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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.

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  • $\begingroup$ For example WIRP on BBG. $\endgroup$
    – AKdemy
    Commented Apr 20 at 23:03
  • $\begingroup$ Also CME's cmegroup.com/markets/interest-rates/cme-fedwatch-tool.html $\endgroup$ Commented Apr 20 at 23:11
  • $\begingroup$ @AKdemy so this sort of information is mainly on paid services then? $\endgroup$
    – Man Dem
    Commented Apr 20 at 23:27
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    $\begingroup$ @Man Dem, it's a reasonably simple computation and as long as you use futures, you can get the market data for free on the exchanges website and implement it yourself. With swaps (OTC data), you will need a data provider. What is used will depend on the region (liquidity / availability of the instrument). Generally though, the vast majority of people interested in that type of data will have BBG or the like anyways. $\endgroup$
    – AKdemy
    Commented Apr 20 at 23:36
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    $\begingroup$ Usually futures will be "free-ish" information (off exchange websites or aggregators or otherwise), the swaps are quoted OTC, so you are unlikely to find them off BBG or broker chats. For the 3m EURIBOR futures for example, for EUR rates, you can use the site @Dimitri Vulis posted to infer prices but of course in this case you need to adjust for the basis between the Depo Rate and 3m EURIBOR fixing. I would say ESTR futures are probably more representative (with a tighter basis) - but I don't think they have substantial liquidity....yet. $\endgroup$
    – user68819
    Commented Jun 5 at 19:55

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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).

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