Pricing of FixedReset issues was bizarre in the first few years of their existence, until the surprising (for many) and traumatic (for many more) December, 2014, reset of TRP.PR.A, convinced the market that maybe something a little more rational was required.
In this effort, I continued my investigation of what on earth was driving relative pricing in the FixedReset market in 2010, with the ‘Total Expected Loss Model’ and the ‘Expected Loss Rate Model’.
Look for the research link!
