One of the two legs of a tranche (vanilla tranche/ plain vanilla tranche), with the other one being a tranche coupon leg (tranche premium leg); the protection leg involves the payment of credit protection, by the credit protection seller to the credit protection buyer, against the tranche losses arising under the credit structure.

The value of a protection leg is equal to the expected tranche loss multiplied by the tranche notional with the resulting amount being adjusted for discounting (applying a discount factor for the respective time interval).

It is also known as a tranche default leg.