Reports Library
Mon, November 24, 2025

G-255 Long/Short Credit Sectors with Trade Indicators for November 24, 2025

Long Opportunities:

Focus on de-leveraging issuers, including Single A and BBB-rated TMT, BBB-rated Energy,

Euro Yankee Banks, and Floating Rate Notes.

  • Valuation Insight: The stochastic credit trading model identifies 284 undervalued bonds ($495.5 billion market

value), with 116 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

  • 1,463 bonds ($2.35 trillion) are overvalued per the stochastic credit trading model, with 373 short trade indicators.

  • U.S. Big 6 Banks (all ratings):No longer a short indicator as of October 22. Bonds +6 to +20 bp since 9/22.

  • Single A and BB Energy: No longer a short indicator as of October 27. Bonds +6 to +19 bp since 9/27.

  • Single A Healthcare: No longer a short indicator as of October 22. Bonds +5.5 to +17 bp since 9/22.

  • Single A Industrials: No longer a short indicator as of October 22. Bonds +6.5 to +20 bp since 9/22.

  • Autos: 159 bonds ($169.1 billion) are overvalued, with 79 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.

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.