lcw77

I think your approach is good. It is pretty difficult to gauge the spread that brokers/dealers make but a good way may be to do a valuation per Bloomberg of a standard swap, then get quotes on the same instrument by a few large banks and see what the difference is in the fixed rate between the bank and the Bloomberg rate. This can be done by calculating the break even rate given a certain notional schedule. You can also do it in Excel with Solver.

Another thing you may try to do is determine the bid ask on the Libor/Swap curve and see if that tells you what they are buying and selling at. Just a thought. I deal with IR swaps daily and have seen on average about $20k the banks make per trade. There is also a small credit component as well since swaps are traded off of the exchange.