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Mon, December 1, 2025

Systematic Credit and Equity G-255 Trading Indicators for December 1, 2025

Friday's trading session (if that's what you want to call it) featured more bounce in the G-255 systematic trading model's top long equity indicators, as well as some positive movement in the bottom end of the Global Bank capital structure for the first time in three weeks.

However, the big news on Friday came from Altice (SRFRP, Caa2/CCC+ unsecured rating), which is a G-255 issuer and had been a short indicator for the past several years prior to the announced restructuring.

Altice International Leverage 26x as Core Assets Stripped: Bloomberg

Are they serious? You would need to confirm with Bloomberg. Is leverage at the Altice International level really 26x on "core assets" after Friday's measures, which were designed to "strengthen its liquidity position and enhance long-term financial stability and flexibility"? No.

Altice International has launched a strategic review of its asset portfolio:

"This review will assess potential disposal options over the coming years, with the objective of enhancing financial flexibility and supporting Altice International's broader capital structure initiatives."

Unrestricted Subsidiaries – you should have read the prospectus

Altice International designated Altice Portugal SA and Altice Caribbean Sàrl as "unrestricted subsidiaries" under each of the instruments governing the indebtedness of Altice International. A subsidiary of Altice Portugal SA completed a private financing transaction, raising €750 million for general corporate purposes. Altice International has also reserved €2 billion of incremental new debt capacity at Altice Portugal SA. Altice Caribbean is now held by a direct subsidiary of Altice Group Lux Sàrl.

And yes, both the € and $ bonds were all over the place on Friday.

I like to keep this simple: secured maturities were extended, coupon terms adjusted, and—most importantly—secured creditors received partially reinstated senior notes plus equity stakes.

Clearly, some were surprised by the asset and debt-raising moves in the "unrestricted subsidiaries," but they should not have been. The language is in all of the indentures, in the definitions section. However, when bondholders become shareholders, there is significantly lower entity risk, and—as was the case at Altice Parent—there is deleveraging.

There is also one item missing from all of the less-than-informed articles on Friday: Altice USA prepaid its entire US term loan last week ($1.8 billion). So moving assets into an unrestricted subsidiary to access more capital shouldn't come as a surprise to anyone.

G-255 Trading model Indicators for Altice

You will get a better return and more liquidity with exposure to better wireless and cable assets: long T-Mobile (TMUS) and Deutsche Telekom Equity (DTE GY), and long AT&T (T Baa2/BBB). The most recent new supply, T 4.9 11/01/35, is the most attractive. These are the highest-rated long G-255 systematic trading indicators.

Why long the communications names? Well, they are returning capital to shareholders at rates unseen in the past 25 years. And in Verizon (VZ Baa1/BBB+) and AT&T, those two issuers are de-levering their balance sheets even as AT&T is closing on EchoStar (SATS Caa3/BBB+ long credit/equity) spectrum assets.

G-255 BBB+ TMT 3Q Operating Metrics

G-255 BBB+ TMT Balance Sheet Direction and Returns to Shareholders

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Note:

G-255 Credit Trading Sector Indicators and Friday Credit Trading

We saw U.S. mutual fund credit outflows contrasted with ETF credit inflows, alongside week-over-week tighter spreads in both USD high-yield and investment-grade credit.

U.S. equities reached fair-value levels on Wednesday and became even less attractive after Friday's move. That said, the remaining long equity positions in the systematic trading model are in names that are not typically at valuation extremes sufficient to generate a fresh long trade indicator — this despite the significant price moves last week in Microsoft (MSFT), Meta (META), and Verizon (VZ), all G-255 equities.

G-255 equities significantly outperformed both large-cap U.S. indices in November.

Credit indicators turned (slightly) undervalued for the first time since June, although only for a single trading day. We would need to see stronger and more sustained credit inflows to trigger meaningful indicator changes in the systematic trading model's trade allocation toward either credit or equities.

  • Top traded IG G – 255 issuer: Meta Platforms (Aa3/AA- Hold credit/long equity) (+1 to +2bp) Friday

  • Top Traded HY G – 255 issuer: Cipher Computer (CIFR Ba3/BB-) very much tighter on Friday

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G-255 Credit Market Valuation and New G – 255 Supply December 1

Source: Bloomberg Capital Markets

On a Risk/Reward basis, High Yield bonds have far outperformed Investment Grade in 2025

IG market has "given back" almost 70% of spread tightening since April 10, 2025, wide

  • UST 10-Year Rates: -12.6bp YoY and -52.7bp YTD. February 21, 2025, was the tightest spread date of 2025. April 10, 2025 was the widest spread date for 2025.

