Simple. Fast. Institutional-grade. G-255 turns the world's biggest balance sheets into daily tradeable alpha.

A common question last week: How does the G-255 systematic trading model handle the equity-credit arbitrage layer during earnings season, especially when equity prices move far faster than credit spreads adjust? And does the typical 20–30 bp basis volatility between equity and credit remain consistent across sectors?

Key Model Rules – No Discretionary Overrides

Credit Side (No added risk Near Earnings)

The G-255 model never adds or takes new risk in credit:

• Within 30 calendar days of an earnings release (for any issuer).

• For serial issuers (≥3 deals/year), an additional 10-trading-day blackout post-earnings before new credit indicators can trigger.

Equity Side (Volatility Buyer, Not Seller)

• Equities behave oppositely: the model is a net buyer of volatility.

• No new risk is added within 30 days prior to earnings.

• However, the model does not suppress attractive long or short equity signals right up to the earnings date. It has frequently flagged an equity as "long below" or "short above" as recently as one day before the report.

• Post-earnings, the model lets the stock trade freely first, then resets fresh directional levels ("long below X" or "short above Y").

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Because of the built-in equity safety net (10% month-over-month move circuit breaker) and strict directional signals, there is zero bankruptcy-loss risk embedded in any G-255 position. This structural feature renders the CDS market persistently mispriced on a trading basis for roughly 220 days per year.

Example: Oracle (ORCL) – September/October 2025

Recent headline (Bloomberg):

"Morgan Stanley Warns Oracle Debt Protection Nearing Record High"

→ 5-year CDS closed at ~128 bps, highest since March 2009, after tripling from a June low of 36 bps.

Quantitative Reality:

• Stochastic default probability for Oracle remains effectively zero in any reasonable horizon.

• Markets (and sell-side estimates) cannot reliably forecast next quarter, let alone five years out.

• 5-year credit spreads exhibit an 80% correlation with the underlying equity price.

• The entire CDS widening is a direct function of the -30% month-over-month decline in ORCL shares — not deteriorating credit fundamentals.

G-255 Model Signals Post Oracle Earnings (September 10, 2025)

Equity indicator: Long ORCL below $256/share (still active).

Credit indicator: Short Oracle credit across the curve (full bond-by-bond trade table available on request).

Current Oracle Trade Per the Model

→ Short ORCL CDS or long ORCL equity

The market is aggressively pricing non-existent credit risk.

Highest-Ranked Equity Long Indicators – Tuesday, November 25, 2025

Meta Platforms (META) Comcast (CMCSA) Walt Disney (DIS) Oracle (ORCL)

T-Mobile US (TMUS) Deutsche Telekom (DTE GY) Home Depot (HD) Carnival (CCL)

Royal Caribbean (RCL) American Tower (AMT) AT&T (T) Altria (MO)

Equities Dropping Out of Top Long Rankings – Tuesday

Texas Instruments (TXN) Mastercard (MA) Microsoft (MSFT)

G-255 Credit Trading Sector Indicators and Tuesday Credit Trading

US weekly comparable store sales were strong in Thanksgiving week. US November auto sales were also strong. We have not yet seen sufficient movement in valuations (equities or credit) or in incoming/outgoing ETF and mutual fund flows to trigger a new trading allocation from the model.

• Top traded IG G – 255 issuer: Meta Platforms (Aa3/AA- Hold credit/long equity) unchanged to (-2bp) Tuesday

• Top Traded HY G – 255 issuer: Post Holdings (POST B2/B+ short long) +Unchanged Tuesday

Key Trading indicator economic results:

• Same-store sales, rose 7.6% in the Nov. 29 week compared to a year earlier, Johnson Redbook says.

• Month-to-date sales through Nov. 29 rose 6.4%

• November sales expected to be up 6.7% December of 2025 v December 2024.

• November light-vehicles sales came in at an annualized rate of 15.6 million (vs. 15.32 million in October).

• Sales of cars and light trucks rose 1.8% on a month-over-month basis, and fell 5.5% on a year-over-year basis.

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G-255 Credit Market Valuation and New G – 255 Supply December 3

On a Risk/Reward basis, High Yield bonds have far outperformed Investment Grade in 2025

• UST 10-Year Rates: Down -14.6 basis points (bp) year-over-year (YoY) and 49.2 bp year-to-date (YTD). Spreads reached their tightest point of the year on Friday, February 21, 2025, and widest on Thursday, April 10, 2025.

• Despite the U.S. Fed funds rate declining 150 bp over the past 12 months, 10-year UST rates have fallen only 10 bp YoY, while 5-year UST rates are down 42 bp YoY. This muted decline in longer-duration UST rates has driven overall credit spreads wider in 2025.

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

Three new G-255 USD offerings launched on Tuesday, November 25, 2025, with two priced. Celanese (CE; B2/BB-rated long credit/equity) remains in the tender process for its 2027 and 2028 maturities, alongside a new issuance that has yet to price.

Florida Power & Light (FPL) entered the market with $1.8 billion in new first-mortgage bonds on Tuesday. Per our trading model, the 40-year tranche stands out as the most attractive longer-dated electric utility bond issued in the past nine weeks. To illustrate the model's quantitative rigor: I am an FPL customer myself—adding a second unique factor to this long-trade signal. How often does the chance arise to go long a new-issue electric utility bond backed by a de-levering corporate balance sheet? And how often does a dissatisfied customer run a model that flags the utility's bond as a compelling trade? We brand our model as "no human input," and we stand by it.

