With the introduction of the Euro on January 1, 1999, in eleven European countries, the second-largest capital market in the world was created. This has led to profound structural changes for the European bond markets, particularly for individual market segments, investors, and stakeholders. Beginning with an overview of the key effects of the Economic and Monetary Union, the authors describe the role of the European Central Bank, its monetary policy instruments, and the money market, which represents the short end of the European yield curve. The different market structures of the new bond market and the yield spreads between the main segments (government, bank, corporate, and Euro bonds) are the focal points. New instruments such as ABS, MBS, CBO, CLO, and structured products, as well as derivatives, are also discussed. Finally, the most important aspects are addressed.