Bloomberg 10Y credit spreads are derived by taking the Moody's index yield and subtracting the UST 10Y YTM.

US fund flows for the week ended Nov. 26, compared to a week earlier, according to LSEG Lipper:

  • Short and intermediate investment-grade bonds: $874m outflow vs. $1.02b inflow

  • High-yield notes: $706.1m inflow vs. $334.4m outflow

  • Treasuries: $5.82b inflow vs. $3.34b inflow

  • US leveraged loans: $59.3m outflow vs. $88.8m outflow

  • Mortgage-related: $365.6m outflow vs. $1.55b outflow

Broad bond-market ETFs expanded by $2.79b to $5.89b In the week ended November 25.

  • Dedicated Investment Grade corporate bond ETFs had net inflow of +$621mm compared to -$335mm of outflow last week.

    • Dedicated High Yield corporate ETFs have net inflow of $1.14 billion compared to outflow of $-1.411 billion compared to last week

3 more week of November 12, 2025 new G – 255 issues along with one Euro bank issue from October reached their avoid trading level on Friday. The majority of the bank bonds issued in October are still outside the model's avoid levels where a minimum (-5bp if possible) spread tightening over the next month is expected to occur. 912 of 1069 bonds issued ($1.08 trillion) have reached their avoid trading level in 2025.

We will review the October/November new supply in the next G-255 new supply report.

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G-255 Credit and Equity Market Indicators December 1

  • Attractive Long Credit Indicators: 88, (+16 from Friday and -20% below the 200-day moving average of all long indicators). 12 long credit indicators are not included owing to the underlying equity price declines of more than -10% in the past 30 calendar days.

  • Attractive Long Credit Market Cap accounts for: 38% of all undervalued Systematic Credit capital.

  • Attractive Short Credit Indicators 699, (+31 from Friday and +36% above the 200-day moving average of all model short trade indicators).

  • Attractive Short Credit Market Cap accounts for: 48% of all overvalued Systematic Credit capital.

G-255 Equity Trade Indicators and US Equity Correlation to Overall US Credit Spreads

US equities and credit markets correlated directionally again Friday and have moved in the same direction as equities in 8 of the past 11 trading days.

  • US equities are WoW; US credit markets are unchanged in the week ended November

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  • US equities are -.5% lower over the past month, US credit spreads are now just wider MoM.

2025 is on track for the second-weakest year in 32 for USD credit-equity correlated movement—historic 80% vs. ~74% this year.

Systematic Equity Trading Indicators December 1

• Attractive Long G-255 Equity Trade Indicators: 55 (includes both undervalued and equities priced at

extreme discount (-5 from Fridy and -9% to the 200-day moving average of all long trade indicators).

• Attractive Short Equity Trade Indicators 8, (Unchanged from Friday and -11% below the 200-day moving

average of all model short trade indicators).

  • For G-255 issuers, equity prices of the world's most indebted companies were +.51% Friday and +2.68% over the past week, while the S&P 500 rose +.55% Friday and 4.7% over the past week.

  • Why are G-255 equity issues outperforming the S&P and Dow? A: Over 30% of the 242 publicly traded G -255 equities have already reached their 2025 low price and 40% of the G-255 issuers are non – US corporates.

  • G-255 issuers are returning more capital to shareholders (via dividend growth and share repurchase) than S&P issuers as a whole.

  • Highest ranked equity long indicators on Friday:

Meta Platforms Inc (META) Comcast Corp (CMCSA) Walt Disney Co/The (DIS)

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G-255 Specific Credit Sector Indicators December 1

Long Opportunities:

Focus on de-leveraging issuers, including Single A and BBB-rated TMT, UK Banks, US Regional Banks, and Floating Rate Notes.

  • Valuation Insight: The stochastic credit trading model identifies 221 undervalued bonds ($381.4 billion market

value), with 88 long trade indicators across the 6,000-bond USD universe.

  • At present only Single A rated TMT, BBB rated TMT, BB rated TMT and US Regional Bank sectors have 10+ long individual bond trade indicators.

Short Opportunities

  • 1,494 bonds ($2.138 trillion) are overvalued per the stochastic credit trading model, with 699 short trade indicators.

