RT Journal Article SR Electronic T1 Step it Up or Start it Forward JF The Journal of Fixed Income FD Institutional Investor Journals SP 33 OP 38 DO 10.3905/jfi.2006.656007 VO 16 IS 2 A1 Prasun Baheti A1 Roy Mashal A1 Marco Naldi YR 2006 UL https://pm-research.com/content/16/2/33.abstract 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