Download our Whitepaper

Download our Whitepaper

"Relative value trade identification"

Thank you for your interest in Katana!

Click the link below to start your download
Download
Oops! Something went wrong while submitting the form.

Relative Value Insights

By separating signals from the noise, Katana enhances your insights and gives you a proven robust framework to navigate your investment space, profitably. Using a robust backtesting framework and a 30-day mean reversion horizon we find that 91% of the pairs identified as “Top Ideas” revert to their mean 30-days later with a median compression of 11bps, and the model performs robustly across a wide spectrum of reversion timescales.

Request a demo
Thank you! Your submission has been received!
Oops! Something went wrong while submitting the form.

Katana is cloud native and requires no integration with internal systems or data.

Katana In Action

Katana Labs
,
May 18, 2020

Ghana 23 / Kenya 24 revisited 18.05.20

Katana Labs
,
May 6, 2020

Hella’27 vs BMW’27 - 04.04.20

Trade Ideas

Oracle Gets Cheap vs IBM

Oracle Gets Cheap vs IBM

March 31, 2021
BUY

ORCL 3 4/5 15/11/2037

US68389XBP96
SELL

IBM 5 3/5 30/11/2039

US459200GS40

Related reports:

Sudden widening in Oracle Corporation 3.8% 2037 (ORCL 37s, BBB+) make the bonds look cheap against IBM 5.6% 2039 (IBM 39s, A). The spread difference has moved to 25bps while the average for the year has been -14bps. Holders of IBM have the opportunity to take profits on IBM 39's tightening to 120bps and switch into ORCL 37s at 145bps.

Link to this idea...
Bank of America Cheap vs Citigroup

Bank of America Cheap vs Citigroup

March 16, 2021
BUY

BAC 4 9/20 03/03/2026

US06051GFU85
SELL

C 4 0 05/08/2024

US172967HV61

Related reports:

The spread difference between Bank of America 4.45% 2026 (BAC 26s, BBB+) and Citigroup 4% 2024 (C 24s, BBB) has increased significantly over the past 2 weeks as BAC 26s widened while C 24s have remained stable. The spread difference has reached 39bps against a yearly average of 8bps. Holders of C 24s have the opportunity to switch to BAC 26s, increasing the credit spread from 57bps to 96bps.

Link to this idea...
Dislocation in US Utilities

Dislocation in US Utilities

March 3, 2021
BUY

ATO 4 3/10 01/10/2048

US049560AP00
SELL

SO 3 7/10 01/12/2047

US010392FR41

Related reports:

The spread difference between Atmos Energy Corporation 4.3% 2048 (ATO 48's, A-) and Alabama Power Company 3.7% 2047 (SO 47's, A+) is at its highest. Over the last week ATO 48's have widened while SO 47's have remained stable. The difference in spread is now 19bps vs an average for the year of 1bp (2.7 standard deviations). Holders of SO 47's have the opportunity to take profits at 123bps and switch into ATO 48's at 142bps.

Link to this idea...
Curve Steepening in Anheuser-Busch InBev

Curve Steepening in Anheuser-Busch InBev

February 26, 2021
BUY

ABIBB 4 5/8 01/02/2044

US03524BAF31
SELL

ABIBB 4 7/20 01/06/2040

US035240AS95

Related reports:

The credit spread between Anheuser-Busch InBev Finance 4.625% 2044 (ABIBB 44's, BBB+) and Anheuser-Busch InBev Worldwide 4.35% 2040 (ABIBB 40's, BBB+) is at its highest. The spread on ABIBB 44's has widened steeply while ABIBB 40's have remained stable. The difference, which on average has been 24bps in the year has increased to 47bps (2 standard deviations). Holders of ABIBB 40's have the opportunity to take profits at 140bps and switch into the ABIBB 44's at 186bps.

Link to this idea...
Steepening of Daimler Finance Curve

Steepening of Daimler Finance Curve

February 25, 2021
BUY

DAIGR 3 3/4 22/02/2028

USU2339CDB10
SELL

DAIGR 3 9/20 06/01/2027

USU2339CCQ97

Related reports:

The spread difference between Daimler Finance North America 3.75% 2028 (DAIGR 28'S, BBB+) and 3.45% 2027 (DAIGR 27'S, BBB+) is at its highest. Since early January DAIGR 27' have been on a tightening trend while DAIGR 28's have remained flat. The difference is currently 30bps against an annual average 7bps (2.1 standard deviations). Holders of DAIGR 27's have the opportunity to take profits at 63bps and switch into DAIGR 28's at 92bps.

Link to this idea...
Dislocation in Expedia Curve

Dislocation in Expedia Curve

February 23, 2021
BUY

EXPE 5 0 15/02/2026

US30212PAM77
SELL

EXPEGRO 7 0 01/05/2025

US30212PAV76

Related reports:

The spread difference between Expedia 5% 2026 (EXPE 26's, BBB-) and 7% 2025 (EXPEGRO 25's, BBB-) has been inverted. While EXPE 26's have historically traded through EXPEGRO 25's by as much as 200bps at times, it have been trading marginally cheaper since December. As EXPEGRO 25's have tightened further in the last few days, the difference has now increased to 100bps (2.2 standard deviations). Holders of EXPEGRO 25's have the opportunity to take profits at 49bps and switch into the EXPE 26's at 149bps.

Link to this idea...
Apple at its Highest vs Microsoft

Apple at its Highest vs Microsoft

February 22, 2021
BUY

AAPL 2 2/5 20/08/2050

US037833DZ01
SELL

MSFT 4 9/20 03/11/2045

US594918BL72

Related reports:

Apple 2.4% 2050 (AAPL 50's, AA+) is its highest against Microsoft 4.45% 2045 (MSFT 45's, AAA). The spread difference, which has been in -5bps to +5bps range has suddenly spiked to 18bps (3.35 standard deviations). Holders of MSFT 45's have the opportunity to take profits at 83bps and switch into the AAPL 50's at 101 bps.

