Systematic Credit and Equity G-255 Trading Indicators for July 15, 2026
Systematic Credit Trading Overview and Model Indicators
Monday, July 14, 2025, saw below-average trading volumes, below-average new supply, and subdued interest from the investment community. We anticipate a shift today as three of the U.S.'s big six banks, along with Bank of New York (BK) and State Street Bank (STT), report second-quarter results in a few hours.
What do we expect? We do not form expectations. However, our systematic trading model will provide indicators for all five banks before active trading begins later today. These five issuers collectively have over 390 bonds and $645 billion in debt market capital across USD credit markets, spanning bank notes, senior holdco notes, subordinated holdco notes, AT1s, and preferreds. These bonds range in credit ratings from Single A to BB, with each capital structure segment operating in its own market. Bank and senior holdco bonds are further divided into fixed and floating-rate notes. Our trading model segments each bank's trading curve by capital structure and applies distinct volatility weightings based on credit ratings.
Consequently, the model output for JP Morgan (JPM) bank notes differs significantly from that for JPMorgan perpetuals. For detailed issuer credit trading curves, bond, or sector indicators, please contact:
Bloomberg: ldomash8@bloomberg.net
Curve Publishing e-mail: larry.d@G-255.com
LinkedIn: www.linkedin.com/in/larry-domash-94928430
We are already catching up on earnings reports, as DNB of Norway (DNBNO, A2/A-, now attractive short) reported on Friday with underwhelming results. While not disastrous, the report clearly highlighted a strategy of supporting DNB's equity price through its balance sheet (please see page 6 for the full report).
Furthermore, while markets, pundits, and analysts advocate for central banks to lower interest rates, banks are not aligned with this sentiment. DNB's loan book grew by 3% quarter-over-quarter, but its net interest margin remained nearly flat, primarily due to lower Norwegian interest rates year-over-year.
We have added two more Nordic banks to the 29 major issuers scheduled to report this week.
We are also waiting to see the potential impact of U.S. June CPI data on credit markets this week.
Upcoming Earnings
This week, 31 major global corporate debt issuers will report, 27 of which are among the 255 largest global corporate borrowers. Of these, 23 are financial issuers, and 15 of the 25 G-255 issuers were reducing net balance sheet debt as of Q1 2025.
ey Issuers reporting results Tuesday
Blackrock Inc (BLK, Aa3/AA- Not a G - 255 issuer) Bef-mkt Q2 25
Albertsons Cos Inc (ACI, Ba3/BB+ Not a G - 255 issuer) Bef-mkt Q1 26
JPMorgan Chase & Co (JPM, A1/A attractive short) 06:45 Q2 25
Bank of New York Mellon Corp/T(BK, Aa3/A attractive long) Bef-mkt Q2 25
Wells Fargo & Co (WFC, A1/BBB+ attractive short) 07:00 Q2 25
State Street Corp (STT, Aa3/A attractive long) 07:30 Q2 25
Citigroup Inc (C, A3/BBB+ attractive long) 08:00 Q2 25
Inflation, Economic Data, and Interest Rates
US CPI Data Release: The June 2025 Consumer Price Index (CPI) data is scheduled for release on Tuesday, July 15, 2025.
No economic data reported Monday.
YTD 10Y UST yields are (-15bp) lower while most of the rest of the world 10Y rates are higher.
Systematic Trading Model Insights and Trading Strategy (July 15, 2025)
The Systematic Trading Model creates indicators daily for over 6,000 bonds, with 679 currently within 20% of their 52-week tight or wide spread levels (19.8% above historical averages). Over the past week, there has been a significant reduction in bonds trading near 52-week tight spreads in sectors identified as overvalued by the model.
Current Trading Allocation Strategy
-57% long
-23% short
-20% front-end allocation (75% in floating-rate notes maturing within 3 years, targeting undervalued, de-levering bonds).
Performance: Of 131 long/short trades (marked to market via TRACE) in 2025, 92% achieved ±5 bp targets, averaging ±7.52 bp per trade.
Recent Activity:
-The model paused adding short positions on July 2, 2025, due to the number of non – replaced long trading positions over the last week of June – first week of July
-Between June 30 and July 11, 2025, 11 long trade indicators reached "avoid" levels, prompting a shift to a "more short" stance in the long/short basket.
-Thursday's trading allocation adjustment was driven by recent credit fund outflows.
