Systematic Credit and Equity G-255 Trading Indicators for Jan…

G-255 Overview: What It Is and Why It Matters

· Definition G-255 tracks the world's 255 largest corporate issuers, each with at least $15 billion in liquid tradable debt across global currencies. It includes ~6,000 USD bonds (average $1.16 billion per bond) and 242 publicly listed equities with a combined market cap of ~$47 trillion—60% larger per issuer than the S&P 500 average. 80 of those equities are non-U.S. domiciled.
· Key Differentiator Purely systematic and stochastic absolute value model: signals are generated automatically with zero human input, using finite math and stochastic processes applied solely to each security's own 52-week public pricing history (plus earnings data and balance sheet/leverage recalibration). No peer comparisons, forecasts, macro overlays, or sentiment analysis of any kind. This issuer-isolated approach detects extreme trading levels relative to each name's individual historic norms, covering ~85% of daily TRACE-reported USD corporate bond trades (95% investment-grade, 48% high-yield). Back-tested tracking accuracy of 97.5% highlights its quantitative purity and rule-based execution.
· Equities + Debt Capital Structure Integration The fully automated model combines equity (growth, volatility, momentum) and bond (credit spreads, debt dynamics) data using only each issuer's 52-week pricing and fundamental history. This linkage identifies cross-asset extremes—such as equity momentum diverging from spread movements—to produce unified, objective long/short indicators for both asset classes, with no external sentiment or discretionary factors.

G-255 Specific Credit Sector Indicators January 22 – Long Only Indicators on Page 8

Long Opportunities: G-255 Credit and Equity Sectors are shown with the most long trade indicator data
Focus on de-leveraging issuers in Credit: Single A and BB rated TMT, Single A rated Healthcare, UK Banks, US
Regional Banks, Canadian Banks and Floating Rate Notes.
Focus on Equity issuers with YoY operating cash flow growth: TMT, Healthcare and US Utilities
· Valuation Insight: The stochastic credit trading model identifies 172 undervalued bonds ($312 billion market
value), with 112 long trade credit indicators across the 6,000-bond USD universe. The model sees 52 undervalued
G -255 equities ($17.37 trillion).

Short Opportunities – Equity and Credit sectors shown with the most recent short trade indicator date for comparison.

· 1,594 bonds ($2.71 trillion) are overvalued per the stochastic credit trading model, with 1312 short trade indicators.
· 15 G-255 equity issuers are overvalued ($1.490 trillion) with 11 G-255 short equity trade indicators.

Largest De-levering, Re-levering and cash flow positive and cash flow negative sectors for both G-255 equities and credit are shown above.

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Systematic Portfolio Daily Credit Trading Model Indicators
· Long Indicators: Target deleveraging new issues with attractive valuations, focusing on 7-year maturities.
· Short Indicators: Target re-leveraging issuers trading at the deepest discount from their model avoid point; avoid 7-year maturities due to low attractiveness and focus on 2031 maturities for best short opportunities.
· 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 50% 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: This week, one short trade was added, and three long trades reached their avoid trading level. The trading model has not yet added long indicators this week.
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 50% long hurdle, initiate short positions in re-leveraging 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.

G-255 Specific Bond Trading Indicators January 22

· Closed Positions: Lloyds Bank (A3/A-) LLOYDS Float 11/04/31 reached its avoid trading level on January 8. Deutsche Bank NY (Baa1/BBB) DB 4.95 08/04/31 reached its avoid trading level on Tuesday January 13. On Friday 1/16/26 McDonald's (Baa1/BBB+) MCD 5 02/13/36 reached its avoid trading level. On Tuesday 1/20/26 Royal Bank of Canada (A1/A) RY 4.305 11/03/31 reached its avoid trading level.
· Enter New Longs: 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 were added as a G – 255 de-levering new issue trading more than +2bp to NIP. On Wednesday 1/14/26 Bank of New York (Aa3/A+) BK 4.026 01/22/30 was added as a G – 255 new issue long indicator
· Enter New Short Trades: The model again produced a short trade indicator for General Motors (Baa2/BBB) GM 3.6 06/21/30 on Monday 12/8/25. On Friday 1/16/26 the G-255 trading model added Morgan Stanley (Baa1/BBB+) MS 5.948 01/19/38 as a secondary short trade indicator.

Systematic Trading Indicators Wednesday: Mitsubishi Finance (A1/A-) MUFG Float 09/12/31 and ATT (Baa2/BBB) T 4.55 11/01/32 both reached their avoid trading levels.

