Systematic Credit and Equity G-255 Trading Indicators for December 24, 2025
Long Opportunities: - Sectors are shown with the most recent long trade indicator date for comparison
Focus on de-leveraging issuers, including Single A and BB rated TMT, Single A rated Healthcare, UK Banks, US Regional Banks, Canadian Banks and Floating Rate Notes.
Valuation Insight: The stochastic credit trading model identifies 175 undervalued bonds ($314 billion market
value), with 90 long trade indicators across the 6,000-bond USD universe.
At present Single A and BB rated TMT are the only sectors with 10 or more long trade indicators.
Short Opportunities – sectors shown with the most recent short trade indicator date for comparison
1,544 bonds ($2.683 trillion) are overvalued per the stochastic credit trading model, with 952 short trade indicators.
U.S. Big 6 Banks: 308 bonds ($770.8 billion) are overvalued with 188 short trade indicators.
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: 127 bonds ($184 billion) are overvalued with 99 short trade indicators.
Single A Industrials: No longer a short indicator as of 10/22. Bonds +6.5 to +15 bp 9/22 -10/22
Autos: 166 bonds ($176 billion) are overvalued, with 127 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; avoid 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 62.5% long position threshold is reached.
Current Status: Add new supply trades where the issuer is deleveraging; add new issue bonds where spreads have widened by +3 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 62.5% long hurdle, initiate short positions in releveraging issuers (avoiding 5-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 December 24
Closed Positions: Philip Morris (A2/A) PM 4 1/4 10/29/32 and McDonald's (Baa1/BBB+) MCD 4.4 02/12/31 new issue trade indicators both reached their avoid trading levels Tuesday 12/9. Celanese (Ba2/BB) CE 7 02/15/31 and Capital One (Baa1/A-) COF 5.197 09/11/36 new issue trade indicators both reached their avoid trading levels Wednesday 12/10. Credit Agricole (A3/A-) ACAFP 4.818 09/25/33 reached its avoid trading level Thursday December 18. McDonald's (Baa1/BBB+) MCD 4.4 02/12/31 reached its avoid trading level Friday December 19. Lowe's (Baa1/BBB+) LOW 4 1/2 10/15/32 and RBC (Baa2/BBB) RY 6 1/2 11/24/2085 reached their avoid trading level Monday December 22.
Enter New Longs: On Tuesday December 2, the Florida Power & Light (Aa2/A+) NEE 5.6 02/15/66 and on Wednesday December 3, Celanese (Ba2/BB+) CE 7 02/15/31 were added as new issue long indicators. ATT (Baa2/BBB) T 4.9 11/01/35 Friday 12/19/25, RBC (A1/A) RY 4.305 11/03/31 and Amazon (A1/AA) AMZN 5.55 11/20/65 Monday 12/22/25 were added as a G – 255 de-levering new issue trading more than +2bp to NIP
Enter New Short Trades: 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 Monday 11/21 and the CVS (Baa3/BBB) CVS 1 3/4 08/21/30 on Monday 11/24. The model again produced a short trade indicator for General Motors (Baa2/BBB) GM 3.6 06/21/30 on Monday 12/8/25.
Current Sample Systematic Basket bond trades based on trading strategy December 24
Systematic Trading Indicators Tuesday: None
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G-255 Credit Basket Trade Statistics
Tuesday's Basket Trade Long/Short Ratio: 61%
Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – December 24, 2025)
Performance Summary: Total Trades: 195 (1% of total trade indicators).
Long Indicators: 136/150 reached avoid-trading levels, tightening by -9.2 bp.
Short Indicators: 36/45 reached avoid-trading levels, widening by +5.85 bp.
Remaining Longs: 14 tightened -.4 bp.
Remaining Shorts: 9 tightened by -17.72 bp.
Average Spread Movement: ± 6.71 bp in the recommended direction.
Success Rate: 88.2% of indicators reached avoid-trading levels, which is slightly below normal.
