A credit swap (a first-to-default credit derivative, FTD credit derivative) in which the credit event relates to the first time an underlying reference entity (or obligation) in a credit portfolio runs into default.

For example, a credit portfolio may consist of 10 names (reference entities), if the first to default name is the fourth name (ordered by its time sequence), the first-to-default spread (FTD spread) will be determined based on the characteristics of that name in terms of its notional and recovery rate, among others.