G-255 Specific Credit Sector Indicators February 5 – Long Only Indicators on Page 8

G-255 Overview: What It Is

G-255 tracks the world's 255 largest corporate issuers, each with ≥$15 billion in liquid tradable debt. It covers ~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 (185 undervalued bonds worth $305.2 bil in value; 107 long indicators).

Equity: Focus YoY operating cash flow growth — TMT, Healthcare, Consumer (36 undervalued equities worth $13.96T).

Short Opportunities

· Credit: 1,567 overvalued bonds ($2.8T market value; 1,216 short indicators) Big 6 banks remain the largest overvalued sector (295 overvalued bonds. $717billion of market value, 264 short indicators.

· Equity: 20 overvalued issuers ($1.58T; 14 short indicators).

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

extremes.

Systematic Portfolio Daily Credit Trading Model Indicators

· Long Indicators: Target deleveraging new issues with attractive valuations, focusing on 7-year maturities.

· Short Indicators: Target re-leveraging issuers trading at the deepest discount from their model avoid point; avoid 7-year maturities due to low attractiveness and focus on 2031 maturities for best short opportunities.

· 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.

· Current Status: Add new supply trades where the issuer is deleveraging; add new issue bonds where spreads have widened by +2 basis points.

· Current Status of Trading Indicators: Last week, one short trade was added, and three long trades reached their avoid trading level. The trading model did not add any long indicators Wednesday.

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 50% long hurdle, initiate short positions in re-leveraging issuers (focusing on 5-year maturities) at a 1:1 ratio for additional long positions.

· Review: Reassess portfolio balance 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.

1

G-255 Specific Bond Trading Indicators February 5

· 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.

· Enter New Longs: 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. On Wednesday 1/14/26 Bank of New York (Aa3/A+) BK 4.026 01/22/30 was added as a G – 255 new issue long indicator.

· 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 Wednesday: None

Current Sample Systematic Basket Credit/Equity trades based on trading strategy February 5

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

2

Systematic Portfolio Daily Equity Trading Model

· Long Indicators: Target G-255 issuers with positive year-on-year cash flow, trading more than 5% below their historic price moving averages. Focus on issuers with the largest 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.

· Allow trading levels for all 242 equities to 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 was added, and 2 issuers dropped off the "most attractive long" indicators list.

· Monitor Trade Position Composition: replace positions reaching their avoid-trading level pushes the portfolio above the 65%/35% long hurdle, shrink position size to remain at model indicator trade position levels.

· When short positions reach their avoid point, rely on the overall position indicator for trade size. Only position short equity positions that meet G-255 model criteria.

G-255 Specific Equity Trading Indicators February 5

· Closed Long Positions: Home Depot reached its avoid trading level on Tuesday 1/20/26. Altria reached its avoid trading level on Monday 1/26/26, Royal Caribbean Cr and Meta Platforms both reached their avoid trading level on 1/29/26. On Friday 1/30/26 ATT (T) reached its avoid trading point. On Tuesday 2/3/26 Marathon Pete (MPC) and Mondelez (MDLZ) both reached their avoid trading levels. On Wednesday 2/4/26 Kroger (KR) reached its avoid trading level.

· Open Long Positions: since January 5, the G-255 has added and (subtracted) 16 issuers from the most attractive long indicator list DELL, 6-Jan ATT, 8-Jan, Kraft Heinz, American Tower, Crown Castle, Kroger, 14-Jan Softbank, AIG, 15-Jan Paramount Skydance, Meta Platforms, 16-Jan, Sanofi, Microsoft, Fidelity National Serv, HPE and Qualcomm, Jan 28, Mastercard, 4 Feb, Abbott Labs

· Open Short Positions: G-255 has added UAL US equity short on 1/20/26 and adds GM US equity and UPS US equity as additional short trade indicators on 1/27/26 and Starbucks (SBUX) on 1/28/26

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

3

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 Debt 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.

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 Wednesday Trading

Wednesday, February 4, 2026, One-day digestion period for Wednesday's $20 billion G-255 new supply while G-255 equities continue to outperform all US indices, driven by 80+ non-US issuers in the universe and 31% higher returns of capital to shareholders by the 242 G-255 equity issuers compared to the average S&P or Nasdaq company.

Wednesday earnings focused on most Pharma companies reporting results (but limited balance sheet detail) and energy producers/transporters continuing to re-lever. Trading attention centered on tech giant AI spending, which we can quantify simply: the combined trailing 12-month free cash flow for the main AI spenders (Microsoft, Alphabet, Meta, Amazon, Apple) remains in the hundreds of billions (around $400 billion aggregate as of late 2025). Apple and Microsoft often lead individually with tens of billions each annually; Alphabet has kept free cash flow above $70 billion despite high capex; Meta and others show strong cash generation from advertising/cloud even as data-center investments ramp up.

G-255 equity valuation indicator remains overvalued. G-255 credit valuation indicator remains overvalued.

