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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 st and ft as the spot and futures price of a unit of Tether, and Δt as the peg-price premium st – 1.

Table 2.

Coinapi data

Data typeCoin symbolExchangeSample 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 typeCoin symbolExchangeSample 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.

Table 3.

Summary statistics

countmeanstdmin25%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 
countmeanstdmin25%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 st, futures ft, basis ftst and the imputed probability of default pt.

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