Wednesday's basket trade position indicator: 50% long

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 5 of 15 tightened by (-6.04bp).
· 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. (2026): 10 positions tightened by -3.87 bp
· Remaining Shorts (2025): 9 positions tightened by -19.23 bp.(2026): 10 positions tightened by - 2.51 bp
· Average Spread Movement (2025): ±6.73 bp in the recommended direction. (2026) ±1.79 bp
· 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).

We will update the G – 255 highest long/short trade indicators and changes for the month of January over the coming weekend.

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Current Sample Systematic Basket Credit/Equity trades based on trading strategy January 22

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G-255 Trade Sizes and Systematic Trade Process for Debt and Equities

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 6,020 G-255 USD bonds in circulation.

· 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 Indicators USD Trading Process and Size – Overall Strategy Is Designed To Trade $3 Trillion of Assets

· 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.

Equity and Credit Trading and Sector Indicators and Wednesday Trading

Wednesday, January 21, 2026, Global equities rebounded on headlines that "all is well" and "framework" for a "deal" relating to EU tariffs and Greenland is in place. US equities rallied hard on that news. The recent threats of a 10% tariff (the "bank credit cap" discussion) continues to plague Financial issues but overall equity prices were +1% higher in the US on Wednesday. The "buy the dip" trade remains intact.

The G-255 credit trade indicators were again above the 1,300+ short trade level post Wednesday's close. G-255 credit is still dramatically overvalued. G-255 equities are only modestly overvalued even after Wednesday's rally.

Key Trading Indicator Economic Results – Wednesday:

U.S. weekly rail traffic was 505,385 carloads and intermodal units, + 1.1% compared with the same week last year.

Total carloads for the week ending January 17 were 224,783 carloads, + 3.9% compared with the same week in 2025, while U.S. weekly intermodal volume was 280,602 containers and trailers, -1.1% compared to 2025.

US rail traffic correlates closely to US GDP growth.

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G-255 Systematic Model Update: January 22 Trading and Earnings Reports

Wednesday's Earnings

Of the six G-255 issuers reporting on Wednesday—Ally Financial (ALLY), Truist (TFC), Charles Schwab (SCHW), Prologis (PLD), Kinder Morgan (KMI), and Johnson & Johnson (JNJ)—only Charles Schwab recorded better than 10% year-over-year growth in both revenue and earnings.

Across these six issuers, approximately $10 billion in capital was returned to shareholders via share repurchases and dividends in the fourth quarter alone. This represented an increase of $2.2 billion, or 28%, year-over-year.

How many of these six issuers are trimming net debt? Answer: Just one—Schwab.

We've only seen 22 issuers report thus far, so—other than our conclusions about banks—no broader inferences should be drawn from the reported earnings just yet.

We have written frequently that the G-255 Big 6 banks hold more trading assets and securities (including held-to-maturity) than loans. These banks continue to leverage their balance sheets heavily toward global capital markets while delivering capital returns to shareholders that are growing more than twice as quickly as revenues. We have also noted that Big 6 bank repurchase of shares—even at all-time high prices—has kept stock prices stable and Big 6 CDS spreads and credit spreads near all-time tights, despite over $250 billion in additional net debt additions in 2025. The G-255 trading model clearly overweight's both the equity and corporate bonds of U.S. regional banks.

G-255 Regional Bank 4Q 2025 Operating Metrics

We note that U.S. regional banks are also growing capital returns to shareholders materially faster than revenue growth.

However, that is where the similarity between the so-called "Money Center" and regional banks ends. Regional banks' trading and marketable securities holdings are only about 50% the size of their loan books. Moreover, regional bank balance sheets maintain net cash positions and continue to improve from a financial leverage perspective.

G-255 Regional Bank 4Q 2025 Balance Sheet Metrics

The Trump Trade passes the most recent test.

Earlier this week, we noted that Trump's rhetoric—on everything except the price of a McDonald's cheeseburger—challenges the "buy the dip" Trump trade. That trade has relied on excess residual capital from loan forgiveness and near-0% interest rates early in the decade.

The trade remains intact, despite credit valuations near 12-year tights.

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G-255 Credit Market Valuation and New G-255 Supply January 22, 2026

On a Risk/Reward basis, High Yield bonds have far outperformed Investment Grade in 2025
· US Credit Spreads reached their tightest point of the year on Friday, February 21, 2025, and widest on Tuesday, April 10, 2025.
· YOY change in the UST 5Y: -61.4 bp.
· YOY change in the UST 10Y: -37.6 bp.

We are no longer flat in terms of Credit Spreads YoY.

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

Corporate Bond ETF inflows ($2.046 billion) were roughly flat WoW for the week ended January 20.

