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Why do we have 2 connectors namely CN2 (SWD) and CN3 (ST-LINK) on STM32F407 Discovery board? Are not they the same thing?
No, they're not the same.
The pair of jumpers on CN3 connects the ST-Link to the target device (i.e, the STM32F407 located on the Discovery board).
When those jumpers are removed, the SWD pins on CN1 can be used to connect the ST-Link to another target device.
Required, but never shown