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"Relative value trade identification"

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Relative Value Insights

Katana leverages the latest in big data and machine learning technologies to analyse millions of bond pairs every single day. We use deep learning to examine the entire space of relative value ideas to provide actionable insights on which pairs have the best opportunity. A new state-of-the-art deep neural network that predicts compression with 81% accuracy and median return of 10 bps of compression on an out-of-sample and out-of-time validation set.

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Heineken Pair Opportunity Update
August 29, 2021

Heineken Pair Opportunity Update

BUY

HEIANA 2.875% 08/04/25

XS0811555183
SELL

HEIANA 1.625% 03/30/25

XS2147977479
ESG Idea in Spanish Financials
August 12, 2021

ESG Idea in Spanish Financials

BUY

SANTAN 0.3 10/04/26 Corp

XS2063247915
SELL

BBVASM 0 3/8 11/15/26 Corp

XS2079713322
BNP ESG Bond Swap Idea
August 10, 2021

BNP ESG Bond Swap Idea

BUY

BNP 0 ⅜ 10/14/27

FR00140005J1
SELL

BNP 2 ⅜ 02/17/25

XS1190632999
Heineken Opportunity
August 9, 2021

Heineken Opportunity

BUY

HEIANA 2.875% 08/04/25

XS0811555183
SELL

HEIANA 1.625% 03/30/25

XS2147977479
ITAU PERP BANBRA PERP idea is 15bps in the money for the week
July 31, 2021

ITAU PERP BANBRA PERP idea is 15bps in the money for the week

BUY

ITAU 6 ½ PERP Corp

USP5R6DPAB67 Corp
SELL

BANBRA 9 PERP Corp

USP3772WAF97 Corp
Green Bond Swap Idea Move from BBB to A Minus In Financials
July 30, 2021

Green Bond Swap Idea Move from BBB to A Minus In Financials

BUY

SANTAN 1 ⅛ 06/23/27 Corp

XS2194370727 Corp
SELL

UCGIM 0 ½ 04/09/25 Corp

XS2063547041 Corp
Green Bond Swap Idea In Dutch Financials
July 29, 2021

Green Bond Swap Idea In Dutch Financials

BUY

INTNED 2 ½ 11/15/30

XS1909186451 Corp
SELL

RABOBK 1 ⅛ 05/07/31

XS1991126431 Corp
Walmart Curve Idea In the money update
July 24, 2021

Walmart Curve Idea In the money update

BUY

WMT 5 1/4 09/01/35 Corp

US931142CB75 Corp
SELL

WMT 7.55 02/15/30 Corp

US931142BF98 Corp
MUFG 2.048% Cheap vs MIZUHO 4.018% 2028
July 16, 2021

MUFG 2.048% Cheap vs MIZUHO 4.018% 2028

BUY

MUFG 2.048 07/17/30

US606822BU78
SELL

MIZUHO 4.018 03/05/28

US60687YAR09
AEE 3.5% 2031 Cheap vs AEP 4.1% 2028
July 15, 2021

AEE 3.5% 2031 Cheap vs AEP 4.1% 2028

BUY

AEE 3 1/2 01/15/31

US023608AJ15
SELL

AEP 4.1 09/15/28

US845437BR25
MIZUHO 1.979% 2031 Cheap vs SUMIBK 4.306% 2028
July 12, 2021

MIZUHO 1.979% 2031 Cheap vs SUMIBK 4.306% 2028

BUY

MIZUHO 1.979 09/08/31

US60687YBL20
SELL

SUMIBK 4.306 10/16/28

US86562MBG42
BAC3.705% 2028 Cheap vs PNC4.05% 2028
July 8, 2021

BAC3.705% 2028 Cheap vs PNC4.05% 2028

BUY

BAC 3.705 04/24/28

US06051GGL77
SELL

PNC 4.05 07/26/28

US69349LAR96
ALL 5.75% 2053 Tightens Against PRU 3.7% 2050
July 7, 2021

ALL 5.75% 2053 Tightens Against PRU 3.7% 2050

BUY

PRU 3.7 10/01/50

US744320BH48
SELL

ALL 5 3/4 08/15/53

US020002BB69