· Broad bond-market ETFs dropped by $1.12b to $5.95b
· Vanguard Intermediate-Term Corporate Bond ETF had the biggest inflow, of $2.74b
· IShares iBoxx $ Investment Grade Corporate Bond ETF had the biggest outflow, of $1.02b

4 G-255 financial issuers priced 14 USD bonds on Wednesday with $8 billion of capital and all but the PNC 3nc2 FRN attractive long trade indicators according to the G-255 credit trading model.

44 G – 255 issuers have come to market in USD in January 2025 total 133 bonds and 129.45 billion of market capital. 77 of the 119 bonds have reached their avoid trading point according to the G-255 credit trading model.

• Across all 2025 G-255 new issues, 93% of avoid trade indicators delivered an average return of just under -8 basis points over a 34-day holding period.

• Over the past 12 months, 1,028 of 1,100 G-255 USD bonds issued (totaling $1.147 trillion in notional) have hit avoid signals.

• All 20 December 2025 G-255 new issue trade indicators were reached in less than 22 trading days.

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G-255 Credit and Equity Market Indicators January 22

· Attractive Long Credit Indicators: 112 (-5 from Wednesday and +11 % above the 200-day moving average of all long indicators).
· Attractive Long Credit Market Cap accounts for: 63% of all undervalued Systematic credit capital.

· Attractive Short Credit Indicators 1312, (+20 from Wednesday and +131% above the 200-day moving average of all model short trade indicators). Short Credit Market Cap comprises 83% of all overvalued Systematic credit capital.

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

G-255 credit spreads have correlated directionally with US equity index movement for 10 of the first 13trading days of 2026.

US equities are +1.5% unchanged over the past month; US credit spreads are now materially tighter MOM

Systematic Equity Trading Indicators January 22

• Attractive Long G-255 Equity Trade Indicators: 52 (includes both undervalued and equities priced at extreme discount) -5 from Wednesday and -21% below the 200-day moving average of all long-trade indicators.

• Short Equity Trade Indicators -11, (+1 from Wednesday) and the same as the 200-day moving average of all model short trade indicators).

Equities with highest ranked long indicators : Equities with the highest ranked short indicators:

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G-255 Credit and Sector Indicators for "Long Only" trading strategies January 16

*Represents change from prior day indicators

Earnings reported Wednesday:

Ally Financial reported 4Q results (12/31/25). Issuer continues to expand balance sheet modestly. However, the key metrics for ALLY, CET1 capital (now 10.2%) and Loan quality both continue to improve. ALLY only came to the USD market twice in 2025 and raised $1.35 billion.

Charles Schwab reported 4Q results (12/31/25). Schwab does not report period end balance sheet or cash flow information until they complete their full regulatory filing (10 – K) next month. We include only 3Q balance sheet and shareholder return figures. SCHW is de-levering its balance sheet faster than any of the other 19 US G-255 banks. Key metrics for 4Q 2025: Net Income rose 38% YoY and 4% QoQ. Client Asset rose 18% YoY and 3% QoQ. G-255 trade indicators for SCHW remain long credit/equity.

Prologis reported strong 4Q results (12/31/25) as the warehouse market appears to have troughed in 3Q 2025. Balance sheet is expanding rapidly as the company invests in projects globally. While the last USD bond offering was in May 2025, PLD has sold corporate bonds in Canada and Europe since. Occupancy and Rent rose in 4Q 2025. The G – 255 trading model indicators remain short credit/long equity. Although the equity is not attractively priced according to the trading model at present.

Johnson and Johnson reported 4Q results (12/31/25) J&J does not report period end balance sheet or cash flow information until they complete their full regulatory filing (10 – K) which will happen shortly. We include only 3Q balance sheet and shareholder return figures. JNJ continues to grow balance sheet via acquisition and while the credit is rated AAA it is still re-levering and the G-255 trading model indicators are short credit/long equity. We note that returns to shareholders via share repurchase in dividends for JNJ rose 40% YoY in 2025 while earnings rose 90%.

Kinder Morgan reported difficult 4Q results (12/31/25) but most importantly to short term equity price, "beat analyst's expectations." With product pricing in decline, volumes, cashflow and balance sheet were ostensibly flat YoY for the quarter and for the 12 month periods. While the trading model indicators remain short credit/long equity, we note that few G-255 issuers are as transparent in their disclosure to investors as KMI. Management's outlook for 2026 was "more of the same."

Truist Reported 4Q 2025 results (12/31/15) Issuer Indicators remain short credit/long equity. TFC continues to reduce capital to increase shareholder returns.

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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.

Systematic Credit and Equity G-255 Trading Indicators for January 22, 2026

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