TY - JOUR T1 - Step it Up or Start it Forward JF - The Journal of Fixed Income SP - 33 LP - 38 DO - 10.3905/jfi.2006.656007 VL - 16 IS - 2 AU - Prasun Baheti AU - Roy Mashal AU - Marco Naldi Y1 - 2006/09/30 UR - https://pm-research.com/content/16/2/33.abstract N2 - We introduce a simple algorithm for the fast valuation of “reset tranches,” a class of default-path-dependent structures that includes forward-starting contracts and subordination/leverage step-ups. After showing how to price these instruments quasi-analytically, we offer a few examples to illustrate how reset tranches can be used by buy-and-hold investors for yield enhancement and for expressing views on the timing of defaults.TOPICS: Performance measurement, CLOs, CDOs, and other structured credit ER -