PT  - JOURNAL ARTICLE
AU  - Prasun Baheti
AU  - Roy Mashal
AU  - Marco Naldi
TI  - Step it Up or Start it Forward
AID  - 10.3905/jfi.2006.656007
DP  - 2006 Sep 30
TA  - The Journal of Fixed Income
PG  - 33--38
VI  - 16
IP  - 2
4099  - https://pm-research.com/content/16/2/33.short
4100  - https://pm-research.com/content/16/2/33.full
AB  - 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