It is an acronym for credit option on Brady bonds. By definition, it is an option whose underlying is the spread between the yields to maturity (YTM) on a Brady bond and that on another bond with a comparable maturity such as a Treasury bond. Brady bonds are typically issued by developing countries as a result of a voluntary restructuring of their nonperforming debts owed to commercial bank creditors in exchange for these defaulting debts.
December 16, 2024
