Below Par — Capital-Gain Kicker

Discounted USD coupon bonds (price ≤ 92) with a 2–7Y tenor and BB+ or better rating.

This month's screen targets deeply discounted USDdenominated paper trading at or below 92 cents on the dollar across a 2to7year tenor, isolating assets where price dislocation creates an immediate capitalgain kicker upon convergence to par. While our baseline mandates a BB+ or better quality profile, liquidity and distress anomalies within the broader investable universe frequently push highconviction opportunities down the ratings spectrum. The resulting portfolio construction heavily rewards durationadjusted relative value, highlighted by highbeta emerging market basic materials and developed market technology names offering extraordinary gross redemption yields. For instance, Brazilian materials issues such as CSNABZ 4.625% and 5.875% maturing in the early 2030s trade near 50 cents, delivering yields to worst above 22%, alongside US tech operators like XRX 13.5% offering a 17.48% YTW from an 88handle price point. Institutional desks seeking total return can exploit these structural inefficiencies to lock in doubledigit yields to worst—ranging from 14.4% in Turkish utilities (GDZELE 9%) to over 26% in distressed US consumer names (OB 10%)—while capturing substantial pulltopar upside. This subset effectively bridges high current income with asymmetric price appreciation, suiting portfolios positioned for yield curve stabilization and credit tiering.

Results are limited to USD bonds with an amount outstanding of at least USD 200MM.