Systematic Credit and Equity G-255 Trading Indicators for January 23, 2026
G-255 Specific Credit Sector Indicators January 23 – Long Only Indicators on Page 8
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.
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 159 undervalued bonds ($262 billion market
value), with 105 long trade credit indicators across the 6,000-bond USD universe. The model sees 53 undervalued
G -255 equities ($17.48 trillion).
Short Opportunities – Equity and Credit sectors shown with the most recent short trade indicator date for comparison.
· 1,617 bonds ($2.695 trillion) are overvalued per the stochastic credit trading model, with 1384 short trade indicators.
· 15 G-255 equity issuers are overvalued ($1.418 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 23
· Closed Positions: 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. On Wednesday 1/21/26 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.
· 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 Thursday: ATT (Baa2/BBB) T 4.55 11/01/32 both reached its avoid trading levels.
Thursday's basket trade position indicator: 50% long
Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – January 22, 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 7 of 15 tightened by (-6.32bp).
· 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): 8 positions tightened by -5.67 bp
· Remaining Shorts (2025): 9 positions tightened by -19.23 bp.(2026): 10 positions tightened by - 3.93 bp
· Average Spread Movement (2025): ±6.73 bp in the recommended direction. (2026) ±2.04 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 23
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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 Thursday Trading
Thursday, January 21, 2026, Global equities continued to lurch forward, Thursday's headlines related to November US personal spending as a catalyst. With the exception of 2 banks (Huntington Bancshares and Capital One) the 6 reported earnings from G- 255 issuers were tepid again showing low single digit unit and cash flow growth and expanding net balance sheet debt. The "buy the dip" trade remains intact.
The G-255 credit trade indicators were again above the 1,300+ short trade level post Thursday's close. G-255 credit is still dramatically overvalued. G-255 equities are only modestly overvalued even after Thursday's rally.
Key Trading Indicator Economic Results – Thursday:
· Core PCE rose 0.2% in November compared to October Bureau of Economic Analysis show.
· Personal spending rose 0.5% and Personal income rose 0.3%.
· Initial US jobless claims fell – 22k YoY in the week ended January 16.
· Continuing claims for the week ended January 10 were -39k lower YoY at 1.849mm
Initial jobless claims significantly correlate to US department of Labor unemployment rate
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G-255 Systematic Model Update: January 23 Trading and Earnings Reports
Thursday's Earnings
Intel (INTC) Q4 2025 Results Intel's (INTC) Q4 2025 revenue dropped 4% YoY to $13.7 billion owing to a 7% decline in the Client Computing Group (CCG) to $8.2 billion from persistent weakness in the PC market—particularly low-end/Chromebook segments where Intel continues to lose market share to AMD and MediaTek—this was partially offset by 9% growth in Data Center & AI (DCAI) to $4.7 billion and 4% in Intel Foundry to $4.5 billion.
Intel's balance sheet continues to reflect a combined $15.9 billion in equity investments from the US Government under the CHIPS Act, NVIDIA, and SoftBank—all converted into common stock at around $23 per share.
Intel has not sold any debt since February 2024 and does not need to raise additional cash at present. The G-255 trading indicators remain long credit/equity.
Capital One (COF) Q4 2025 Results Capital One (COF) reported 4Q results (12/31/25) net revenue rose 53% year-over-year to $15.583 billion, while net interest income increased 54% to $12.466 billion, as the Discover Financial Services integration was completed in May 2025.
Loan quality improved with the total nonperforming loans rate declining to 0.40% from 0.61% a year earlier and the nonperforming assets rate falling to 0.43% from 0.63%, indicating better overall asset quality trends in the combined portfolio despite elevated credit provisions.
Capital ratios strengthened, with the CET1 ratio rising to 14.3% from 13.5% and the total risk-based capital ratio climbing to 17.2% from 16.4% as of year-end 2024, providing greater regulatory buffer and flexibility.
Net income rose to $2.436 billion in Q4 2025 from $1.185 billion in Q4 2024, driven by the revenue expansion from Discover, though partially offset by higher credit loss provisions and integration-related non-interest expenses.
COF announced the acquisition of Brex, a fintech company focused on corporate expense management, payments, and credit cards, in a cash-and-stock deal valued at $5.15 billion (approximately 50% cash and 50% stock).
We are showing Intel and Capital One results here as we ran into publishing issues when those 2 issuers reported last night. However, the theme of the 26 G-255 issuers that have reported results remains the same: overall YoY revenue growth remains in the mid-single digits. Unit volume growth (regardless of industry) is in the low single digits weighing more heavily on Consumer and Healthcare providers owing to US tariff fallout.
