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Tranche Protection Leg

One of the two legs of a tranche (vanilla tranche/ plain vanilla tranche), with the other one being a tranche...

Tranche Default Leg

One of the two legs of a tranche (vanilla tranche/ plain vanilla tranche), with the other one being a tranche...

Default Leg

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