Financial market data - yield curve - YC

Data - ECB

Author

François Geerolf

Last observation: 31 août 2026 (N = 2)

First observation: 6 sept. 2004 (N = 2163)

Last data update: 01 sept. 2026, 04:19

Last compile: 02 sept. 2026, 23:46

Structure

Yield curve

Government bond, nominal, all issuers whose rating is triple A

Linear

Code 
YC |>
  filter(DATA_TYPE_FM %in% paste0("PY_", 1:30, "Y"),
         INSTRUMENT_FM == "G_N_C") |>
  filter(TIME_PERIOD %in% c(as.Date(c("2022-11-01", "2022-03-01")), max(TIME_PERIOD))) |>
  mutate(year = parse_number(DATA_TYPE_FM)) |>
  ggplot() + geom_line(aes(x = year, y = OBS_VALUE/100, color = paste0(TIME_PERIOD))) +
  theme_minimal() + xlab("Maturity in rates") + ylab("Par yield curve rate") +
  scale_x_continuous(breaks = c(1, 2, 5, 10, 15, 20, 25, 30),
                     labels = dollar_format(accuracy = 1, pre = "", su = "Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 50, 0.5),
                     labels = percent_format(accuracy = .1)) +
  theme(legend.position = c(0.9, 0.2),
        legend.title = element_blank())

Log

Code 
YC |>
  filter(DATA_TYPE_FM %in% paste0("PY_", 1:30, "Y"),
         INSTRUMENT_FM == "G_N_C") |>
  filter(TIME_PERIOD %in% c(as.Date(c("2023-03-01", "2022-11-03", "2022-07-01", "2022-03-01")), max(TIME_PERIOD))) |>
  mutate(year = parse_number(DATA_TYPE_FM)) |>
  ggplot() + geom_line(aes(x = year, y = OBS_VALUE/100, color = paste0(TIME_PERIOD))) +
  theme_minimal() + xlab("Maturity in rates") + ylab("Par yield curve rate") +
  scale_x_log10(breaks = c(1, 2, 5, 10, 15, 20, 25, 30),
                     labels = dollar_format(accuracy = 1, pre = "", su = "Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 50, 0.5),
                     labels = percent_format(accuracy = .1)) +
  theme(legend.position = c(0.9, 0.2),
        legend.title = element_blank())

Log2

Code 
YC |>
  filter(DATA_TYPE_FM %in% c(paste0("PY_", 1:30, "Y"), paste0("PY_", 1:12, "M")),
         INSTRUMENT_FM == "G_N_C") |>
  filter(TIME_PERIOD %in% c(as.Date(c("2022-11-03", "2022-07-01", "2022-03-01", "2021-11-01")), max(TIME_PERIOD))) |>
  mutate(number = parse_number(DATA_TYPE_FM),
         number = ifelse(DATA_TYPE_FM %in% paste0("PY_", 1:12, "M"), number/12, number)) |>
  ggplot() + geom_line(aes(x = number, y = OBS_VALUE/100, color = paste0(TIME_PERIOD))) +
  theme_minimal() + xlab("Maturity") + ylab("Par yield curve rate") +
  scale_x_log10(breaks = c(1/12, 3/12, 6/12, 9/12, 1, 2, 5, 10, 15, 20, 30),
                     labels = c("1M", "3M", "6M", "9M", "1Y", "2Y", "5Y", "10Y", "15Y", "20Y", "30Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 50, 0.5),
                     labels = percent_format(accuracy = .1)) +
  theme(legend.position = c(0.9, 0.2),
        legend.title = element_blank())

Log2

Code 
YC |>
  filter(DATA_TYPE_FM %in% c(paste0("PY_", 1:30, "Y"), paste0("PY_", 1:12, "M"))) |>
  filter(TIME_PERIOD %in% c(as.Date(c("2022-11-03", "2022-07-01", "2022-03-01", "2021-11-01")), max(TIME_PERIOD))) |>
  mutate(number = parse_number(DATA_TYPE_FM),
         number = ifelse(DATA_TYPE_FM %in% paste0("PY_", 1:12, "M"), number/12, number)) |>
  ggplot() + geom_line(aes(x = number, y = OBS_VALUE/100, color = paste0(TIME_PERIOD), linetype = Instrument_fm)) +
  theme_minimal() + xlab("Maturity") + ylab("Par yield curve rate") +
  scale_x_log10(breaks = c(1/12, 3/12, 6/12, 9/12, 1, 2, 5, 10, 15, 20, 30),
                     labels = c("1M", "3M", "6M", "9M", "1Y", "2Y", "5Y", "10Y", "15Y", "20Y", "30Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 50, 0.5),
                     labels = percent_format(accuracy = .1)) +
  theme(legend.position = c(0.4, 0.4),
        legend.title = element_blank())

Yield curve

2 years

Code 
YC |>
  filter(DATA_TYPE_FM == "PY_2Y") %>%
  select_if(~ n_distinct(.) > 1) |>
  day_to_date() |>
  arrange(desc(date)) |>
  ggplot() + geom_line(aes(x = date, y = OBS_VALUE/100, color = Instrument_fm)) +
  theme_minimal() + xlab("") + ylab("2-year rates") +
  scale_x_date(breaks = seq(1960, 2100, 2) |> paste0("-01-01") |> as.Date(),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 50, 0.5),
                     labels = percent_format(accuracy = .1)) +
  theme(legend.position = c(0.6, 0.9),
        legend.title = element_blank())

10 years

Code 
YC |>
  filter(DATA_TYPE_FM == "PY_10Y") %>%
  select_if(~ n_distinct(.) > 1) |>
  day_to_date() |>
  arrange(desc(date)) |>
  ggplot() + geom_line(aes(x = date, y = OBS_VALUE/100, color = Instrument_fm)) +
  theme_minimal() + xlab("") + ylab("10-year rates") +
  scale_x_date(breaks = seq(1960, 2100, 2) |> paste0("-01-01") |> as.Date(),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 50, 0.5),
                     labels = percent_format(accuracy = .1)) +
  theme(legend.position = c(0.6, 0.9),
        legend.title = element_blank())