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Tue, November 18, 2025

Systematic Credit and Equity G-255 Trade Indicators for November 18, 2025

As the market return to focus on earnings we provide the overall sector (we will have the equity version next week) disposition of the G – 255. Keeping it simple: Large global corporate balance sheets have never been as extended as they are today. 146 of the Globe's 255 largest balance sheets are adding net debt. The majority of the new capital has been raised in USD.

The largest number of balance sheets that went from de-levering to re-levering was in Autos. US Regional Banks and BBB Industrials were the only sectors to show improvement in balance sheet disposition. However, leverage (debt/ebitda) on the UST electric utilities is declining slightly.

Finally, to answer the questions we received yesterday:

The best exposure to changing US Federal Reserve policy is via floating rate notes (long) not long (or short) equity futures positions or crypto currencies. We tried to quantify that yesterday.

We are also asked if the Systematic Equity Trading Model incorporates reported earnings. The answer is reported earnings "yes." As to forecasted or adjusted earnings, "definitively no."

Despite another decline in short trade indicators and a slight increase for long trade G-255 equity and credit issuers there has not been enough price movement or capital flow into credit to change the trading model's daily trade allocation.

  • Top traded IG G – 255 issuer: Oracle (Baa2/BBB attractive short credit/long equity) (-1 to -2bp) on Friday

  • Traded HY G – 255 issuer: Coreweave (CRW B1/B attractive short credit) materially wider Monday

Key Systematic Trading Model Economic Indicators Reported Monday:

  • None

  • UST 10-Year Rates: -30.6bp YoY and -46.1bp YTD.

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

We saw 6 more G-255 issuers sell USD debt on Monday led by Amazon (AMZN A1/AA) printing $15 billion of new bond in 6 different offerings.

This was third USD "Mega AI" deal totaling $52.5 billion between META (AA3/AA-), Alphabet (GOOG Aa2/AA+) and AMZN, the systematic trading model saw the new 7Y and 40Y bonds as the most attractively priced new bonds. Morgan Stanley Private Bank (Aa3/A+) and those were the most attractive new bonds sold on Monday according to the trading model. This despite the MS balance sheet continuing to grow over 15% annually.

We saw 3 more new issues bonds issued in between October 10, and November 10 reach their avoid trading levels on Monday. Of the G-255 bonds issued in 2025 903 of 1054 (86%) reached their avoid trading levels.

  • Attractive Long Credit Indicators: 112, (+11 from Monday and +3% above the 200-day moving average of all long indicators. )

  • Attractive Long Credit Market Cap accounts for: 39% of all undervalued Systematic Credit capital.

  • Attractive Short Credit Indicators 502, (-45 from Monday and -1% below the 200-day moving average of all model short trade indicators).

  • Attractive Short Credit Market Cap accounts for: 36% 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 for a third day, Monday, as credit was slightly wider while US equities fell by more than -1%.

  • US equities are roughly -1.8% lower WoW; US credit markets are wider in the week ended November 17.

  • US equities are +.5% higher over the past month, US credit spreads are now materially wider.

2025 is on track for the second-weakest year in 32 for USD credit-equity correlated movement—historic 80% vs. ~73% this year.

Systematic Equity Trading Indicators November 18

• Attractive Long G-255 Equity Trade Indicators: 63 (includes both undervalued and equities priced at an extreme discount (+2 from Monday and +4% to the 200-day moving average of all long trade indicators).

• Attractive Short Equity Trade Indicators 9, (-2 from Monday and just below the 200-day moving

average of all model short trade indicators). All of the equity model changes Monday were Airlines.

For G-255 issuers, equity prices of the world's most indebted companies are -.14% Monday and -1.35% over the past week, while the S&P 500 fell -.92% Monday and fell -2.34% over the past week.

G-255 Equity and Credit Indicators – How we use them

• G-255 issuers are the world's 255 largest issuers of corporate debt, as tracked and analyzed in

proprietary systematic credit trading model featured in the "Systematic Trading" Report on Substack and

universe represents the most heavily indebted and actively traded global companies.

• The G-255 refers to a standardized reporting framework used by USD bond issuers to disclose quarterly

financial results. It's not a regulatory mandate but a market convention tracked by systematic credit analysts and

traders. The exact list of 255 issuers isn't publicly detailed but aligns with globally indebted giants.

• Indicator calibration: Credit trading models use earnings data to recalibrate valuation indicators, such as spread to-curve, earnings momentum, and debt ratios.

• Bond-level granularity: Many G-255 issuers have multiple bonds outstanding. Systematic models assess

relative value across the capital structure, flagging overvalued or undervalued bonds.

• Equity-credit linkage: For dual-listed issuers, equity signals (cashflow comparisons and returns to

shareholders influence credit spreads. G-255 disclosures synchronize these inputs

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 259 undervalued bonds ($438.1 billion market

value), with 112 long trade indicators across the 6,000-bond USD universe.

Short Opportunities

  • 1,492 bonds ($2.32 trillion) are overvalued per the stochastic credit trading model, with 502 short trade indicators.

  • U.S. Big 6 Banks (all ratings):No longer a short indicator as of October 22. Bonds +5 to +18.5 bp since 9/22.

  • Single A and BB Energy: No longer a short indicator as of October 27. Bonds +5 to +18 bp since 9/27.

  • Single A Healthcare: No longer a short indicator as of October 22. Bonds +4 to +15 bp since 9/22.

  • Single A Industrials: No longer a short indicator as of October 22. Bonds +5 to +17 bp since 9/22.

  • Autos: 144 bonds ($156.8 billion) are overvalued, with 86 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.

  • Closed Positions: General Motors Financial (Baa2/BBB) GM 2.7 06/10/31 short trading indicator reached its avoid trading level Friday 11/7.

  • 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.

  • Enter New Short Trades: The trading model added Cigna (Baa1/A-) CI 2.4 03/15/30 and HCA (Baa2/BBB-) HCA 3 5/8 03/15/32 as short trade indicators 11/3. General Motors (Baa2/BBB) GM 3.6 06/21/30 was added as a short trade on Monday.

Current Sample Systematic Basket bond trades based on trading strategy

New Trade Indicators Monday: The new Amazon (A1/AA) AMZN 4.35 03/20/33 (long) and General Motors (Baa2/BBB) GM 3.6 06/21/30 (short) were added to the Model Trade.

Friday's Basket Trade Long/Short Ratio: 71%

Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – November 17, 2025)

Performance Summary: Total Trades: 184 (1% of total trade indicators).

  • Long Indicators: 125/144 reached avoid-trading levels, tightening by -9.23 bp.

  • Short Indicators: 33/40 reached avoid-trading levels, widening by +5.70 bp.

  • Remaining Longs: 19 widened by +4.3 bp.

  • Remaining Shorts: 7 tightened by -10.06 bp.

  • Average Spread Movement: ± 6.46 bp in the recommended direction.

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

  • Average trade holding period: 22.5 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.