€STR (Euro Short-Term Rate) Forecast 2026
Quantitative analysis from 1,675 observations of €STR (Euro Short-Term Rate) history, joined to four universal macro regime classifications. Numbers are computed, not narrated.
Regime Scan[01/04]
Δ = divergence from +29.8% unconditional all-history average
Performance by Window[02]
| WINDOW | N | ANN RET | ANN VOL | RET/VOL | HIT % | TOTAL |
|---|---|---|---|---|---|---|
| 1Y | 254 | -20.11% | 15.60% | -1.29 | 38.3% | -20.10% |
| 3Y | 766 | -12.64% | 16.78% | -0.75 | 39.3% | -33.31% |
| 5Y | 1,282 | 40.22% | 403.90% | 0.10 | 38.7% | 441.95% |
| 10Y | 1,675 | 29.84% | 353.39% | 0.08 | 39.1% | 451.91% |
| All | 1,675 | 29.84% | 353.39% | 0.08 | 39.1% | 451.91% |
Annualized total return = (1 + total)^(1/years) - 1. Ret/Vol is the annualized return divided by annualized volatility (Sharpe-equivalent without risk-free subtraction). Hit % = pct of single periods that were positive.
Where We Are Now[03]
Forward Returns by Macro Regime[04]
How €STR (Euro Short-Term Rate) has performed historically conditional on the prevailing macro regime. The current bucket is highlighted; +1Y averages drive the headline signal above.
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Low (<15) | 340 | 0.23% | -2.14% | -19.21% | -18.95% | 18.4% |
| Normal (15-25) | 969 | 21.49% | 67.58% | 220.39% | -2.28% | 44.5% |
| Elevated (25-40) | 311 | 44.22% | 138.77% | 376.70% | 0.00% | 49.8% |
| Extreme (>40) | 38 | -2.22% | -4.99% | -7.16% | -6.17% | 0.0% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Inverted (<0bps) | 535 | 61.88% | 171.00% | 338.23% | 7.52% | 56.3% |
| Flat (0-100bps) | 875 | -0.78% | 8.54% | 109.71% | -3.25% | 23.4% |
| Steep (>100bps) | 207 | -0.34% | -0.96% | 64.19% | -2.12% | 37.7% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Tight (<350bps) | 782 | -2.42% | -6.94% | 41.88% | -25.36% | 23.8% |
| Normal (350-500bps) | 676 | 41.45% | 124.35% | 306.58% | 0.38% | 54.4% |
| Stressed (>500bps) | 214 | 34.58% | 103.76% | 216.55% | -2.93% | 26.2% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Weak (bottom tercile) | 157 | -0.26% | -0.85% | 1.41% | -3.01% | 5.9% |
| Neutral (middle) | 386 | -0.34% | 0.18% | 150.92% | 84.71% | 57.6% |
| Strong (top tercile) | 1,068 | 30.47% | 91.81% | 222.64% | -3.24% | 38.3% |
Forward returns are forward-looking from each historical observation in the bucket; +252d corresponds to one trading year. Buckets with fewer than 5 forward-return observations are reported as n/a. These are conditional historical averages, not forecasts.
Lead-Lag Relationships[05]
For each universally-recognised leading indicator, the lag at which the daily-return correlation peaks. Positive lag means the anchor leads €STR (Euro Short-Term Rate); negative means it lags.
| ANCHOR | ROLE | PEAK LAG | PEAK CORR | ZERO-LAG | RELATIONSHIP |
|---|---|---|---|---|---|
| 10Y-2Y Yield Spread | Recession leader | +45d | -0.195 | -0.012 | leads target by 45d |
| Baa-10Y Spread | Credit risk (slow) | -10d | 0.128 | -0.019 | weak |
| Copper | Global growth proxy | -37d | 0.112 | -0.015 | weak |
| Trade-Weighted Dollar | FX driver | -56d | -0.095 | 0.002 | weak |
| HY OAS Spread | Credit risk leader | +55d | 0.072 | 0.016 | weak |
| 10Y Treasury Yield | Discount-rate driver | -10d | -0.052 | -0.005 | weak |
| VIX | Volatility leader | +17d | 0.048 | -0.015 | weak |
| NFCI | Financial conditions | -7d | 0.025 | 0.001 | weak |
| Initial Jobless Claims | Labor leader | -8d | -0.007 | -0.001 | weak |
| U-Mich Consumer Sentiment | Survey leader | 0d | 0.000 | 0.000 | weak |
Pearson correlation of daily returns over up to 25 years of overlapping history, searched across a ±60-day lag grid. Indicators classified as “weak” don't have meaningful predictive power at daily resolution; many of these (yield curve, NFCI, sentiment) lead at monthly/quarterly horizons instead.
