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) — 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 — sufficient for the four standard horizons.