First-to-default swap (${\tau }_{\mathrm{first}}={\min }_i{\tau }_i$)

A basket credit contract whose protection payment is triggered by the first specified default among its reference entities. The loss and settlement terms refer to the defaulting name according to the contract. Premium generally stops at that first default or maturity. Pricing requires the joint default-time distribution; separate marginal default probabilities alone do not determine the first-default law.