are now available as from 6 September 2004, and are calculated and released on a daily basis according to the TARGET calendar.
The following criteria are applied when selecting bonds:
An outlier removal mechanism is applied to bonds that have passed the above selection criteria. 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.
The spot, forward and par yield curves, and their corresponding time series, are calculated using two different datasets reflecting different credit default risks.
Please refer to the yield curve technical notes (119 kB) file for further technical details, attached as a PDF file on this webpage.
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