Link to this idea...
Target Cheap vs Comcast

Target Cheap vs Comcast

February 19, 2021
BUY

TGT 2 1/4 15/04/2025

US87612EBL92
SELL

CMCSA 3 7/10 15/04/2024

US20030NCR08

Related reports:

Following the tightening of Comcast Corporation 3.7% 2024 (CMCSA 24's, A-), the spread difference between Target Corporation 2.25% 2025 (TGT 25's, A) and CMCSA 24's has increased to 19bps (2.96 standard deviations). Holders of CMCSA 24's can take profits at 5bps and switch into the better-rated TGT 25's at 24bps.

Link to this idea...
Altria Group Cheap vs Anheuser-Busch InBev

Altria Group Cheap vs Anheuser-Busch InBev

February 15, 2021
BUY

MO 5 19/20 14/02/2049

US02209SBF92
SELL

ABIBB 4 1/2 01/06/2050

US035240AT78

Related reports:

The spread difference between Altria Group 5.95% 2049 (MO 49's, BBB) and Anheuser-Busch InBev Worldwide 4.5% 2050 (ABIBB 50's, BBB+) has increased from a range of 40-60bps to 71bps (2.5 standard deviations). Holders of ABIBB 50's have the opportunity to take profits on the recent tightening to 170bps and switch into MO 49's at 241bps.

Link to this idea...
In the money: 25bps compression in EPD vs MPLX

In the money: 25bps compression in EPD vs MPLX

February 11, 2021
BUY

EPD 4 3/20 16/10/2028

US29379VBT98
SELL

MPLX 4 1/4 01/12/2027

US55336VBN91

Related reports:

The trade idea to buy Enterprise Products Operating 4.15% 2028 (EPD 28's, BBB+) and sell MPLX 4.25% 2027 (MPLX 27's, BBB) has returned 25bps since we posted it a month ago. While MPLX 27's have widened from 89bps to 97bps, EPD 28's have tightened from 93bps to 76bps, taking the difference in spread from 4bps to -21bps.

Link to this idea...
Panama vs Mexico

Panama vs Mexico

February 10, 2021
BUY

PANAMA 3 3/4 16/03/2025

US698299BE38
SELL

MEX 4 1/8 21/01/2026

US91086QBG29

Related reports:

We see a dislocation in the spreads of Panama 3.75% 2025 (PANAMA 25's, BBB) and Mexico 4.125% 2026 (MEX 26's, BBB). PANAMA 25's have historically traded through the MEX 26's but the difference has recently inverted and currently PANAMA 25's are trading 28bps wider (2 standard deviations from the rolling mean). Holders of MEX 26's have the opportunity to take profits on the recent tightening at 45bps and switch into the PANAMA 25's at 73bps.

Link to this idea...
Harley-Davidson Financial Services Cheap vs GM Financial Company

Harley-Davidson Financial Services Cheap vs GM Financial Company

February 9, 2021
BUY

HOG 3 7/20 08/06/2025

USU24652AT35
SELL

GM 4 0 06/10/2026

US37045XBQ88

Related reports:

Katana identifies a dislocation in the spread between Harley-Davidson Financial Services 3.35% 2025 (HOG 25's, BBB) and General Motors Financial Company 4% 2026 (GM 26's, BBB-). HOG 25's have historically traded through GM 26's, but in a general spread tightening trend the difference has narrowed and became positive since the beginning of February. The spread difference has increased to 30bps (2.2 standard deviations from the rolling mean). Holders of GM 26's have the opportunity to take profits at 84bps and switch into the HOG 25's (1 notch better rated) at 115bps.

Link to this idea...
Dislocation in Rusal Curve

Dislocation in Rusal Curve

February 5, 2021
BUY

RUALRU 4 17/20 01/02/2023

XS1759468967
SELL

RUALRU 5 1/8 02/02/2022

XS1533921299

Related reports:

The difference in spread between Rusal 4.85% 2023 (RUALRU 23's, B+) and Rusal 5.125% 2022 (RUALRU 22's, B+) has increased sharply and reached 76bps (3.5 standard deviations). Holders of RUALRU 22's have the opportunity to take profits at 274bps and switch into the RUALRU 23's at 350bps.

Link to this idea...
Dislocation in A-rated US Financials

Dislocation in A-rated US Financials

February 4, 2021
BUY

CAT 1 9/20 15/05/2025

US14913R2C07
SELL

WFC 3 69/1000 24/01/2023

US949746SK86

Related reports:

Following the sharp tightening of Wells Fargo 3.069% 2023 (WFC 23's, A) the spread difference against Caterpillar Financial Services 1.45% 2025 (CAT 25's, A) has increased to 24bps (2.9 standard deviations). Holders of WFC 23's have the opportunity to take profits at -1bps and switch into CAT 25's at 23bps.

Link to this idea...
Dislocation in OTIS vs Vulcan Materials

Dislocation in OTIS vs Vulcan Materials

February 3, 2021
BUY

OTIS 3 14/125 15/02/2040

US68902VAL18
SELL

VMC 3 1/2 01/06/2030

US929160AZ21

Related reports:

The spread difference between OTIS 3.112% 2040 (OTIS 40's, BBB) and Vulcan Materials 3.5% 2030 (VMC 30's, BBB) has increased sharply. It has historically been between 20bps and 35bps and currently has reached 42bps (2.6 standard deviations). Holders of VMC 30's have the opportunity to take profits at 85bps and switch into the OTIS 40's at 127bps.

Link to this idea...