Average trade holding period: 23.2 days (above average)
G-255 Trade Sizes and Systematic Trade Process
The G-255 Equity and Credit Indicators for the World's Largest Issuers of Corporate Bonds
G-255 represents the world's 255 largest issuers of corporate securities and have a minimum equivalent of $15 billion of tradable liquid debt market capital in all global currencies.
At present there are just under 6,000 G-255 USD bonds in circulation.
The average capitalization of each G-255 bond is just over $1.2 billion (including floating rate notes).
There are 242 publicly listed equities for the G-255 debt issuers that trade in 8 currencies.
The total equity market capital of the 242 stocks is just over $44 trillion or $182 billion per issuer. That is 60% larger equity capital per constituent than the S&P 500.
80 of the 242 publicly traded equities for the G-255 are domiciled outside of the United States.
G-255 Credit Indicator USD Trading Liquidity
The Systematic G-255 trading system is designed to trade with no human input. Each fixed coupon USD trading indicator requires $750mm of outstanding market capital and $250mm of total trading volume in the prior 30 trading days if not a new issue.
Each G-255 floating rate note USD trading indicator requires $300mm of outstanding market capital and $50mm of total trading volume in the prior 30 trading days if not a new issue.
Each G-255 underlying equity is listed on the issuer's national equity trading exchange.
G-255 Credit Indicators USD Trading Process and Size – Overall Strategy Is Designed To Trade $3 Trillion of Assets
The G – 255 equities and bonds are the most liquid cash securities in their local markets. The USD bond and equity indicators are "systematic" and employ only publicly available issuer disclosure and market trade prints on TRACE or any of the US trading exchanges.
The G- 255 trading process is designed for "systematic" trading on electronic platforms for both equities and bonds.
The trading system is designed to handle the largest institutional trade sizes as a result. The ability to trade size is dependent on user resources and trading relationships as all of the USD corporate bonds in the G-255 systematic trading model are traded OTC by over 80 dealers and all 5 major US electronic bond trading firms.
G-255 Credit Indicators and USD Liquidity - 80% of All Daily TRACE Trades
The G-255 Credit trading indicators cover 80% (95% of all USD investment grade and 48% of all USD non-investment grade trades) posted daily on NASD TRACE.
G-255 Trade Indicators are created daily for all 6,000 securities.
Indicator calibration: The stochastic credit trading model employs earnings data to recalibrate balance sheet leverage and valuation indicators, and then compares spread-to-curve, earnings momentum, and debt ratios relative to the issuer's trading history.
Bond-level granularity: G-255 USD issuers average 27 USD bonds outstanding ($27.5 billion of USD debt cap per issuer). The systematic model assesses historical relative value across the capital structure and creates indicators for overvalued or undervalued bonds.
Equity-credit linkage: For dual-listed (equity and corporate bond) issuers, equity signals (cashflow comparisons and returns to shareholders influence credit spreads). G-255 disclosures synchronize these inputs and produce long and short trading indicator levels for each security that meets the model's liquidity minimum.
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Credit Trading Allocation and Sector Indicators, Tuesday Trading December 24
Tuesday's trading was modest, with end-of-year flows contributing to higher G-255 equity prices and tighter G-255 credit spreads on approximately 50% of average daily volume. Credit trading was characteristically "end-of-year," with the vast majority of risk buying concentrated in the largest capitalization issuers, including the Big 6 banks, TMT, and Healthcare sectors. As noted yesterday, with no new primary supply and over $45 billion in G-255 bonds called or matured, significant net investment-grade (IG) end-user buying emerged as the week progressed.
Trading activity in both equities and credit continued to center on three key names.
G-255 systematic short-credit indicators rose modestly—for only the third trading day in the past six. As discussed in yesterday's report, it remains unlikely that the G-255 short indicator will reach the 1,100 level (equivalent to 75% of overvalued re-levering G-255 issuer capital) without meaningful further equity appreciation in the U.S. technology and industrial sectors.
