G-255 Specific Credit Sector Indicators February 9 – Long Only Indicators on Page 8

G-255 Overview: What Is it?

G-255 provides long and short trade indicators for the world's 255 largest corporate issuers, each with ≥$15 billion in tradable debt or ~6,000 USD bonds (avg. $1.16B per bond) and 242 publicly listed equities (combined market cap ~$47 trillion—60% larger per issuer than S&P 500 average), with 80 equities non-U.S. domiciled.

Long Opportunities

Credit: Focus on de-leveraging issuers — Single A/BB TMT, Single A Healthcare, UK/US/Canadian Banks, Floating Rate Notes (177 undervalued bonds worth $292.9 bil in value; 103 long trade indicators).

Equity: Focus YoY operating cash flow growth — TMT, Healthcare, Consumer (35 undervalued equities worth $16.05T).

Short Opportunities

· Credit: 1,528 overvalued bonds ($2.61T market value; 1,1082 short indicators) Big 6 banks remain the largest overvalued sector (297 overvalued bonds. $720 billion of market value, 228 short indicators.

· Equity: 23 overvalued issuers ($1.934T; 16 short indicators).

This quantitative, rule-based framework provides unified, objective signals for global corporate capital structure

extremes.

G-255 Systematic Portfolio Daily Credit Trading Model Indicators

· Long Indicators: Are de-leveraging credits issues with attractive valuations as well new supply of G-255 issuers

· Short Indicators: Are re-leveraging issuers trading within 10% of their 52 week tight credit spread.

· 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.

· New Supply: The G-255 trading model creates new issue long trade indicators for all new USD sold by G-255 issuers. Those trades are now summarized on page 5, and all trade indicators are published in a separate report.

· Current Status of Trading Indicators: Last week, 2 long new issues and 1 short trade reached its avoid trading level were added to the sample G-255 credit basket trade below

Monitor Trade Position Composition.

· When replacing long positions that have reached their avoid trading level the model basket trade will add new long trade indicators to achieve 50% long sample credit basket trade.

· Review: The G-255 credit trading model reassess portfolio trade % after weekly 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 February 9

· Closed Positions: 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. On Friday 1/30 Morgan Stanley (Baa1/BBB+) MS 5.498 1/19/38 (subordinated short) reached its avoid trading level.

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· Enter New Longs: 1/14/26 Bank of New York (Aa3/A+) BK 4.026 01/22/30, 1/27/26 RBC (Baa2) RY 6 ½ 05/24/2086, 2/03/26 Deutsche Bank New York (Baa1/BBB) were added as new issue long trade indicators.

· Enter New Short Trades: 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.

New Credit Trade Indicators Friday: See Friday's Basket Trade

Current Sample Systematic Basket Credit/Equity trades based on trading strategy February 9

Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – February 6, 2026)

· Total Trades: 195 (full year 2025); 25 (2026 YTD)

· Long Indicators (2025): 136 out of 150 tightened by an average of -9.2 bp. (2026): 8 out of 16 tightened by an average of -6.53 bp.

· Short Indicators (2025): 36 out of 45 widened by an average of +5.85 bp. (2026): 1 out of 10 widened -7.3 bp.

· Remaining Longs (2025): 14 positions tightened by -1.53 bp. (2026): 8 positions tightened by -.11 bp.

· Remaining Shorts (2025): 9 positions tightened by -19.23 bp. (2026): 9 positions tightened by -3.41 bp.

· Average Spread Movement (2025): ±6.73 bp in the recommended direction. (2026): ±1.1 bp.

· Success Rate (2025): 88.2% of indicators reached avoid-trading levels (slightly below historical norms).

· Average Trade Holding Period (2025): 23.9 days (above average).

Systematic Portfolio Daily Equity Trading Model

· Long Indicators: Target G-255 issuers with positive year-on-year cash flow, trading more than 7.5% below their historic price and moving averages. Focus on issuers with the largest capital returns to shareholders.

· Short Indicators: Target G-255 issuers with negative year-on-year cash flow and returns to shareholders, trading more than 7.5% above their historic price moving averages. Focus on issuers with the largest declines in operating cash flow.

· Trading levels for all 242 equities determine the number of positions: G-255 is not a "stock picking" tool—it is a stochastic measurement system based on current operating metrics and returns to shareholders.

· Current Status of Trading Indicators: Last week, one short trade and 2 long trades were added, while 2 long indicators reached their avoid trading levels.

