Long Opportunities: - Sectors are shown with the most recent long trade indicator date for comparison

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

• Valuation Insight: The stochastic credit trading model identifies 103 undervalued bonds ($322.6 billion market

value), with 97 long trade indicators across the 6,000-bond USD universe.

• At present Single A and BB rated TMT are the only sectors with 10 or more long trade indicators.

Short Opportunities – sectors shown with the most recent short trade indicator date for comparison

• 1,520 bonds ($2.643 trillion) are overvalued per the stochastic credit trading model, with 942 short trade indicators.

• U.S. Big 6 Banks: 307 bonds ($770 billion) are overvalued with 188 short trade indicators.

• 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: 123 bonds ($179 billion) are overvalued with 99 short trade indicators.

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

• Autos: 168 bonds ($177.7 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; avoid 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 62.5% 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 +3 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 62.5% long hurdle, initiate short positions in releveraging 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.

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G-255 Specific Bond Trading Indicators December 23

• Closed Positions: Philip Morris (A2/A) PM 4 1/4 10/29/32 and McDonald's (Baa1/BBB+) MCD 4.4 02/12/31 new issue trade indicators both reached their avoid trading levels Tuesday 12/9. Celanese (Ba2/BB) CE 7 02/15/31 and Capital One (Baa1/A-) COF 5.197 09/11/36 new issue trade indicators both reached their avoid trading levels Wednesday 12/10. Credit Agricole (A3/A-) ACAFP 4.818 09/25/33 reached its avoid trading level Thursday December 18. McDonald's (Baa1/BBB+) MCD 4.4 02/12/31 reached its avoid trading level Friday December 19. Lowe's (Baa1/BBB+) LOW 4 1/2 10/15/32 and RBC (Baa2/BBB) RY 6 1/2 11/24/2085 reached their avoid trading level Monday December 22.

• Enter New Longs: 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. 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 Monday 12/22/25 were added as a G – 255 de-levering new issue trading more than +2bp to NIP

• 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. The model again produced a short trade indicator for General Motors (Baa2/BBB) GM 3.6 06/21/30 on Monday 12/8/25.

Current Sample Systematic Basket bond trades based on trading strategy December 23

Systematic Trading Indicators Monday: Lowe's (Baa1/BBB+) LOW 4 1/2 10/15/32 and RBC (Baa2/BBB) RY 6 1/2 11/24/2085 reached their avoid trading level. 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 indicator.

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G-255 Credit Basket Trade Statistics

Monday's Basket Trade Long/Short Ratio: 61%

Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – December 23, 2025)

Performance Summary: Total Trades: 193 (1% of total trade indicators).

• Long Indicators: 134/148 reached avoid-trading levels, tightening by -9.2 bp.

• Short Indicators: 36/45 reached avoid-trading levels, widening by +5.85 bp.

• Remaining Longs: 14 tightened -1.11 bp.

• Remaining Shorts: 9 tightened by -15.98 bp.

• Average Spread Movement: ± 6.82 bp in the recommended direction.

• Success Rate: 88% of indicators reached avoid-trading levels, which is slightly below normal.

• Average trade holding period: 23.2 days (above average)

G-255 Trade Sizes and Systematic Trade Process

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 just under 6,000 G-255 USD bonds in circulation.

• The average capitalization of each G-255 bond is just over $1.2 billion (including floating rate notes).

• 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 $44 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 Indicator USD Trading Liquidity

• The Systematic G-255 trading system is designed to trade with no human input. Each fixed coupon USD trading indicator requires $750mm of outstanding market capital and $250mm of total trading volume in the prior 30 trading days if not a new issue.

• Each G-255 floating rate note USD trading indicator requires $300mm of outstanding market capital and $50mm of total trading volume in the prior 30 trading days if not a new issue.

• Each G-255 underlying equity is listed on the issuer's national equity trading exchange.

G-255 Credit Indicators USD Trading Process and Size – Overall Strategy Is Designed To Trade $3 Trillion of Assets

• The G – 255 equities and bonds are the most liquid cash securities in their local markets. The USD bond and equity indicators are "systematic" and employ only publicly available issuer disclosure and market trade prints on TRACE or any of the US trading exchanges.

• 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 employs earnings data to recalibrate balance sheet leverage and valuation indicators, and then compares spread-to-curve, earnings momentum, and debt ratios relative to the issuer's trading history.

• Bond-level granularity: G-255 USD issuers average 27 USD bonds outstanding ($27.5 billion of USD debt cap per issuer). The systematic model assesses historical relative value across the capital structure and creates indicators for overvalued or undervalued bonds.

• Equity-credit linkage: For dual-listed (equity and corporate bond) issuers, equity signals (cashflow comparisons and returns to shareholders influence credit spreads). G-255 disclosures synchronize these inputs and produce long and short trading indicator levels for each security that meets the model's liquidity minimum.

3

Credit Trading Allocation and Sector Indicators, Monday Trading December 23

Tuesday saw a continuation of characteristic "end-of-year" trading, with volumes running approximately 50% below normal levels. In an environment of no new primary supply and with over $45 billion in G-255 called and matured bonds, we observed significant investment-grade (IG) end-user buying as the week progressed.

Trading activity in both equities and credit continued to center on three key names:

Oracle (ORCL; Baa2/BBB) – short credit / long equity

Meta (META; Aa3/AA) – long credit and equity

Broadcom (AVGO; A3/A–) – long credit and equity

All three equities posted gains on Monday, and their respective credit complexes tightened.

