A basket credit default swap that pays off on the condition that any of the reference entities defaults. As such, a settlement ensues, and then the swap terminates automatically with no further payments being made by 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.