Paris, February 23, 2023 - The CoCo33 valuation and risk management model introduces several new risk outputs related to the extension risk of regulatory capital securities

Most notably:

  • Suboptimal Call Probability: the probability that an issuer will respect the gentleman agreement and call a bond at its next call date even when the value of the bond is lower than the call price.
  • Suboptimal Call Value: the value given to investors as a result of a possible suboptimal call policy.
  • Extension Probability: the probability that a security will be extended (not called) at the next call date, taking into account the possible suboptimal call policy of the issuer.