An option that has the features of both a credit default option and a basket option. It is an exchange-traded, cash-settled option which is based on two or more issuers or reference assets. Upon the occurrence of one or more specified “credit events” in respect of the underlying issuer or asset, the buyer of the option receives a fixed payment, settled in cash.
Generally, credit default basket options are classified as single payout credit default basket options and multiple payout credit default basket options.
