I got the scoop from my bank. They get to pick the exchange from which to do the currency transaction (meaning that of the millions that they trade I will get stuck with the absolute highest transaction of that business day and they will take the arbitrage.) They then tack on a 2% foreign currency transaction fee. Friggin Banks!
It may still come out less expensive, but it will eat $20 in fees on a $1000 transaction and whatever the arbitrage eats.