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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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BRKHEC 3% 2029 Get Cheap Against AEP 4.1% 2028
June 29, 2021

BRKHEC 3% 2029 Get Cheap Against AEP 4.1% 2028

BUY

BRKHEC 3 11/15/29

US257375AP04
SELL

AEP 4.1 09/15/28

US845437BR25
Dislocation in Mizuho Curve
June 28, 2021

Dislocation in Mizuho Curve

BUY

MIZUHO 1.979 09/08/31

US60687YBL20
SELL

MIZUHO 4.018 03/05/28

US60687YAR09
Steepening of CNOOC Curve
June 25, 2021

Steepening of CNOOC Curve

BUY

CNOOC 7 1/2 07/30/39

US65334HAJ14
SELL

CNOOC 4 3/8 05/02/28

US12634MAE03
Dislocation in ICE Curve
June 24, 2021

Dislocation in ICE Curve

BUY

ICE 1.85 09/15/32

US45866FAN42
SELL

ICE 3 3/4 09/21/28

US45866FAJ30
Unilever Curve Steepens
June 23, 2021

Unilever Curve Steepens

BUY

UNANA 5.9 11/15/32

US904764AH00
SELL

UNANA 3 1/2 03/22/28

US904764BC04
Fiserv Curve Steepens
June 22, 2021

Fiserv Curve Steepens

BUY

FISV 2.65 06/01/30

US337738BC18
SELL

FISV 4.2 10/01/28

US337738AR95
PPL 4.125% 2030 Tighten and Look Rich vs Peers
June 21, 2021

PPL 4.125% 2030 Tighten and Look Rich vs Peers

BUY

ETR 1 3/4 03/15/31

US29365TAK07
SELL

PPL 4 1/8 04/15/30

US69352PAQ63
BDX 1.957% Becomes Cheap vs ANTM 4.101 2028
June 18, 2021

BDX 1.957% Becomes Cheap vs ANTM 4.101 2028

BUY

BDX 1.957 02/11/31

US075887CL11
SELL

ANTM 4.101 03/01/28

US036752AG89
TRPCN 4.25% 2028 Tightens Against Peers
June 17, 2021

TRPCN 4.25% 2028 Tightens Against Peers

BUY

EIX 2 1/4 06/01/30

US842400GU17
SELL

TRPCN 4 1/4 05/15/28

US89352HAW97
CAG 1.375% 2027 Cheap vs MO 4.4% 2026
June 16, 2021

CAG 1.375% 2027 Cheap vs MO 4.4% 2026

BUY

CAG 1 3/8 11/01/27

US205887CF79
SELL

MO 4.4 02/14/26

US02209SBC61
EQIX 1.55% 2028 Widens Against Peers
June 15, 2021

EQIX 1.55% 2028 Widens Against Peers

BUY

EQIX 1.55 03/15/28

US29444UBL98
SELL

FISV 4.2 10/01/28

US337738AR95
TFCFAME 3.7% 2024 Widens and Looks Cheap vs DIS 3.35% 2025
June 14, 2021

TFCFAME 3.7% 2024 Widens and Looks Cheap vs DIS 3.35% 2025

BUY

TFCFAME

US90131HAD70
SELL

DIS 3.35 03/24/25

US254687FN19
UPS 4.45% 2030 Tighten and Look Rich vs UNP 2.4% 2030
June 11, 2021

UPS 4.45% 2030 Tighten and Look Rich vs UNP 2.4% 2030

BUY

UNP 2.4 02/05/30

US907818FH61
SELL

UPS 4.45 04/01/30

US911312BY18
ENBCN 5.5% 2077 Get Rich vs TRPCN 5.3% 2077
June 10, 2021

ENBCN 5.5% 2077 Get Rich vs TRPCN 5.3% 2077

BUY

TRPCN 5.3 03/15/77

US89356BAC28
SELL

ENBCN 5 1/2 07/15/77

US29250NAS45
Verizon 2.625% 2026 Trading Cheap to AT&T 3.4% 2025
June 9, 2021

Verizon 2.625% 2026 Trading Cheap to AT&T 3.4% 2025

BUY

VZ 2 5/8 08/15/26

US92343VDD38
SELL

T 3.4 05/15/25

US00206RCN08