With respect to FTD credit derivatives (e.g., FTD credit swaps), it is the fixed spread the protection buyer pays to the protection seller in a proportion that equalizes the present value of the premium leg and the default leg (protection leg).

The spread depends on many factors including the number of names (issuers), respective spreads of issuers, the maturity of the first-to-default (FTD) basket and the default correlation between the names. The first-to-default spread corresponds to the first-to-default default probabilities in terms of boundaries it has between the lowest issuer spread and the sum of all the respective spreads, as well as the sensitivity to default correlation, etc. The FTD spread is a function of the FTD default probability, so that when the correlation increases, the FTD spread decreases and vice versa.

FTD spreads are a main component in pricing FTD credit swaps/ FTD basket swaps (first-to-default credit swaps/ first-to-default basket swaps.)