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G-255 Specific Equity Trading Indicators February 9

· Open Long Positions: since January 5, the G-255 has added and (subtracted) 30 issuers from the most attractive long indicator In February 4 Feb, Abbott Labs, February 5, Prudential Financial, NVIDIA were added.

· Closed Long Positions: Since January 20, 10 the G-255 Highest rated Long Trade Indicators have reached their avoid trading levels. In February Marathon Pete (MPC) and Mondelez (MDLZ) both reached their avoid trading levels 2/3/26. Kroger (KR) reached its avoid trading level 2/5/26. NVIDIA (NVDA) reached its avoid trading level 2/6/26.

· Open Short Positions: G-255 Highest short indicators added UAL US equity 1/20/26, GM US equity and UPS US on 1/27/26, Starbucks (SBUX) on 1/28/26 and Dow on February 6.

· Close Short Positions: On January 30 Nordea Bank NDA SS Equity was changed to a G-255 long trade indicator post 4Q earnings.

Equity Trade Definitions:

· A G-255 "Highest rated" equity long must be trading -7.5% relative to its historic moving average.

· A G-255 "Highest rated" equity short must be trading +7.5% relative to its historic moving average.

Overall, the 31 highest-rated G-255 long positions have returned 5.10% in January and -.34% in February

Overall, the 7 highest-rated G-255 short positions have returned -1.85% in January and +.18% in February

G-255 Trade Sizes and Systematic Trade Process for Corporate bonds and Equities

· 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 6,022 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.

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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 equities and bonds.

· The system accommodates the largest institutional trade sizes, dependent on user resources and trading relationships (all G-255 USD corporate bonds trade OTC via over 80 dealers and all 5 major U.S. 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% of daily NASD TRACE trades (95% of USD investment-grade and 48% of USD non-investment-grade).

G-255 Trade Indicators are created daily for all 6,250 debt and equity securities.

· Indicator Calibration: The stochastic credit trading model uses earnings data to recalibrate balance sheet leverage and valuation indicators, 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 (~$27.5 billion USD debt cap per issuer). The model analyzes historical relative value across the capital structure, generating indicators for over/undervalued bonds.

· Equity-Credit Linkage: For issuers with both equity and bonds, equity signals (driven by cash flow and shareholder returns) directly influence credit spreads. The framework integrates these to produce synchronized long/short signals based on liquidity thresholds.

Equity and Credit Trading and Sector Indicators and Friday Trading

Friday, February 6, 2026, G-255 credit did not follow G-255 equities materially tighter. While certain TMT bonds outperformed overall G-255 credit spreads were only -1 tighter. G-255 equity prices bounced on (again) what Alan Greenspan would call "irrational exuberance" following a day of "irrational depression" as US equity prices continue to vacillate around the concept of "return on investment" relating to AI spending by the world's largest technology and communications companies.

The G-255 systematic trading model is designed to take advantage of volatility and several of the equity indicators fared (NVDA, KR) reached their avoid trading levels despite the volatility.

G-255 are now more overvalued than they have been since February 2024. G-255 credit backed by retail mutual fund inflow and over $100 billion of G-255 bond maturities and retirements in 2026 remain overvalued but not at a level where the G-255 trading model would reach a "short only" trading indicator.

G-255 Systematic Model Update: February 9 Trading and Last Week's Earnings Reports

Several shifts in G-255 equity and credit trading indicators occurred on Friday owing to the equity market's reversal of Amazon's post-earnings sell-off and Oracle's announcement of a $50 billion capital raise and immediate marketing of $25 billion of bonds on Monday. We feature Oracle new supply in our initial "pairs trade" credit publication so with over 50% of G-255 issuers having now reported December quarter results we can safely say there is little change in the global corporate balance sheet and use of the capital markets in order for the 242 public entities that can access the corporate bond market return that capital to shareholders via share repurchase and dividends.

There are no more or fewer G-255 issuers re-levering than 3Q's 243 (a historic top) and what the G-255 trading model for corporate credit and equity are providing is quantitative backdrop where the better the balance sheet or credit rating, the easier it is for issuers to use the credit markets to enhance both shareholder and bondholder returns.

Since we have already shown operating metric and balance sheet information for US Big 6 and Regional banks, tonight we show the same phenomena for US industrials equity issuers (30). The simple quantitative observation is that Single A rated Industrials are able to borrow more capital, lever their balance sheets and return more capital to shareholders.

