Basket credit default swap

Basket credit default swap

A credit derivative contract that provides a payoff when any of the multiple reference entities default. The contract specifies the number of defaults after which the payoff is generated, based on which the instrument is classified as first-to-default CDS, second-to-default CDS or more generally nth-to-default CDS.
References in periodicals archive ?
While most credit default swaps are single name, basket credit default swaps, in which the underlying consists of a basket of underlying credits, are growing in popularity.