Our market consensus forecast is a daily-updated forecast of key benchmark interest rates. It is generated primarily using yield data and futures market prices, using minimal theoretical assumptions. Forecasts from the model can be interpreted as the median expectation of market participants.
The €STR component of the forecast is extracted from euro short-term rate futures with 3-month tenors and a model derived zero term premium. See the riskless rate extraction process in the model documentation for details.
While the model prioritizes consistency with market expectations over forecast accuracy, its forecast accuracy has historically exceeded that of survey and agency-based forecasts due to its higher update frequency and timeliness. Prior forecast values are available below.
The model is updated daily between 9:30-10:00 ET (13:30/14:30 UTC) with the prior day's data. This uses the prior day's futures prices, generally at a 3pm ET settlement time.