Single A Rated Industrials 4Q 2025 Balance Sheet

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Single A Rated Industrials 4Q Operating Metrics

Keeping it as simple as possible the 19 Single A rated Industrial issuer raised $106 billion of net debt in 2025 and returned $171 billion to shareholders. No Credit downgrades and almost $10 billion (73% of net income) per issuer returned to shareholders.

BBB Industrials 4Q 2025 Balance Sheet

BBB Industrials 4Q 2025 Operating Metrics

The 11 BBB raised $10 billion of net debt in 2025 and returned $19 billion to shareholders. Just 1 credit downgrade but only $1.75 billion per issuer returned to shareholders.

The net result was Single A rated industrial equities outperform BBB rated industrial equities 23.7% to 17.17% in 2025. And despite the increased leverage, and almost $10 billion (73% of net income) per issuer returned to shareholders. Despite the increase in leverage Single A and BBB industrials corporates had roughly the same returns – (7.44% in 2025) with spread volatility of the Single A industrials (+67 bp at year end at the 10Y level) roughly 60% lower than BBB industrials.

Trading conclusions:

(1) Single A rated Industrial corporates are to be long or "own." BBB industrial are to position or "rent"

(2) Equities of Single A rated industrial issuers have higher returns than equities of BBB rated issuers

(3) If the mandate is to underweight or short – it's the equities and corporates of BBB industrial issuers.

G-255 Credit Market Valuation and New G – 255 Supply February 9, 2026 On a Risk/Reward basis, High Yield bonds have far outperformed Investment Grade in 2025 and 2026

· US Credit Spreads reached their tightest point of the year on Tuesday, February 21, 2025, and widest on Tuesday, April 10, 2025.

· YOY 10Y UST -16.6bp / YoY 5Y UST -45.1bp

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February new G-255 supply credit indicators

A wild week for G-255 supply. 14 G-255 issuers sold 39 bonds totaling $53.55 billion including the model recommending avoiding all but 2 bonds in the much written about Oracle 7 tranche debacle totaling $24.5 billion. Away from ORCL, Visa and Bank of America priced the most attractive transactions according to the G-255 credit trading model.

3 of the 32 remaining G-255 new issue credit trading indicators have already reached their avoid trading levels.

The G-255 systematic model provides trade indicators only for the 255 largest corporate debt issuers. It generates long indicators for ~12% of new issues (representing ~67% of total annual USD new debt capital). Bonds reach their avoid-trading level after a long indicator 97% of the time historically. The G-255 new USD supply was $1.12 trillion in 2025 or 67% of all capital raised by USD corporate bond issuers in 2025 but represented just 12% of the bonds sold.

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G-255 Credit and Equity Market Indicators February 9

· Attractive Long Credit Indicators: 103 (-5 from Friday) and +2 % above the 200-day moving average of all long indicators.

· Attractive Long Credit Market Cap accounts for: 62% of all undervalued Systematic credit capital.

· Attractive Short Credit Indicators 1,082 (-62 from Friday and +65% above the 200-day moving average of all model short trade indicators). Short Credit Market Cap comprises 70% 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 16 of the first 25 trading days of 2026. Credit spreads were mixed as were US equities on Friday

US equities are -1.6% over the past month; US credit spreads are now materially tighter MOM

Systematic Equity Trading Indicators February 9

• Attractive Long G-255 Equity Trade Indicators: 24 (including both undervalued and equities priced at extreme discount) -5 from Friday and -74% below the 200-day moving average of all long-trade indicators.

• Short Equity Trade Indicators 16, (unchanged from Friday) and +50% above the 200-day moving average of all model short trade indicators).

G-255 Key Differentiator

It uses a purely systematic, stochastic absolute value model with zero human input: signals derive solely from each issuer's own 52-week public pricing history (plus earnings and balance sheet/leverage data). No peer comparisons, forecasts, macro factors, or sentiment analysis. This issuer-isolated approach detects extreme trading levels vs. each name's historic norms, covering ~85% of daily TRACE-reported USD corporate bond trades (95% IG, 48% HY). Back-tested tracking accuracy: 97.5%.

Cross-Asset Integration

The automated model links equity (growth, volatility, momentum) and bond (credit spreads, debt dynamics) data from each issuer's history, spotting divergences (e.g., equity momentum vs. spread moves) to generate objective long/short indicators across both asset classes.

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G-255 Credit and Sector Indicators for "Long Only" trading strategies February 9

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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.