  • U.S. Big 6 Banks (all ratings): No longer a short indicator as of 10/22. +6 to +14 bp 9/22 – 10/22

  • Single A and BB Energy: No longer a short indicator as of 10/27. Bonds +6 to +14 bp 9/27 -10/27

  • Single A Healthcare: No longer a short indicator as of 10/22. Bonds +5.5 to +13 bp 9/22 – 10/22

  • Single A Industrials: No longer a short indicator as of 10/22. Bonds +6.5 to +15 bp 9/22 -10/22

  • Autos: 151 bonds ($162.4 billion) are overvalued, with 99 short trade indicators

Systematic Portfolio Daily Trading Model Indicators

  • Long Indicators: Target deleveraging new issues with attractive valuations, focusing on 5-year maturities.

  • Short Indicators: Target releveraging issuers trading at the deepest discount from their model avoid point, avoiding 7-year maturities due to low attractiveness.

  • Replace Longs: Swap long positions that have reached their avoid trading level.

  • Portfolio Trading Hurdle: Maintain a 1:1 long-to-short ratio once the 67.5% long position threshold is reached.

  • Current Status: Add new supply trades where the issuer is deleveraging; add new issue bonds where spreads widened by +2 basis points.

  • Current Status of Trading Indicators: Last week, one short trade and two long trades reached their avoid trading level. The trading model added three long indicators.

Monitor Trade Position Composition:

  • Track the percentage of long positions relative to the total portfolio.

  • If replacing long positions that have reached their avoid trading level pushes the portfolio above the 65% long hurdle, initiate short positions in releveraging issuers (avoiding 7-year maturities) at a 1:1 ratio for additional long positions.

  • Review: Reassess portfolio balance after today's fund flow data to ensure alignment with the systematic strategy.

  • Look for individual bond indicators to change overnight: Historic trading levels are leading to overnight adjustments to long, short and avoid indicator levels.

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G-255 Specific Bond Trading Indicators November 28

  • Closed Positions: The Cigna (Baa1/A-) CI 2.4 03/15/30 (short) and Amazon (A1/AA) AMZN 4.35 03/20/33 (long) both reached their avoid trading levels Wednesday November 19. The Truist Bank (Bank Sub A3/A-) TFC 2 ¼ 3/11/30 short trade indicator reached its avoid trading level on Friday November 21. The General Motors (Baa2/BBB) GM 3.6 06/21/30 short trade indicator reached its avoid trading level on Monday 11/24.

  • Enter New Longs: The trading model added Meta (AA3/ AA-) META 4 7/8 11/15/35 and META 5 1/2 11/15/45 new supply long trade indicators on 11/7. The new Amazon (A1/AA) AMZN 4.35 03/20/33 was added to the Model Trade on Monday 11/17.

  • Enter New Short Trades: The trading model added General Motors (Baa2/BBB) GM 3.6 06/21/30 as a short trade on Monday 11/17. The trading model added BP (A2/A) BPLN 4.893 09/11/33 as a short trade on Thursday 11/20, the Toyota (A2/A) TOYOTA 4.8 01/05/34 Friday 11/21 and the CVS (Baa3/BBB) CVS 1 3/4 08/21/30 on Monday 11/24

Current Sample Systematic Basket bond trades based on trading strategy November 28

Systematic Trading Indicators Friday: None.

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G-255 Credit Basket Trade Statistics

Friday's Basket Trade Long/Short Ratio: 70%

Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – November 28, 2025)

Performance Summary: Total Trades: 189 (1% of total trade indicators).

  • Long Indicators: 126/145 reached avoid-trading levels, tightening by -9.2 bp.

  • Short Indicators: 36/44 reached avoid-trading levels, widening by +5.85 bp.

  • Remaining Longs: 19 widened by +2.26 bp.

  • Remaining Shorts: 8 tightened by -13.58 bp.

  • Average Spread Movement: ± 6.45 bp in the indicated direction.

  • Success Rate: 86% of indicators reached avoid-trading levels, which is slightly below normal.

  • Average trade holding period: 22.9 days (above average)

Disclaimer - This report is not intended as, and does not constitute an offer, or a solicitation to buy or sell any securities or financial instruments. All data, levels, opinions, and representations herein are provided for informational purposes only and should not be relied upon for making investment decisions. Past performance is not indicative of future results. The authors of this report assume no liability for losses or damages arising from the use of this information. Investors should consult with a qualified financial advisor before making any investment decisions. The information in this report is based on sources believed to be reliable, but no guarantee is made as to its accuracy, completeness, or timeliness.