ABSTRACT
The day’s currency trading is winding up on the afternoon of September 14, 2008. As usual,
currency traders have kept a close eye on the “dollar basis”—the implied interest rate for a
dollar-denominated currency swap minus an interbank-market interest rate (such as the
London interbank offer rate, or Libor). In effect, the dollar basis is a premium that individual
traders must pay to obtain dollars quickly via currency swaps given that they do not have
access to interbank markets available to large, internationally active financial institutions.
