What does a fixed rate actually cost me on a large trade

07 September 2026

A fixed rate costs you the difference between the rate you lock and the rate you would have received on a floating trade of the same size. That difference is the premium you pay for certainty.

When you swap a small amount, the rate barely moves. A fixed rate and a floating rate are nearly identical. On a large trade, that changes. The floating rate you see on screen is the rate for the next small increment. If you tried to execute the whole trade at that rate, the price would slide as the exchange absorbed your order. The fixed rate already accounts for that expected slide - and then adds a buffer.

How the fixed rate is built

The exchanger calculates a fixed rate by looking at the current market price, the depth of the order book on both sides, and the size of your trade. It estimates how much the price would move if your entire trade hit the book at once. That estimated slippage is built into the rate. Then the exchanger adds its own spread and a risk margin.

The risk margin exists because the exchanger is taking on the price risk that you are offloading. If the market moves against them while your swap is being executed, they lose money. They charge you for that possibility. On a large trade, that charge is larger because the potential loss is larger.

What you actually pay

You pay two things. First, the estimated slippage that would have happened anyway on a floating trade. Second, a premium on top of that slippage. The premium is the cost of certainty.

The premium is not a fixed percentage. It depends on how liquid the pair is, how volatile it has been recently, and how large your trade is relative to the available liquidity. On a very liquid pair with a deep order book, the premium might be small. On an illiquid pair, it can be substantial.

A concrete example

Suppose you want to swap a large amount of one asset for another. The floating rate shows a price of 100. You ask for a fixed rate. The exchanger quotes 99.5. You execute at 99.5.

If you had taken the floating rate and the market had not moved, your average fill price might have been 99.7 after slippage. The fixed rate cost you 0.2 units per unit swapped. That 0.2 is the premium for knowing exactly what you would get, regardless of what happens next.

If the market had moved against you during a floating execution, you might have ended up at 99.0 or worse. The fixed rate saved you from that risk. You paid for that protection.

When the fixed rate is worse than you expect

Sometimes the quoted fixed rate is significantly worse than the floating rate plus estimated slippage. That happens when the exchanger is hedging your trade and the hedging cost is high. It can also happen when the exchanger does not want to take the other side of your trade and prices it accordingly.

You can always refuse the fixed rate and take the floating rate instead. The floating rate on a large trade is not a single price. It is a stream of fills at different prices as your order eats through the book. You can watch that stream happen. You cannot lock it in advance.

The relationship to the hub topic

This page is part of a set about what changes when your swap is big enough that the rate itself matters. The hub page, "When your swap is big enough to move the rate," explains why the floating rate you see is not the rate you get. A fixed rate is one way to handle that problem. It is not the only way, and it is not free.

What to do with this information

If you are trading a large amount, ask for the fixed rate. Compare it to the floating rate. Understand that the floating rate is an estimate, not a promise. The fixed rate is a promise with a price.

The question is whether the certainty is worth the premium. That depends on your tolerance for slippage, your need to know the final amount in advance, and your view of where the market might go while your trade executes. There is no universal answer.

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