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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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C 3.352% 2025 Cheap vs WFC 3.55% 2025
July 6, 2021

C 3.352% 2025 Cheap vs WFC 3.55% 2025

BUY

C 3.352 04/24/25

US172967MF56
SELL

WFC 3.55 09/29/25

US94974BGP94
Dislocation in Walmart Curve
July 5, 2021

Dislocation in Walmart Curve

BUY

WMT 5 1/4 09/01/35

US931142CB75
SELL

WMT 7.55 02/15/30

US931142BF98
Steepening of Qatar Curve
July 2, 2021

Steepening of Qatar Curve

BUY

QATAR 3 3/4 04/16/30

XS2155352664
SELL

QATAR 4 1/2 04/23/28

XS1807174393
Dislocation in Crown Castel Curve
July 1, 2021

Dislocation in Crown Castel Curve

BUY

CCI 3.3 07/01/30

US22822VAR24
SELL

CCI 4.3 02/15/29

US22822VAL53
Dislocation in Abu Dhabi Curve
June 30, 2021

Dislocation in Abu Dhabi Curve

BUY

ADGB 3 1/8 04/16/30

XS2125308168
SELL

ADGB 2 1/2 04/16/25

XS2125308085
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