Charter Communications Operating 5.375% 2047 (CHTR 47's, BBB-) is looking cheap against Walgreens Boots Alliance 4.1% 2050 (WBA 50's, BBB). As WBA 50's have tightened, the spread difference has increased to 43bps (2.95 standard deviations). Holders of WBA 50's have the opportunity to take profits at 210bps and switch into CHTR 47's at 253bps.

ABBVIE 4.85% 2044 (ABBV 44's, BBB) have got cheaper relative to Amgen 4.40% 2045 (AMGN 45's, BBB+). ABBV 44's have historically traded 6-12bps over AMGN 45's but the difference has now widened to 21bps (2.2 standard deviations). Holders of AMGN 45's have the opportunity to take profits at 143bps and switch into the ABBV 44's at 164bps.

Duke Energy 2.5% 2050 (DUK 50's, A) has become cheaper than Consumers Energy Company 4.0.5% 2048 (CMS 48's, A+). DUK 50's have historically traded under CMS 48's but the difference has been on an upward trend and recently it got inverted with DUK 50's now trading 4bps wider (2.4 standard deviations). Holders of CMS 48's can take the opportunity to take profits at 114bps and switch into DUK 50's at 118bps.

The spread difference between Ally Financial 1.95% 2023 (ALLY 23's, BBB-) and General Motors Financial Company 3.65% 2022 (GM 22's, BBB-) has been inverted. ALLY 23's have historically traded under GM 22's, but currently trade 23bps wider (2 standard deviations). Holders of GM 22's have the opportunity to take profits at 34bps and switch into ALLY 23's at 57bps.

Sharp tightening in WFC 35's makes them look expensive vs peers. We highlight the dislocation in spread difference between BAC 31's and WFC 35's, which has increased from -24bps to +5bps. Holders of WFC 35's have the opportunity to take profits at 89bps and switch into BAC 31's at 94bps.

The sharp tightening in ONE Gas 4.658% 2044 (OGS 44's, A) makes them look expensive against other utilities. Katana identifies a significant dislocation against AEP Transmission Company 3.65% 2050 (AEP 50's, A). AEP 50's have historically traded through OGS 44's by between 20 and 60bps. Due to the sudden move in OGS 44's, they now trade at the same spread. Holders of OGS 44's have the opportunity to take profits at 125bps and switch into AEP 50's at 126bps, with a potential reversion of 34bps were the spread difference to return to the historical mean.

The spread difference between BROADCOM 4.25% 2026 (AVGO 26's, BBB-) and Hewlett Packard 4.9% 2025 (HPE 25's, BBB) is at its highest as HPE 25's have been tightening faster than AVGO 26's since early December. The exponentially weighted mean of the difference has increased from 10bps to 24bps and currently AVGO 26's are trading 29bps wider. Holders of HPE 25's have the opportunity to take profits at 68bps and switch into AVGO 26's at 97bps.

Truist Financial Corporation 1.95% 2030 (TFC 30's, A-) have historically traded more than 20bps under JPMorgan Chase 3.625% 2027 (JPM 27's, A-). The spread difference has inverted and TFC 30's currently trade 5 bps wider (2.8 standard deviations). Holders of JPM 27's have the opportunity to take profits on the sharp tightening at 60bps and switch into the TFC 30's at 65bps, with a potential reversion of 32bps were the spread difference to return to the average.

The spread between JP Morgan 2.083% 2026 (JPM 26's, A) and Bank of America 3.093% 2025 (BAC 25's, A) has increased to its highest level. While JPM 26's have on average traded under BAC 25's, it currently trades 10bps wider (2.8 standard deviations). Holders of BAC 25's have the opportunity to take profits at 38bps and switch into the JPM 26's at 49bps, increasing carry and potentially generating alpha were the spread difference to return to the mean.

Update on Trade Idea posted earlier this week -
Spread difference on Long GM 2.75% 2025/ Short GM 3.5% 2024 trade idea has reverted 10 basis points since initial post.

The spread difference between Entergy Corporation 3.75% 2050 (ETR 50's, BBB) and NiSource Inc. 4.8% 2044 (NI 44's, BBB) has inverted. ETR 50's have historically traded tighter than NI 44's, on average by 15bps, but currently trade 8bps wider (2.7 standard deviations). Holders of NI 44's have the opportunity to increase carry and profit from a potential 23bps reversion were the spreads return to their historical difference.

Sharp tightening in Walgreens Boots Alliance 4.1% 2050 (WBA 50's, BBB) make them look expensive against other BBB credits. Katana identifies the largest dislocation against Charter Communications Operating 5.75% 2048 (CHTR 48's, BBB-), which has on average traded 12bps over WBA 50's and currently trades 43bps over (2.8 standard deviations). Holders of WBA 50's have the opportunity to take profits at 217bps and switch into CHTR 48's at 259bps, with a potential reversion of 31bps were the spread difference to return to the mean.

The spread difference between General Motors Financial Company 2.75% 2025 (GM 25's, BBB-) and the 3.5% 2024 (GM 24's, BBB-) has increased sharply. Both bonds have historically traded within 10bps of each other and on average GM 25s have traded 1bps tighter but currently trade 20bps wider (3.15 standard deviations). Holders of GM 24's have the opportunity to take profits on the recent tightening and switch into GM 25's for higher carry and potential reversion of 21bps.

On 22 December we published the trade idea to buy BP Capital Markets America 2.937% 2023 (BPLN 23's, A) and sell Enterprise Products Operating 3.75% 2025 (EPD 25's, BBB+) at a spread difference of 6bps. Since then the spread difference has compressed by 19bps.

The spread difference between MetLife 4.55% 2030 (MET 30's, A-) and KKR Group Finance Co. VI 3.75% 2029 (KKR 29's, A) has been inverted. MET 30's have on average traded 38bps under, but as KKR 29's have tightened the spread is now 3bps over (2.15 standard deviations). Holders of KKR 29's have the opportunity to take profits at 73bps and switch into MET 30's at 76bps.