Six additional November 2025 new G-255 issues, plus one from August, have hit their model-defined avoid levels. Across all G-255 new issues, 87% of indicators have delivered an average return of just under -8 bp over a 33-day holding period. In 2025, 927 of 1,069 bonds issued ($1.08 trillion notional) have triggered avoid signals.1.4sFast

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G-255 Credit and Equity Market Indicators December 3

• Attractive Long Credit Indicators: 80, (+4 from Tuesday and -17% below the 200-day moving average of all long indicators). 1 issuer equity is no longer -10% lower in price month over month.

• Attractive Long Credit Market Cap accounts for: 40% of all undervalued Systematic Credit capital.

• Attractive Short Credit Indicators 813, (+113 from Tuesday and +60% above the 200-day moving average of all model short trade indicators).

• Attractive Short Credit Market Cap accounts for: 56% 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 moved in identical directions Tuesday while equities as US credit is now tighter over the past 2 weeks. The two markets have directionally correlated in 9 of the past 13 trading days.

• US equities are -.1% lower over the past month, US credit spreads are now just slightly wider MoM.

• 2025 is on track for the second-weakest year in 32 for USD credit-equity correlated movement—historic 80% vs. ~74% this year.

Systematic Equity Trading Indicators December 3

• Attractive Long G-255 Equity Trade Indicators: 61 (includes both undervalued and equities priced at

extreme discount (+1 from Tuesday and at the 200-day moving average of all long trade indicators).

• Attractive Short Equity Trade Indicators 9, (-9 from Tuesday and roughly identical to the 200-day moving

average of all model short trade indicators).

• Why are G-255 equity issues outperforming the S&P and Dow? A: Over 30% of the 242 publicly traded G -255 equities have already reached their 2025 low price and 40% of the G-255 issuers are non – US corporates.

• G-255 issuers are returning more capital to shareholders (via dividend growth and share repurchase) than S&P issuers as a whole.

• Highest ranked equity long indicators on Tuesday:

Meta Platforms Inc (META) Comcast Corp (CMCSA) Walt Disney Co/The (DIS)

Oracle Corp (ORCL) T-Mobile US Inc (TMUS) Deutsche Telekom AG (DTE GY)

Home Depot (HD) Carnival Cruise (CCL) Royal Caribbean (RCL)

American Tower (AMT) ATT (T) Altria (MO)

• Equities leaving highest ranked long indicators on Tuesday:

Texas Instruments Inc (TXN) MasterCard (MS) Microsoft (MSFT)

G -255 Issuer News on Tuesday

Airbus SE cut its 2025 aircraft delivery target to 790 aircraft this year, 30 fewer than its original goal, but maintained its financial targets due to recent supplier quality issue on fuselage panels impacting its A320 family delivery flow." See Monday's and Tuesday's reports for more details.

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G-255 Specific Credit Sector Indicators December 3

Long Opportunities:

Focus on de-leveraging issuers, including Single A and BBB-rated TMT, UK Banks, US Regional Banks, and Floating Rate Notes.

• Valuation Insight: The stochastic credit trading model identifies 191 undervalued bonds ($323 billion market

value), with 80 long trade indicators across the 6,000-bond USD universe.

• At present only Single A rated TMT, BBB rated TMT, BB rated TMT and US Regional Bank sectors have 10+ long individual bond trade indicators.

Short Opportunities

• 1,549 bonds ($2.714 trillion) are overvalued per the stochastic credit trading model, with 813 short trade indicators.

• U.S. Big 6 Banks (all ratings): No longer a short indicator as of 10/22. +6 to +14 bp 9/22 – 10/22

• Single A and BB Energy: No longer a short indicator as of 10/27. Bonds +6 to +14 bp 9/27 -10/27

• Single A Healthcare: No longer a short indicator as of 10/22. Bonds +5.5 to +13 bp 9/22 – 10/22

• Single A Industrials: No longer a short indicator as of 10/22. Bonds +6.5 to +15 bp 9/22 -10/22

• Autos: 159 bonds ($168.7 billion) are overvalued, with 113 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.

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G-255 Specific Bond Trading Indicators December 3

• Closed Positions: The Cigna (Baa1/A-) CI 2.4 03/15/30 (short) and Amazon (A1/AA) AMZN 4.35 03/20/33 (long) both reached their avoid trading levels Wednesday November 19. The Truist Bank (Bank Sub A3/A-) TFC 2 ¼ 3/11/30 short trade indicator reached its avoid trading level on Monday November 21. The General Motors (Baa2/BBB) GM 3.6 06/21/30 short trade indicator reached its avoid trading level on Monday 11/24.

• 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 11/17. On Tuesday December 2, the Florida Power & Light (Aa2/A+) NEE 5.6 02/15/66 was added as a new issue long.

• Enter New Short Trades: The trading model added General Motors (Baa2/BBB) GM 3.6 06/21/30 as a short trade on Monday 11/17. 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

Current Sample Systematic Basket bond trades based on trading strategy December 2

Systematic Trading Indicators Tuesday: Trading model added the Florida Power & Light (Aa2/A+) NEE 5.6 02/15/66 as a new issue long. 6

G-255 Credit Basket Trade Statistics

Tuesday's Basket Trade Long/Short Ratio: 70%

Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – December 2, 2025)

Performance Summary: Total Trades: 189 (1% of total trade indicators).

• Long Indicators: 126/145 reached avoid-trading levels, tightening by -9.2 bp.

• Short Indicators: 36/44 reached avoid-trading levels, widening by +5.85 bp.

• Remaining Longs: 19 tightened by -.65 bp.

• Remaining Shorts: 8 tightened by -15.45 bp.

• Average Spread Movement: ± 6.61 bp in the indicated direction.

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

• Average trade holding period: 23 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.