While G-255 equities remain modestly attractive on an overall basis, prior price appreciation in select single-A TMT and BBB consumer equities (particularly in communications) has constrained near-term upside potential.
We note that the number of attractive G-255 equity names continues to shrink week over week, yet not enough (less than 20% of outstanding G-255 equity capital) to signal an overvalued trading indicator.
Top Traded Issuers:
Top traded IG G-255 issuer: Bank of America (A2/A; short credit/long equity) – tightened 2 bp Tuesday.
Top traded HY G-255 issuer: Venture Global LNG (Ba2/BB+) – tightened 3 bp Tuesday.
Key Trading Indicator Economic Results – Tuesday:
Same-store sales rose 7.2% in the week ended Dec. 20 compared to the prior year, according to Johnson Redbook.
Month-to-date sales through Dec. 20 rose 6.4%.
December sales expected to rise 6.5% over the prior year
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G-255 Issuer Reporting Dates and Published Trade Indicator Results
With earnings season beginning January 7, 32 issuers will report in the next 30 days. The credit trading model shows G-255 credit issuer indicators favoring avoidance of additions to risk—either long or short. While these issuers represent 22% of G-255 issuers, they account for over 37% of G-255 debt market capital and less than 22% of G-255 equity market capital.
Hence, the number of actionable G-255 credit trade indicators will fall slightly in the next month before picking up after financials (65% of which typically issue bonds post-reporting) release initial earnings. G-255 equity trade indicators are not impacted by earnings announcement dates but certainly rely on publicly available information in earnings reports. We intend to provide a full earnings digest during the upcoming reporting season, with indicators released within hours of earnings reports.
Trading Indicator Distribution and Readership
The G-255 systematic credit and equity trade indicators are viewed on Substack, Bloomberg, LinkedIn, and the Empirasign website. Viewership has doubled in the past 90 days to just below 2,000. As several readers are beginning to rely on published trade indicators, we plan to post all four reports once earnings season begins: G-255 Daily Systematic Trade Indicators, Earnings Digest for G-255 reporting issuers, Earnings Digest for G-255 sector news, and New G-255 credit supply.
Performance of Published Trading Indicators
Over the past several weeks, we have been asked about several G-255 credit/equity issuers. We began publishing notes starting with Meta (META; Aa3/AA-; long credit/equity) on November 21, followed by Ford (F) on December 16, then Oracle (ORCL), Broadcom (AVGO), and T-Mobile (TMUS) thereafter. Movements in equity and bonds post-publication (and after changing our publishing format) are shown below:
Oracle: Short credit (5Y cash) from 9/12–12/17: +80 bp; Long credit and equity since 12/17: –14 bp (credit), +5.4% (equity)
Meta: Long credit and equity since 11/21: Credit (–3 bp 5–10Y; +2 bp 20–40Y), +12% equity
Broadcom (10Y cash): Long credit since 12/17: –7 bp
Ford: Short equity since 12/19: Unchanged
T-Mobile (TMUS; Baa2/BBB; short credit/long equity) since 12/19: Unchanged
What we have learned in just 2 weeks is that our published indicators are being read and acted upon.
Best Trades (Adding One Equity Short)
Long T-Mobile (TMUS) equity / Long Oracle (ORCL) equity: short ORCL protection / Long ORCL 4.45% 09/26/30 (currently +125 vs. 5-Year UST) and ORCL 4.80% 09/26/32 (+150 vs. 7-Year UST)
Long Meta (META) October 30 new supply; the G-255 model identifies the META 5â % 11/15/55 as the most attractive in the complex)
Long Broadcom (AVGO) September 22 new supply
Best Hedge: US IG CDX; ORCL equity put spread
Top Short Trading Indicators: Ford (F) US Equity and DNB (DNB NO) Equity
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G-255 Credit Market Valuation and New G – 255 Supply December 24
On a Risk/Reward basis, High Yield bonds have far outperformed Investment Grade in 2025
UST 10-Year Rates: -43.9 bp year-to-date (YTD). US Credit Spreads reached their tightest point of the year on Tuesday, February 21, 2025, and widest on Thursday, April 10, 2025.
