BASKET CREDIT DEFAULT SWAP
- A credit default swap which transfers credit risk with respect to multiple reference entities. For each reference entity, an applicable notional amount is specified, with the notional of the basket swap equal to the aggregate of the specified applicable notional amounts.
Types of basket credit default swaps include linear basket credit default swaps, first-to-default basket credit default swaps, and first-loss basket credit default swaps.
Related Terms:
Credit default swap