A basket-linked credit default swap (basket-linked CDS) which protects the buyer (the long) from a range of cumulative losses of a reference pool. Credit events associated with the reference pool will result in losses for which the swap can cover a minimum and up to a maximum percentage of the initial total notional of the pool. For example, a 4-8% tranche-loss credit default swap will protect the buyer from any losses that exceed 4% of the initial total notional of reference assets and up to a maximum compensation of 8%.
It is also known as layer-loss CDS.