Despite the U.S. Fed funds rate declining -75 bp over the past 12 months, 10-year UST rates have fallen 43 bp YoY, while 5-year UST rates are down -73bp YoY. This muted decline in longer-duration UST rates has driven overall credit spreads wider in 2025.
Bloomberg 10Y credit spreads are derived by taking the Moody's index yield and subtracting the UST 10Y YTM.
Lipper LSEG data showed short- and intermediate-term investment-grade bonds with $1.28 billion in inflows,
compared to $2.26 billion for the week ending December 17. High-yield funds recorded $1.79 billion in inflows,
versus $541.8 million previously.
Corporate bond ETFs saw the largest weekly increase, with inflows rising by $2.88 billion to $2.97 billion.
Investment-grade ETFs increased by $2.82 billion to $4.59 billion.
High-yield ETFs grew by $875.4 million to $2.13 billion.
December 2025 G-255 New-Issue Activity (Year-to-Date)
In December, 8 G-255 issuers priced 19 bonds totaling $21.2 billion, led by single-A-rated pharmaceutical issuer Merck (Aa3/A+), which priced an $8 billion 8-part transaction.
All bonds from this deal—except the MRK 4.15% 03/15/31—have already traded to the G-255 systematic credit trading model's avoid levels.
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G-255 New-Issue Indicator Results
On Tuesday, no new supply reached their avoid trading levels.
Across all 2025 G-255 new issues, 90% of the indicators that have triggered produced an average return of just under -8 bp over a 34-day holding period.
Year-to-date, 989 of 1,100 G 2-555 USD bonds issued (totaling $1.147 trillion notional) have hit avoid signals.
Why Sell G-255 New-Issue USD Bonds at Avoid Levels?
39% of all G-255 new-issue USD bonds now trade outside the model's avoid trading level, offering larger returns
over shorter holding periods.
-8 bps over 44 trading days equates to -48 bps of annualized spread tightening—top-quartile performance with no negative trading months and very high Sharpe ratios.
The selection universe totals $1.2 trillion.
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G-255 Credit and Equity Market Indicators December 24
Attractive Long Credit Indicators: 85, (-12 from Tuesday and -21% below the 200-day moving average of all long indicators).
Attractive Long Credit Market Cap accounts for: 49% of all undervalued Systematic credit capital.
Attractive Short Credit Indicators 952, (+10 from Tuesday and +83% above the 200-day moving average of all model short trade indicators).
Attractive Short Credit Market Cap accounts for: 62% 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 traded directionally with credit spreads tighter and US equity prices higher on Tuesday. The two markets have directionally correlated in 20 of the past 26 trading days.
US equities are +4.2% over the past month; US credit spreads are tighter MoM.
2025 is on track for the second-weakest year in 32 for USD credit-equity correlated movement—historic 80% vs. ~74.2% this year.
Systematic Equity Trading Indicators December 24
• Attractive Long G-255 Equity Trade Indicators: 55 (includes both undervalued and equities priced at
extreme discount (unchanged from Tuesday and -24% below the 200-day moving average of all long-trade
indicators).
• Short Equity Trade Indicators +9, (+1 from Tuesday) and -12% to the 200-day moving
average of all model short trade indicators).
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 Tuesday:
ATT (T) Oracle Corp (ORCL) T-Mobile US Inc (TMUS) Occidental Petr (OXY)
Crown Castle (CCI) Dell (DELL) American TWR (AMT) Home Depot (HD)
Equities leaving highest ranked long indicators on Tuesday: Southern Company (SO)
G -255 Issuer News Tuesday.
None
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G-255 Credit and Sector Indicators for "Long Only" trading strategies December 24
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.