Key Post Understanding Fixed Rates breakage costs

daveyboy31

Registered User
Messages
14
Thanks for that. Yeah i was thinking it was the 10 years that was the issue. If you get a chance could you post a link to view the 10 year rate so I can keep an eye on it. Appreciate you taking the time to advise
 

RedOnion

Frequent Poster
Messages
3,047
Approximation of rate movements:

I don't have access to real bank funding rates, so I use corporate swap rates as an approximation when estimating break fees for posters.
Note: these are not the same as interbank rates, but they move in the same direction. I haven't found a material difference in any recalculation I've done for anyone yet.

The following has free access, and you can select date you want to see:
https://www.theice.com/marketdata/reports/180
 
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