With Canadian Bank, Hewlett Packard Enterprise (HPE), and Kroger (KR) showing 4 out of 10 balance sheets changing to de-levering mode, we ran the overall credit model to show we are back to 142 of the world's largest corporate borrowers adding net debt.

USD G-255 credit is now firmly overvalued, but the underlying 242 equities are right in the middle of the fairly valued range.

We have totaled several trading sectors' returns to shareholders as of 10/31/2025 and balance sheet movement that we will share in the earnings digest reports we put out 3 times a week.

We also note that 87% (951 of 1,082) of the G-255 new supply model output shows the largest borrowers' USD new bonds reached our stochastic trading model avoid level in just over 32 trading days and tightened by just over –8 bp on average.

Sectors that outperformed (i.e., reached their avoid point in less than 32 trading days) were bonds issued by borrowers carrying less debt YoY.

When would the trading model valuation indicator show a cyclical peak in credit valuations? When 1,100 short trade indicators represent over 80% of the model's overvalued market capital.

1

Friday G-255 Credit Trading and Monday G – 255 Sector Trade Indicators

Trading flows were slightly below average Friday as USD G-255 credit spreads continued to recover. Meanwhile, G-255 equities are right on the 200-day moving average in terms of attractive long trade indicators. US Utilities are beginning to become a more attractive G-255 long equity trading sector. Credit is now overvalued per the G-255 stochastic trading model. Percentage trade indicators have remained unchanged for a 32nd consecutive trading day. 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: Oracle (Baa2/BBB short credit/ long equity) (-2 to -5bp) Friday

• Top Traded HY G – 255 issuer: Venture Global (VEGLPL 6 ½ 12/15/30 Ba2/BB+) tighter Friday

Key Trading indicator economic results:

• US consumer spending was little changed in September, according to Bureau of Economic Analysis data.

• The core personal consumption expenditures price index rose 0.2% from August and was up 2.8% from the prior year.

• University of Michigan consumer sentiment rose for the first time in five months to 53 in December from 51 in November.

• Inflation expectations within the survey fell to 4.1% over the next year, down from 4.3% in November earlier and the lowest since January.

2

G-255 Credit Market Valuation and New G – 255 Supply December 8

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

• UST 10-Year Rates: Down -5.8 basis points (bp) year-over-year (YoY) and -42.6 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 -75 bp over the past 12 months, 10-year UST rates have fallen only 10 bp YoY, while 5-year UST rates are down 41 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.

We are expecting minimal new G-255 supply in the coming week and for the remainder of the year.

During the month of December, 7 G-255 issuers sold 18 bonds totaling $21.2 billion, again led by the Single-A-rated pharma producer Merck (Aa3/A+), which sold $8 billion in an 8-part deal.

In 2025, there were 325 G-255 USD transactions totaling $1.06 trillion — slightly less than in 2024. 55% of the new G-255 supply was sold by non-financial issuers.

Two additional November 2025 G-255 new issues, six from October, and four from September hit their model-defined "avoid" levels on Friday. Across all G-255 new issues, 88% of the indicators have delivered an average return of just under –8 bp over a 34-day holding period. In 2025, 951 of 1,082 bonds issued ($1.122 trillion notional), 951 have triggered avoid signals.

3

G-255 Credit and Equity Market Indicators December 8

• Attractive Long Credit Indicators: 74, (+9 from Friday and -32% below the 200-day moving average of all long indicators).

• Attractive Long Credit Market Cap accounts for: 43% of all undervalued Systematic Credit capital.

• Attractive Short Credit Indicators 937, (+69 from Friday and +84% above the 200-day moving average of all model short trade indicators).

• Attractive Short Credit Market Cap accounts for: 62% 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 Friday while equities as US credit is now tighter over the past 2 weeks. The two markets have directionally correlated in 12 of the past 16 trading days.

• US equities are +1.2% over the past month; US credit spreads remain 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 8

• Attractive Long G-255 Equity Trade Indicators: 60 (includes both undervalued and equities priced at

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

• Attractive Short Equity Trade Indicators 6, (-1 from Friday) and -22% 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 Friday:

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

Oracle Corp (ORCL) T-Mobile US Inc (TMUS) Home Depot (HD)

Carnival Cruise (CCL) Royal Caribbean (RCL) American Tower (AMT)

Altria (MO) Macquarie Group Ltd (MQG AU) Southern Co/The (SO)

• Equities leaving highest ranked long indicators on Friday: None

G -255 Issuer News over the weekend

International Business Machines Corp. (IBM A3/A- short credit/long equity) is in advanced negotiations to acquire data infrastructure firm Confluent for around $11 billion.

4
G-255 Specific Credit Sector Indicators December 8

Long Opportunities:

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

• Valuation Insight: The stochastic credit trading model identifies 165 undervalued bonds ($275 billion market

value), with 74 long trade indicators across the 6,000-bond USD universe.

• At present no sector has 10 long individual bond trade indicators.

Short Opportunities

• 1,530 bonds ($2.644 trillion) are overvalued per the stochastic credit trading model, with 937 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: 166 bonds ($178 billion) are overvalued, with 133 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.

5

G-255 Specific Bond Trading Indicators December 8

• Closed Positions: 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. Florida P&L (Aa2/A+) NEE 5.6 02/15/66 reached its avoid trading level on Friday December 5.

• Enter New Longs: 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 and on Wednesday December 3, Celanese (Ba2/BB+) CE 7 02/15/31 were added as new issue long indicators.

• 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

Current Sample Systematic Basket bond trades based on trading strategy December 6

Systematic Trading Indicators Friday: None

6

G-255 Credit Basket Trade Statistics

Tuesday's Basket Trade Long/Short Ratio: 72%

Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – December 5, 2025)

Performance Summary: Total Trades: 191 (1% of total trade indicators).

• Long Indicators: 126/147 reached avoid-trading levels, tightening by -9.2 bp.

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

• Remaining Longs: 21 tightened by -2.87 bp.

• Remaining Shorts: 8 tightened by -18.00 bp.

• Average Spread Movement: ± 6.72 bp in the indicated direction.

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

• Average trade holding period: 22.9 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.