A basket credit default swap (basket CDS) that pays off if and when any of the reference entities defaults. As such, a settlement ensues, and then the swap terminates automatically with no further payments being required from either party. For instance, a first-to-default CDS provides a payoff when the first default takes place. A second-to-default CDS provides a payoff only when the second default occurs. In general, nth-to-default CDS provides a payoff only when the nth default occurs.
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