Historical Analogs[06]
Periods where €STR (Euro Short-Term Rate) sat at a similar percentile rank to today, with what happened over the next 30 / 90 / 252 trading days. Analogs are clustered to avoid double-counting nearby dates.
| DATE | VALUE | +30D | +90D | +1Y |
|---|---|---|---|---|
| Apr 15, 2025 | 2.4160 | -10.55% | -20.28% | -20.03% |
| Feb 27, 2020 | -0.5380 | 0.37% | -2.23% | -4.83% |
Worst Historical Drawdown[07]
Cross-Asset Correlations · 1Y[08]
Largest Single-Period Moves[09]
- Sep 14, 2022897.59%
- Nov 2, 2022112.90%
- Jul 27, 202285.37%
- Dec 21, 202235.57%
- Feb 8, 202326.24%
- Sep 8, 2022-13.16%
- Jun 11, 2025-11.50%
- Apr 23, 2025-10.34%
- Mar 12, 2025-9.43%
- Feb 5, 2025-8.60%
Calendar-Month Seasonality[10]
Average single-period return aggregated by the calendar month in which the period ended.
| MONTH | AVG RETURN | HIT % | N |
|---|---|---|---|
| January | 0.03% | 37.3% | 150 |
| February | 0.12% | 40.4% | 141 |
| March | 0.08% | 38.3% | 154 |
| April | -0.08% | 38.3% | 128 |
| May | 0.05% | 42.2% | 128 |
| June | -0.11% | 41.1% | 129 |
| July | 0.62% | 36.1% | 133 |
| August | 0.04% | 37.1% | 132 |
| September | 6.90% | 41.5% | 130 |
| October | -0.02% | 43.5% | 154 |
| November | 0.78% | 37.6% | 149 |
| December | 0.14% | 36.3% | 146 |
N = 1,675 OBS · GENERATED 2026-05-03 12:30Z
Forecast Approach
scenario weighted: We aggregate probability-weighted outcomes across active tracked scenarios, each with historical base rates and current heat scores. The projection above is the sample-weighted central estimate across current macro regime anchors; the scenario list below adds qualitative context.
Consensus source: ECB/BoE forward guidance
Key Drivers & Risks
- •ECB/BoE policy
- •European inflation
- •Growth differentials
- •Political risk
Historical Volatility
Moderate: similar to US rates
Frequently Asked Questions
What factors could push €STR (Euro Short-Term Rate) higher?▾
The primary drivers that tend to lift €STR (Euro Short-Term Rate) depend on the current macro regime. European markets carry the sovereign debt overhang of the post-2010 era in their pricing. Bund-BTP spreads remain the cleanest gauge of periphery stress, while HICP drives ECB policy expectations. UK macro diverges post-Brexit, with sterling volatility and Gilt-Bund spreads carrying political risk premia that sometimes detach entirely from U.S. moves. Convex tracks these drivers live across the EU/UK Rates category and flags when multiple forces align in the same direction. See the "Key Drivers & Risks" section on this page for the current list, and check the regime dashboard for how the macro backdrop is currently tilted.
What factors could push €STR (Euro Short-Term Rate) lower?▾
The same transmission channels that drive €STR (Euro Short-Term Rate) higher operate in reverse when conditions flip. The risk drivers listed above map directly to scenarios that, if triggered, would pull this metric in the opposite direction. Convex aggregates these into a scenario-weighted probability distribution rather than a point forecast, so the magnitude depends on which scenarios activate.
Where does consensus see €STR (Euro Short-Term Rate) heading?▾
Rather than publish a point target that goes stale the day after release, Convex assembles consensus from the macro regime classification, active scenario probabilities, and historical base rates. Point forecasts from banks and strategists are worth reading for context, but they typically cluster around the consensus and miss the tail events that actually move markets. The scenario-weighted approach here captures that tail risk explicitly.
What is the historical range for €STR (Euro Short-Term Rate)?▾
Historical ranges for €STR (Euro Short-Term Rate) vary dramatically by regime. A level that is extreme in Goldilocks can be routine in Stagflation, and vice versa. The Historical Volatility section on this page describes the typical range and regime-specific behavior. For the full multi-decade history, visit the €STR (Euro Short-Term Rate) chart page, which includes selectable time ranges up to five years and downloadable data.
How often is the €STR (Euro Short-Term Rate) forecast updated?▾
This forecast page recalculates whenever the underlying data or regime classification changes, typically within hours of new data releases. The scenario probabilities refresh daily as the macro state is regenerated. Specific drivers listed on this page reflect the current state of the Convex regime engine, not static historical assumptions.
Is this forecast actionable for trading?▾
Convex forecasts are informational and educational. They describe probability distributions and regime-conditional paths rather than specific entry and exit levels. Traders and portfolio managers use them alongside other inputs including position sizing rules, risk management, and their own conviction calibration. They are not investment advice.
Get forecast updates for €STR (Euro Short-Term Rate) and related indicators.
Forecasts are model-based projections derived from current regime classification, scenario probabilities, and historical patterns. They are not investment advice. All investments involve risk.