We also note that the specific bonds and equities highlighted in last night's report (page 5) exhibited more pronounced price movement on Monday.

G-255 systematic short-credit indicators rose modestly—for only the third trading day in the past six. As discussed in yesterday's report, it remains unlikely that the G-255 short indicator will reach the 1,100 level (equivalent to 75% of overvalued re-levering G-255 issuer capital) without meaningful further equity appreciation in the U.S. technology and industrial sectors.

While G-255 equities remain modestly attractive on an overall basis, prior price appreciation in select single-A TMT and BBB consumer equities (particularly in communications) has constrained near-term upside potential.

• Top traded IG G – 255 issuer: Oracle (Baa2/BBB short credit/ long equity) -5 bp Monday

• Top Traded HY G – 255 issuer: Flash Computer (Ba3) -2 bp Monday

Key Trading Indicator Economic Results Monday:

None

4

G-255 Credit Indicators and Trading Capital By Sector

We are now fewer than 30 days from the start of earnings season, and the credit trading model shows G-255 credit issuer indicators that favor avoiding additions to risk—either long or short. The updated list will be published on Wednesday.

Best Trades (Adding One Equity Short)

• Long T-Mobile (TMUS) equity / Long Oracle (ORCL) equity paired with short ORCL protection / Long ORCL 4.45% 09/26/30 (currently +130 vs. 5-Year UST) and ORCL 4.80% 09/26/32 (+152 vs. 7-Year UST)

• Long Meta (META) October 30 new supply (front-end bonds have initially outperformed; the G-255 model identifies the META 5⅝% 11/15/55 as the most attractive in the complex)

• Long Broadcom (AVGO) September 22 new supply

• Best Hedge: US IG CDX; ORCL equity put spread

• For Long-Only Accounts: Overweight Industrials, Technology, and Communications. Underweight Autos, Big Six Banks, and Single-A Healthcare

Top Short Trading Indicator

• Ford (F) US Equity

5

G-255 Credit Market Valuation and New G – 255 Supply December 23

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

• UST 10-Year Rates: -43.9 bp year-to-date (YTD). US Credit Spreads reached their tightest point of the year on Tuesday, 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 43 bp YoY, while 5-year UST rates are down -73bp 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.

Lipper LSEG data showed short- and intermediate-term investment-grade bonds with $1.28 billion in inflows,

compared to $2.26 billion for the week ending December 17. High-yield funds recorded $1.79 billion in inflows,

versus $541.8 million previously.

• Corporate bond ETFs saw the largest weekly increase, with inflows rising by $2.88 billion to $2.97 billion.

• Investment-grade ETFs increased by $2.82 billion to $4.59 billion.

• High-yield ETFs grew by $875.4 million to $2.13 billion.

December 2025 G-255 New-Issue Activity (Year-to-Date)

• In December, 8 G-255 issuers priced 19 bonds totaling $21.2 billion, led by single-A-rated pharmaceutical issuer Merck (Aa3/A+), which priced an $8 billion 8-part transaction.

• All bonds from this deal—except the MRK 4.15% 03/15/31—have already traded to the G-255 systematic credit trading model's avoid levels.

.

G-255 New-Issue Indicator Results

• On Monday, 2 more Yankee Perps and 1 FRN reached their avoid trading level.

• Across all 2025 G-255 new issues, 90% of the indicators that have triggered produced an average return of just under -8 bp over a 34-day holding period.

• Year-to-date, 989 of 1,100 G 2-555 USD bonds issued (totaling $1.147 trillion notional) have hit avoid signals.

Why Sell G-255 New-Issue USD Bonds at Avoid Levels?

39% of all G-255 new-issue USD bonds now trade outside the model's avoid trading level, offering larger returns

over shorter holding periods.

• -8 bps over 44 trading days equates to -48 bps of annualized spread tightening—top-quartile performance with no negative trading months and very high Sharpe ratios.

• The selection universe totals $1.2 trillion.

6

G-255 Credit and Equity Market Indicators December 23

• Attractive Long Credit Indicators: 97, (+3 from Monday and -6% below the 200-day moving average of all long indicators).

• Attractive Long Credit Market Cap accounts for: 54% of all undervalued Systematic credit capital.

• Attractive Short Credit Indicators 942, (+17 from Monday and +78% above the 200-day moving average of all model short trade indicators).

• Attractive Short Credit Market Cap accounts for: 61% 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 traded directionally with credit spreads tighter and US equity prices higher Monday. The two markets have directionally correlated in 20 of the past 26 trading days.

• US equities are +4.2% over the past month; US credit spreads are tighter MoM.

• 2025 is on track for the second-weakest year in 32 for USD credit-equity correlated movement—historic 80% vs. ~74.2% this year.

Systematic Equity Trading Indicators December 23

• Attractive Long G-255 Equity Trade Indicators: 55 (includes both undervalued and equities priced at

extreme discount (+3 from Monday and -24% below the 200-day moving average of all long-trade

indicators).

• Short Equity Trade Indicators +8, (unchanged from Monday) and -18% 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 Monday:

ATT (T) Oracle Corp (ORCL) T-Mobile US Inc (TMUS) Southern Co/The (SO) Occidental Petr (OXY) Crown Castle (CCI) Dell (DELL) American TWR (AMT) Home Depot (HD)

• Equities leaving highest ranked long indicators on Monday: Macquarie Group (MQG AU)

G -255 Issuer News Monday.

None

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G-255 Credit and Sector Indicators for "Long Only" trading strategies December 23

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.