I received a quote on a $500k USD/CAD FX swap today. The swap is amortizing over 10 years, with a 5 year term.
What is an appropriate spread over the no-arbitrage price to be charged by my counterparty?
What is the payout again?
For this sort of thing in general, though, I would expect 10bp to 30bp mid/offer spread on notional. It will be better if you are a big institutional customer, or might be worse if you’re going through an advisory or other middle man.
Anyway, since you have a quote, you can maybe price it and see how it looks.
Fairly large instution with a large parent co, but we have had no reason to deal in FX derivative markets yet so this would be a first. Really only doing this to accomodate an existing client. Currently the bank that gave the quote has our operating accounts. They are asking in the range of 50bps spread over the no arb price and I thought that was pretty rich.
Seems high but for only $500k it might just be an annoyance for the bank if you have to setup ISDAs and whatnot, which is why they’re charging more. Shop around, if you’re able to.