Sector Trading Indicators for Monday
Long:
-Yankee Banks (particularly floating-rate notes).
-Single A TMT.
Short:
-U.S. Big 6 Money Center Banks.
-Single A Healthcare.
-Single A and BBB Industrials (re-levering, with tight spreads).
-BBB TMT with larger issuer tech firms re-levering.
Risk Management: The model avoids adding risk to G-255 issuers scheduled to report results within 30 days, in compliance with global regulatory requirements for reporting "material events" within 30 days of a scheduled earnings release.
Friday's U.S. Credit Trading
Investment-Grade (IG) Trading
-Volume: -19% below average
-G-255 Issuers: 95 of the top 100 traded issuer bonds, accounting for 97% of top 100 issuer volume and 78% of total TRACE volume.
High-Yield (HY) Trading
-Volume: -22% below average
-G-255 Issuers: 14 of the top 25 traded bonds, accounting for 60% of top 25 issuer volume and 52% of total TRACE volume.
Market Movement
U.S. CDX Index: unchanged Monday @ 51 bp
U.S. IG Cash Spreads: Were -1bp to -2bp tighter; BBB US financials and industrials outperformed underperformed while materials and energy slightly underperformed.
CDX HY Index: fell -.1 pt @ 107.40 (per Bloomberg)
HY Cash Bonds: BB energy bonds were slightly higher and outperformed. Most sectors were unchanged.
High-Yield Activity
- Dealers sold $ 400 million of HY bonds Monday.
Most Bought HY Bonds
- Tenet Healthcare (THC Ba3/BB attractive long)
- CSC Holdings (CSCHLD, Caal/CCC+ attractive long)
Most Sold HY Bonds BB TMT Most sold sector
- Nissan Motor Corp (NSANY Ba2/BB attractive long)
Investment-Grade Activity
- Dealers net sold $300 billion of IG bonds Monday.
Most Sold Sectors and Bonds traded
Single A Healthcare – was the most sold IG sector Monday.
- United Healthcare (UNH, A2/A+ attractive short)
- Centene (CNC Ba1/BBB- attractive short)
- HCA (HCA Baa3/BBB- attractive short)
Were the most sold healthcare issuers Monday
Most Bought Sector: Utilities
- Centerpoint Energy (CNP, Baa3/BBB- attractive short) was the most bought Utility issuer.
Attractive Trading Sectors
Long Opportunities
Floating Rate Notes of de-levering issuers Overall model indicators 210 bonds ($302 billion) are considered undervalued by the stochastic credit trading model with 76 attractive long trade indicators for the entire 6,000 bond universe.
Short Opportunities
1377 bonds ($1.13 trillion) are considered overvalued by the stochastic credit trading model with 602 attractive short trade indicators for the entire 6,000 bond universe.
U.S. Big 6 Banks (All Ratings): $719.9 billion in overvalued market capital across 285 bonds, with 91 short indicators.
BBB TMT $209.4 billion in overvalued market capital across 127 bonds, with 38 short indicators.
Single A, BBB and Industrials $148.3 billion in overvalued market capital across 119 bonds, with 63 short indicators.
Single A Healthcare $171.4 billion in overvalued market capital across 117 bonds, with 37 short indicators.
Issuer News
Huntington Bancshares Inc. ( HBAN, Baa1/BBB attractive short) has agreed to acquire Veritex Holdings Inc. for $1.9 billion in an all-stock transaction aimed at expanding its presence in Dallas and Houston, as announced in a statement. Huntington is scheduled to report its second-quarter results on Friday, July 18, 2025.
UK Banks (5 attractive long/ 2 attractive short): The Bank of England has proposed extending the deadline for investment banks to implement global capital rules for their trading businesses. The Prudential Regulation Authority is consulting on delaying the "Fundamental Review of the Trading Book" for banks using internal model approaches until the start of 2028.
U.S. IG Credit Valuation and Spreads
Spread Recovery: U.S. credit spreads have recovered 45% of the widening observed from November 12, 2024, to April 10, 2025.
Valuation: U.S. credit remains slightly overvalued based on output from our credit trading model.
2025 credit spreads: Are wider YTD.
Global Equity Correlation to IG Credit Spreads
U.S. IG credit spreads and U.S. equity prices showed directional correlation for the 54th time in 61 trading days as both markets were slightly higher on Monday. With bank earnings reports beginning Tuesday, we will see how both markets react.
