Systematic Credit and Equity G-255 Trading Indicators for January 6, 2026
G-255 Specific Credit Sector Indicators January 6 – Long Only Indicators on Page 8
Contact Larry.Domash@curvepublishing.com or Gareth.moocy@empirasign.com for more details.
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 219 undervalued bonds ($401 billion market
value), with 137 long trade indicators across the 6,000-bond USD universe.
At present Single A and BBB 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.
1,540 bonds ($2.74 trillion) are overvalued per the stochastic credit trading model, with 1021 short trade indicators.
U.S. Big 6 Banks: 300 bonds ($734 billion) are overvalued with 209 short trade indicators.
BBB Energy: 82 bonds ($98.4 billion) are overvalued with 54 short trade indicators.
Single A Healthcare: 123 bonds ($179.2 billion) are overvalued with 95 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 ($173 billion) are overvalued, with 138 short trade indicators
Systematic Portfolio Daily Trading Model Indicators
Long Indicators: Target deleveraging new issues with attractive valuations, focusing on 7-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 +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 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 January 6
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. Lowe's (Baa2/BBB+) LOW 4 1/2 10/15/32 reached its avoid trading level on Friday January 2.
Enter New Longs: On Wednesday December 3, Celanese (Ba2/BB+) CE 7 02/15/31 was added as a new issue long indicator. 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 January 6
Systematic Trading Indicators Tuesday: None All 13 G – 255 issuers of corporate credit on January 6 will report results within the next 40 days. The trading model avoids adding additional credit risk in any of the new bonds sold on Monday.
Monday's Basket Trade Long/Short Ratio: 61%
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Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – January 6, 2026)
Performance Summary
Total Trades: 195 (2025 full year); 25 in 2026
Long Indicators (2025): 136 out of 150 tightened by an average of -9.2 bp. In 2026 1 of 14 tightened by (-5bp).
Short Indicators (2025): 36 out of 45 widened by an average of +5.85 bp.
Remaining Longs (2025): 14 positions tightened by -1.53 bp.
Remaining Shorts (2025): 9 positions tightened by -19.23 bp.
Average Spread Movement (2025): ±6.73 bp in the recommended direction.
Success Rate (2025): 88.2% of indicators reached avoid-trading levels (slightly below historical norms).
Average Trade Holding Period (2025): 23.4 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 $1.16 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 $47 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 uses earnings data to recalibrate balance sheet leverage and valuation indicators. It then evaluates spread-to-curve positioning, earnings momentum, and debt ratios against each issuer's historical trading patterns.
Bond-level granularity: G-255 USD issuers hold an average of 27 USD bonds outstanding (equivalent to a $27.5 billion USD debt cap per issuer). The systematic model analyzes historical relative value across the capital structure, generating indicators for overvalued or undervalued bonds.
Equity-credit linkage: For issuers with both publicly traded equity and corporate bonds, equity signals—driven by cash flow comparisons and shareholder returns—directly influence credit spreads. The G-255 framework integrates these inputs to produce synchronized long and short trading signals for each qualifying security, based on the model's liquidity thresholds.
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Credit Trading Allocation and Sector Indicators
Monday, January 6, 2026, Trading volume returned to normal levels on Monday, January 6, 2026. With two full days of 2026 trading data now available, the G-255 systematic trading model has resumed normal operations.
G-255 credit remains overvalued, while G-255 equities appear less overvalued by comparison.
Despite 13 G-255 issuers selling 37 bonds totaling $32 billion, there was very little discernible response or adjustment in overall equity or credit market valuations.
Both G-255 equities and credit continue to hinge on how risk markets digest the October/November 2025 announcements from major AI producers regarding large capital expenditure plans and lease obligations. These stem from rising computing power and electricity demand driven by growing needs for AI-related information services.
Oracle remains the top G-255 equity long indicator.
Ford remains the top G-255 equity short indicator.
Top Traded Issuers:
Top traded IG G-255 issuer: Meta Platforms (Aa3/AA- long credit/ equity) – +5bp wider Monday.
Top traded HY G-255 issuer: CCO Holdings (CHTR Ba1/BBB- short credit/equity) Unchanged Monday.
Key Trading Indicator Economic Results – Monday:
ISM Manufacturing was 47.9 in December vs. 48.2 in November and the lowest since October 2024. The number has indicated contraction since February 2024. December ISM prices paid were 58.5 vs. 58.7 in November. New Orders and employment ISM indicators remain well below the headline number.
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G-255 Systematic Model Update: Earnings Season Preview
January 6, 2026, Earnings Outlook
Eighty-eight G-255 issuers are scheduled to report earnings over the next 30 days.
G-255 credit trade indicators currently signal no additional risk in credit positions (neither new longs nor shorts) among issuers reporting within the next 30 days.
G-255 equity trade indicators are not explicitly timed to earnings dates but do incorporate information from released earnings reports.
143 of 255 (56%) of the largest issuers of global debt are re-levering going into earnings season. This is the highest percentage of issuers expanding their balance sheets in the 33-year history of the systematic trading model.
29 of 242 (12%) underlying G-255 equity issuers have experienced operating cash flow declines in the current financial year, based on their most recent reported results.
220 of 242 (90%) underlying G-255 equity issuers are returning more capital to shareholders in the current financial year than a year ago.
On Monday, 13 G-255 issuers sold $32 billion of USD bonds—all of which will report results in less than 40 days. According to the trading model, only 27 of 37 (73%) of the bonds issued on Monday were priced attractively.
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G-255 Credit Market Valuation and New G – 255 Supply January 6
On a Risk/Reward basis, High Yield bonds have far outperformed Investment Grade in 2025
UST 10-Year Rates: are unchanged year-to-date (YTD). US Credit Spreads reached their tightest point of the year on Wednesday, February 21, 2025, and widest on Thursday, April 10, 2025.
Bloomberg 10Y credit spreads are derived by taking the Moody's index yield and subtracting the UST 10Y YTM.
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G-255 Credit and Equity Market Indicators January 6
Attractive Long Credit Indicators: 137, (+1 from Monday and +31% above the 200-day moving average of all long indicators).
Attractive Long Credit Market Cap accounts for: 59% of all undervalued Systematic credit capital.
Attractive Short Credit Indicators 1063, (+196 from Monday and +97% above the 200-day moving average of all model short trade indicators).
Attractive Short Credit Market Cap accounts for: 69% of all overvalued Systematic credit capital.
G-255 Equity Trade Indicators and US Equity Correlation to Overall US Credit Spreads
US equities are unchanged over the past month; US credit spreads are wider MoM.
2025 was the second-weakest year in 32 for USD credit-equity correlated movement—historic 80% vs. ~75% last year.
Systematic Equity Trading Indicators January 6
• Attractive Long G-255 Equity Trade Indicators: 50 (includes both undervalued and equities priced at
extreme discount (-4 from Monday and -22% below the 200-day moving average of all long-trade
indicators).
• Short Equity Trade Indicators -8, (-1 from Monday) and -18 to the 200-day moving
average of all model short trade indicators).
AMT and T dropped out of the highest ranked G -255 long equity list on Monday.
G -255 Issuer News Monday
None
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G-255 Credit and Sector Indicators for "Long Only" trading strategies January 6
*Represents change from prior day indicators
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.