4

G-255 Systematic Model Update: February 5 Trading and Earnings Reports

G-255 Sector Strategy Long MSFT and QCOM Equity / Long Alphabet and META Credit

With Earnings recaps already published for 15 of the 18 Single A-rated TMT issuers, the current setup should not be surprising. Outside of major credit market crashes, Single A TMT credit and US technology equity have never shown stronger long indicators than they do right now.

The sector is de-levering, with only $162 billion of net debt across the group while carrying $600 billion of tradable USD bonds.

G-255 Single A TMT Balance Sheet

All 18 companies report positive revenue growth, and 8 of the 18 have accelerating revenue growth—quantitative facts, not opinion.

Excluding Alphabet's reduction in shareholder returns (from $73 billion in 2024 to $55 billion in 2025), Single A TMT / Technology returns to shareholders as a percentage of revenue remain the highest among all G-255 issuers at 38% of revenue.

G-255 Single A TMT Operating Metrics

Sector revenue is growing 18% YoY and is on track to approach $1 trillion per quarter by 3Q 2026. Even after large shareholder payouts and AI capex, as an industry, technology issuers are retaining capital.

From a credit perspective, the 18 sector issuers have never shown a more positive balance sheet disposition—again, quantitative facts.

.

Why Microsoft and Qualcomm credit are not yet G-255 systematic long indicators: MSFT and QCOM equity are both down more than 10% over the past 30 days. The trading model signals long equity first, with credit spreads expected to follow.

5

G-255 Credit Market Valuation and New G – 255 Supply February 5, 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

Wednesday new G-255 supply credit indicators

One new G-255 trade indicator on Wednesday: PacifiCorp (BRKHEC) issued $400 million of 3-year 4.25% first-lien bonds at +65 bp over the 3-year Treasury.

Of the 8 G-255 issuers that priced 20 new bonds on Tuesday, 17 priced within 2 bp of the model's long indicators (which have a 96.5% historical probability of tightening by at least 5 bp).

Only two of the G-255 issuers that priced bonds on Tuesday are currently de-levering: Visa (V Aa3/AA- attractive long credit/equity, tightened 3 to -5 bp Wednesday) and Deutsche Bank (DB Baa1/BBB long credit/equity, unchanged Wednesday). De-levering new supply typically reaches avoid levels in under 30 trading days (vs. 44 days for re-levering supply). Overall, new G-255 long indicators reach avoid levels on average in 35 trading days.

The most attractive new issues based on the indicators were Bank of America (BAC A1/A short credit/long equity, re-levering; all 3 tranches -1 bp Wednesday) and Visa (de-levering; all except the 3Y fixed).

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.

ETF Flows

US-listed fixed income ETF inflows fell 22% last week (43rd straight week of inflows overall), with net inflows of $9.66 billion (vs. $12.5 billion prior week). Broad bond ETFs led at $5.4 billion (down $622 million WoW), corporate bond ETFs at $1.17 billion (down $1.59 billion WoW). YTD inflows total $56.9 billion. iShares 0-3 Month Treasury Bond ETF saw the largest inflow ($1.11 billion); Vanguard Short-Term Inflation-Protected Securities ETF had the biggest outflow ($1.36 billion).One new G-255 trade on Wednesday: PacifiCorp (BRKHEC) issued $400 million of 3-year 4.25% first-lien bonds at +65 bp over the 3-year Treasury.

January 2026 New Issue Statistics

· 52 G-255 issuers came to market in USD during January 2025

· Total of 154 bonds issued

· 97 of those bonds have already reached their avoid-trading level according to the G-255 credit model

Broader New Issue Performance (All 2025 G-255 Issues)

· 95% of avoid-trade indicators delivered an average return of just under –8 bp over a 34-day average holding period

· Over the past 12 months, 1,057 of 1,100 G-255 USD bonds issued (totaling $1.147 trillion notional) have reached avoid signals

6

G-255 Credit and Equity Market Indicators February 5

· Attractive Long Credit Indicators: 107 (+10 from Wednesday) and -11 % above the 200-day moving average of all long indicators.

· Attractive Long Credit Market Cap accounts for: 64% of all undervalued Systematic credit capital.

· Attractive Short Credit Indicators 1,216 (-78 from Wednesday and +111% above the 200-day moving average of all model short trade indicators). Short Credit Market Cap comprises 75% 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 19 of the first 24 trading days of 2026. Credit spreads were mixed as were US equities on Wednesday

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

Systematic Equity Trading Indicators February 5

• Attractive Long G-255 Equity Trade Indicators: 38 (including both undervalued and equities priced at extreme discount) -4 from Wednesday and -44% below the 200-day moving average of all long-trade indicators.

• Short Equity Trade Indicators 14, (+1 from Wednesday) and +18% to 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.

7

G-255 Credit and Sector Indicators for "Long Only" trading strategies February 5

8

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.