MIT Press

In this section we derive an estimate of Tether default risk. We use data on Tether/USD (USDT) futures, which have traded on the FTX derivatives exchange since February 2020. Data on USDT spot and futures prices are from https://www.coinapi.io/.^⁹ Summary statistics for these and related data are shown in Tables 2 and 3. Note that Tether futures typically trade at a discount relative to spot, as if investors perceive a risk of default. We define

s_{t}

and

f_{t}

as the spot and futures price of a unit of Tether, and

Δ_{t}

as the peg-price premium

s_{t}

– 1.

Table 2.

Coinapi data

Data type	Coin symbol	Exchange	Sample period
OHLCV	USDT_USD	FTX	02/20–06/21
OHLCV	USDT_USD	Kraken	02/20–06/21
OHLCV	BTC_USDT	Binance	02/20–06/21

Data type	Coin symbol	Exchange	Sample period
OHLCV	USDT_USD	FTX	02/20–06/21
OHLCV	USDT_USD	Kraken	02/20–06/21
OHLCV	BTC_USDT	Binance	02/20–06/21

Note: Data on spot and futures prices obtained from FTX and Binance exchange on coinapi. Sample period from February 2020 to June 2021.

View Large

Table 3.

Summary statistics

	count	mean	std	min	25%	50%	75%	max
s	410.0	1.0007	0.0011	0.9971	1.0001	1.0006	1.0011	1.0119
f	410.0	0.9992	0.0008	0.9951	0.9988	0.9993	0.9997	1.0050
f–s	410.0	−14.2561	14.2087	−121.0000	−22.0000	−13.0000	−5.0000	45.0000
P	410.0	30.5791	31.4502	−198.5050	12.0054	28.0294	48.0865	197.4453

	count	mean	std	min	25%	50%	75%	max
s	410.0	1.0007	0.0011	0.9971	1.0001	1.0006	1.0011	1.0119
f	410.0	0.9992	0.0008	0.9951	0.9988	0.9993	0.9997	1.0050
f–s	410.0	−14.2561	14.2087	−121.0000	−22.0000	−13.0000	−5.0000	45.0000
P	410.0	30.5791	31.4502	−198.5050	12.0054	28.0294	48.0865	197.4453

Note: Summary statistics on spot s_t, futures f_t, basis f_ts_t and the imputed probability of default p_t.

View Large

This Feature Is Available To Subscribers Only