ask an ex AIG shareholder and they'll probably tell you that this OTC "black swan" has already occurred for CDS based on corporate debt. I was of the understanding they had closed out most of their position with TARP cash hence the interesting trading profits of Goldman sach and others in Q1 2009.
However, whoever is issuing CDS on US sovereign debt is "picking up pennies in front of a steamroller" like that racetrack example. Maybe not really a black swan as people should really be aware of the possibility sovereign debt default.
OTC CDS really needs regulation and margin calls to reduce counterparty risk. IMO
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