Any "credit risk" (risk of default) associated with swap-spread arbitrage like the trade in appendix G is typically small. The risk of the U.S. government's defaulting on its bonds is regarded as negligible; bond futures contracts are guaranteed by the clearinghouse of a derivatives exchange such as the Chicago Board of Trade; and LTCM's swap contracts were typically with major banks. Even major banks may fail, but because the principal sum in a swap is not exchanged, it is only notional and is at no risk: the credit risk involved is only of the loss of future net differences between fixed-rate and floating-rate interest.

Donald MacKenzie, An Engine, Not a Camera, loc. 984