New Supply, Bond Maturities, and Credit Fund Inflows for July
On Monday, July 14, 2025, only one new USD G-255 issue was recorded, an asset-backed 5-year note from Athene Global (ATH, A1/A).
Athene's re-levering balance sheet, this bond is not included in the long/short basket trade. Despite this, the deal was priced attractively, resulting in elevated demand. The $850 million 5-year note exceeds the average size observed in recent asset-backed trades.
As mentioned, we expect to see some US bank supply over the remainder of the week as we wait to see Wednesday's and Thursday's ETF and retail credit fund flows.
Systematic Trading Model Indicators and Strategy
Model Output
Attractive short indicators 603 - +24 from Monday and roughly flat with April 15, 2025.
76 attractive long indicators: 3 fewer than Monday.
Systematic Portfolio Trading Model Indicators:
Prioritize Long Positions: Focus on deleveraging new issues with attractive valuations. Ideal maturity for long positions is 7 years.
Short Positions: Target re-levering issuers trading at the deepest discount from their model avoid point. Avoid short positions with maturities around 7 years, as they are the least attractive.
Replace Longs: Replace systematic attractive long positions that have reached their avoid trading level.
Portfolio Trading Hurdle: Once the portfolio reaches a 75% long hurdle, maintain a 1:1 long-to-short ratio for additional positions.
Current Status of Trading Indicators below:
-11 long trades have reached their avoid trading levels and require replacement.
- Nissan new issue long trading indicators published Friday reached its avoid trading level.
Systematic Credit Trading Strategy July 15, 2025
Closed Positions: The model exited the 11 long trades that have reached their avoid trading levels (including the Nissan 5Y from Friday) over the past 2 weeks.
Enter New Longs:
Implement new attractive de-levering supply that comes to market this week per the published indicators.
Monitor Portfolio Composition:
Track the percentage of long positions relative to the total portfolio.
If replacing the 11 long positions that have reached their avoid trading level pushes the portfolio above the 75% long hurdle, initiate short positions in re-levering issuers (avoiding 7-year maturities) at a 1:1 ratio for any additional long positions.
Review: Reassess portfolio balance after next Thursday's fund flow data to ensure alignment with the systematic model.
Systematic Credit Long/Short Basket Trade
The trading model uses predefined, back-tested processes driven by issuer data and market parameters, targeting ±5 basis points of spread movement in minimal trading days while minimizing volatility risk. The model employs only publicly available data.
Current Sample Systematic individual bond trades based on trading strategy
Most Recent Systematic long/short trades:
With no new G-255 supply that fits the model input, we are looking to add net 11 new bonds of G-255 issuers that are de-levering their balance sheets.
Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – July 14, 2025)
Total Trades: 131 (1% of total indicators).
Performance Summary:
Long Indicators: 92/100 reached avoid-trading levels, tightening by -9.59 bp.
Short Indicators: 27/31 reached avoid-trading levels, widening by +5.49 bp.
Remaining Longs: 8 tightened by -1.00 bp.
Remaining Shorts: 4 tightened by -11.75 bp.
Average Spread Movement: ±7.52 bp in the indicated direction.
Success Rate: 92% of indicators reached avoid-trading levels which is normal.
Average trade holding period: (22 trading days) + 17% above normal.
Friday G-255 reported results
DNB (DNBNO, A2/A model indicator switches to attractive short) reported 2Q quarter earnings that did not come close to meeting analyst expectations. DNB tier 1 capital @ 6/30/25 was 18.3% v. 18.5% at the end of Q1 and 19% a year ago. Loan grew by almost 3% QoQ but net interest income was almost flat owing to lower Norway interest rates. Asset quality is declining slightly.
Financial Position: DNB continues to grow share repurchase and its common shareholder dividend rate. Hence net debt rose by over NOK 500 bil QoQ and NOK 600 bil YoY in addition the company is experiencing over 4% deposit outflow.
Trading Model Indicator: DNB has seven liquid bonds in circulation, including Senior Preferred, Senior Non-Preferred, and AT1 USD bonds. The trading model identifies the DNBNO 4.853 11/05/30 Senior Preferred bond as an attractive short trading indicator at current levels.
The trading model also views DNB equity as an attractive short trade at NOK 268.
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.