A credit portfolio derivative, specifically a portfolio default swap in which the protection buyer may change the actual composition of the portfolio over the term of the agreement, based on comprehensive criteria to select the assets or obligations forming part of the portfolio.

Though the total value of a reference portfolio remains unchanged, the actual composition may change over time as new obligors or names could be added to the pool to take the place of constituents that have been prepaid, repaid or removed for non-compliance.