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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...

    LTLSS Note

    A leveraged super senior note (LSS note) (a synthetic collateralized note) that is associated with a loss trigger. More specifically…

      Default Leg

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

        Multi-Currency CDS

        A credit default swap (CDS) that is traded in multiple currencies, i.e., protection, in case of default, is paid by...

          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...