EUR methodology: ECB AAA-rated euro-area zero-coupon curve

Source

European Central Bank, "AAA-rated euro area central government bonds: spot curve", fitted using the Svensson model. The ECB also publishes an "all euro area central government bonds" curve; CarryCurve uses only the AAA spot curve.

Important caveat: AAA-aggregate credit composition

The AAA-rated euro-area curve is an aggregate across multiple AAA-rated sovereigns. In recent years that effectively means Germany, the Netherlands, and Luxembourg (and only those issues currently rated AAA by the relevant rating agencies). It does not represent "the euro-area sovereign curve" generally. French, Italian, Spanish issuance is excluded.

This matters for the cross-curve ranking: comparing AAA-EUR vs Treasury-USD vs Gilt-GBP is mixing different credit qualities. The numbers are still meaningful, but the methodology badge on the EUR row is your reminder that "EUR" here is a narrower aggregate than the casual meaning of the term.

Quote convention

Continuously-compounded zero rates, quoted in percent on an annual basis. Confirmed by the ECB's Technical notes: Euro area yield curves: the Svensson model outputs instantaneous forward rates from which zero (spot) rates are derived as the time-average of the forward rate over [0, T], expressed on a continuously-compounded basis. CarryCurve reads these directly and converts to decimal at the storage boundary. Methodology tag: Native.

Publication cadence and access

Daily at approximately noon CET on TARGET2 business days. CarryCurve fetches via the ECB's documented SDMX REST API at data-api.ecb.europa.eu using a batched multi-tenor request (one HTTP call per refresh, not one per tenor).

Holiday calendar

TARGET2 calendar (Eurosystem), with six fixed holidays per year: 1 January, Good Friday, Easter Monday, 1 May, 25 December, 26 December. Other national holidays in individual euro-area countries do not affect ECB publication.

Tenors used

3M, 6M, 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y, 25Y, 30Y. These cover the four standard horizons.