Some changes in ECB monetary policy data.

First, I'd like to remind that few days ago, exactly on march 28th, 3-month Eonia OIS swap reached 1,005 first time in last 3 years.

As it known, surplussing OIS swap rate over the key Central bank' interest rate means market participants are expecting key interest rate increasing on swap maturity.

Eonia OIS 3 month

ECB usually manages situation by providing 2 main monetary policy programs: MRO and LTRO (certainly, there are a lot of other monetary instruments, but about it plans to post later).
Hence, ECB started to expand MRO allotment.

Main Refinancing Operations by ECB

So, how can we use such information for market operations and dealing?
Pure simple! 

One one hand we'll calculate Euribor - OIS Eonia 6 month spread for measuring impact of MRO providing, and on second, we'll plot MRO allotment for results estimation of LTRO maturity. For example, yesterday LTRO maturity makes Euro spot exchange rate increasing on near 1 per cent, while MRO expanding the day before and Euribor-OIS Eonia spread winking us about potential drop.

Euribor - OIS Eonia 6 month spread

Moreover, plotting Euribor - OIS spread lets us to recognize very useful detail, such as moments, when "short" spread (1 - 3 week maturity) became negative. For example on 09.02.11, 26.01.11, 03.12.10, 04.11.10 and, actually, on 30.03.11.