G-255 Balance sheet leverage remains at all-time highs as do capital returns to shareholders. G-255 overall short credit trade indicators remain near all-time high as US banks are now competing with US asset managers to own USD corporate bonds, which is stretching US corporate debt valuations.
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G-255 Credit Market Valuation and New G – 255 Supply January 23, 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: -61.2 bp.
· YOY change in the UST 10Y: -40.5 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.
Lipper corporate bond mutual fund flows for the week ending January 21.
· Broad Short and intermediate investment-grade bonds: $3.09b inflow vs. $2.2b inflow
· High-yield notes: $1.42b outflow vs. $371.5m outflow
· Biggest outflow since April 2025
4 more G-255 financial issuers priced 10 USD bonds on Thursday with $8.6 billion of capital and all but the Truist Bank Floating rate note 1/27/29 were attractive long trade indicators according to the G-255 credit trading model.
48 G – 255 issuers have come to market in USD in January 2025 total 133 bonds and 138.05 billion of market capital. 87 of the 143 bonds have reached their avoid trading point according to the G-255 credit trading model.
• Across all 2025 G-255 new issues, 95% 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, 1,055 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.
G-255 Credit and Equity Market Indicators January 23
· Attractive Long Credit Indicators: 105 (-7 from Thursday) and +3 % above the 200-day moving average of all long indicators.
· Attractive Long Credit Market Cap accounts for: 67% of all undervalued Systematic credit capital.
· Attractive Short Credit Indicators 1384, (+72 from Thursday and +156% above the 200-day moving average of all model short trade indicators). Short Credit Market Cap comprises 86% 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 11 of the first 14 trading days of 2026.
US equities are +1.5% over the past month; US credit spreads are now materially tighter MOM
Systematic Equity Trading Indicators January 23
• Attractive Long G-255 Equity Trade Indicators: 53 (includes both undervalued and equities priced at extreme discount) +1 from Thursday and -17% below the 200-day moving average of all long-trade indicators.
• Short Equity Trade Indicators -11, (unchanged from Thursday) 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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STLAM IM (Stellantis), DTE GY (Daimler Truck) leave the most attractive long list post Thursday's trading 7.
G-255 Credit and Sector Indicators for "Long Only" trading strategies January 23
*Represents change from prior day indicators
Earnings reported Thursday AM:
General Electric reported strong 4Q results (12/31/25) as orders in their two largest Aerospace and Defense businesses doubled year on year. GE is still adding net debt slightly YoY. But the opportunity here is in the equity on pullback. GE G-255 trading indicators are unchanged short credit/long equity.
Huntington Bancshares reported 4Q results (12/31/25). One of the better bank reports of the season. CET 1 remains well above 10%, loan book, capital markets and asset management business all growing high single or low double digits and credit quality is improving. Deposit growth is strong. While HBAN balance sheet is still re-levering, net debt growth has slowed dramatically post the Veritex acquisition.
But the gamechanger for HBAN is the pending acquisition of Cadence Bank (CADE), a $53 billion regional bank headquartered in Houston, Texas, and Tupelo, Mississippi, in a $7.4 billion all-stock deal on October 27, 2025.
Shareholders of both companies approved the merger in early January 2026. The deal is expected to close on February 1, 2026 (subject to final conditions), creating a top-10 U.S. bank with ~$276 billion in assets and $220 billion in deposits. G – 255 trade indicators remain unchanged short credit/long equity.
Proctor and Gamble 2Q results (12/31/25) and the earnings declines in the Grooming and Baby, Feminine and Family Care divisions which saw unit volume declines both within and outside the US. The Anti – US sentiment associated with Whitehouse rhetoric combined implementation of US trade tariffs show price increases are unable to cover the shortfall. PG balance sheet continues to grow net debt to bolster shareholder returns. The issue with PG debt is that it comes to market at very tight credit spreads and ultimately trades slightly tighter. We note that nothing has changed and Proctor and Gamble in terms of product acquisition and development. Operating Cash flow is actually growing. This is simply and anti – US / tariff issue which ultimately gets resolved. G-255 trading model indicator remains short credit/long equity.
Abbott labs also reported 4Q results (12/31/25) that showed declining unit volumes in the Childcare and nutrition division. Abbott has just under $15 billion of net debt on its balance sheet and hasn't sold USD bonds since 2020. ABT does not disclose balance sheet prior to filing their 10-K. We will put out a report post the 10-K filing. G-255 indicators remain long credit/equity
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.