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FPGA latency is also much more predictable. Since you have cycle level control, you can know exactly how long any given operation will take. In a multi-threaded CPU, it's likely that the operation may be interrupted or delayed because of another process using the same resourt.

It's also worth noting that FPGAs are often much closer to the I/O than a CPU on a motherboard. Pin to pin latencies are much reduced in a situation where direct access to I/O is available. An Ethernet stack can sit on the same silicon without having to serialize data between the CPU and the north bridge.

I have a feeling that much of the cost is from the smaller market. It takes a massive amount of engineering resources to put out a new chip, and you need slot of sales to compensate. If FPGAs become commonplace in servers, then we will see a price decrease as it becomes easier to recouperate the overhead.