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Default Leg

In relation to a default swap (a credit default swap/ CDS), it is one of the two legs of the...

Protection Leg

In relation to a default swap (a credit default swap/ CDS), it is one of the two legs of the...

Premium Leg

A regular stream of payments made by the protection buyer to the protection seller in a default swap (a credit...

CDS Credit Spread

The spread/ premium that reflects the a CDS market's view of both probability of default and an assumption about the...

CDS Premium

The premium (measured in basis points) that is paid to the protection seller in a credit default swap (CDS) or...