Using Rate Derivatives to Infer Central Bank Meeting Expectations

# Where can I find implied rates for central bank decisions?


# Where can I find implied rates for central bank decisions?












Sometimes I'll see sources online say things like markets are pricing in a certain amount of bps rate cuts/hikes by the Fed or ECB (or some other central bank) for a certain monetary policy meeting date

My main question is WHERE is this information found or how is it derived? I'm getting quite confused by looking at sources online

The only thing I found publicly available which makes sense is the Fed Funds Futures on CME that give probabilities for Fed Reserve Policy Decisions. But that's about it. I can't find any info for ECB or GBP.

Which derivative instruments are most commonly used to hedge interest rates(and what are they called and WHERE can I find them) for:

-EURO (Where can I find it and what's the instrument called?)

-GBP (Where can I find it and what's the instrument called?)

-JPY (Where can I find it and what's the instrument called?)

-AUD (Where can I find it and what's the instrument called?)

-NZD (Where can I find it and what's the instrument called?)

-CHF (Where can I find it and what's the instrument called?)

I have heard for EURO we can try to look at the 3 Month EURIBOR Swaps(is this the same as an OIS Swap? If not, what's the OIS Swap for Euro called and where can I find it and is the Euro OIS Swap a better indicator?). I also read about ESTR Futures. But I can't get a definitive answer anywhere on which derivative instruments are most commonly used by the market to price in what the implied rate will be. Thank you.

## Answer by ThatDataGuy (score 0)

https://quant.stackexchange.com/a/79625

I believe that OIS (overnight index swaps) are what you want, but from memory you'll need a model to interpret the raw data into implied / expected central bank hikes/cuts. Note also that OIS is OTC, so there's an implicit credit component that makes this more complex when those concerns are priced in (eg, during 2008/9 etc).

## Answer by JUW (score 0)

https://quant.stackexchange.com/a/82056

USD: you can back out the implied jump size from one-month Fed Funds (FF) futures assuming the FF rate stays constant between two FOMCs.

GBP and EUR: There are broker feeds for meeting-to-meeting swap rates for SONIA and ESTR respectively in ICAP. The implicit assumption is still the overnight rate stays constant in between two MPC/ECBs.

That's how dealers build up the front end curve for G3 currencies.

## Answer by AMach (score 0)

https://quant.stackexchange.com/a/85255

Easiest option is {WIRP} on bbg terminal. If you want a free alternative I would focus on trying to find on bank meeting swap tickers. Not sure who streams these for free though as they are mostly dealt and traded OTC.

To answer your Euro related questions:

Q1: I have heard for EURO we can try to look at the 3 Month EURIBOR Swaps (is this the same as an OIS Swap? If not, what's the OIS Swap for Euro called and where can I find it and is the Euro OIS Swap a better indicator?).

A1: No its not the same as OIS. OIS = "Overnight Index Swap" usually reserved for overnight secured repo rates. Euribor is an unsecured interbank rate meaning its the rate banks lend to each other at to some term (usually 1month or 3months). The 3m Euribor swap will be messy and not popular for backing out implied meetings. ESTR is an overnight unsecured lending rate and would be the better index for meeting related swap trades.

Q2: I also read about ESTR Futures. But I can't get a definitive answer anywhere on which derivative instruments are most commonly used by the market to price in what the implied rate will be. Thank you.

A2: ESTR futures are cleaner since they are based on an overnight rate but their liquidity is inferior. You might be better to stick with the more liquid Euribor futures but both can trade and both can be used to express a view in short term interest rates. ESTR swaps might be the best option if you have that available to you.

Good luck