G-255 Specific Credit Sector Indicators February 11 – 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 (214 undervalued bonds worth $342 bil in value; 125 long trade indicators).

Equity: Focus YoY operating cash flow growth — TMT, Healthcare, Consumer (29 undervalued equities worth $10.84T).

Short Opportunities

· Credit: 1,475 overvalued bonds ($2.66T market value; 928 short indicators) Big 6 banks remain the largest overvalued sector (296 overvalued bonds. $709 billion of market value, 189 short indicators.

· Equity: 19 overvalued issuers ($1.88T; 14 short indicators).

This quantitative framework provides trade indicators for global corporate capital structure pricing 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: This, 1 short trade reached its avoid trading level and 1 new short trade indicator was added.

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 11

· Closed Positions: On 1/20/26 Royal Bank of Canada (A1/A) RY 4.305 11/03/31 reached its avoid trading level. On 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 1/30 Morgan Stanley (Baa1/BBB+) MS 5.498 1/19/38 (subordinated short) reached its avoid trading level. On 2/9 Williams (Baa2/BBB+) WMB 4.65 08/15/32 reached its avoid trading level. On 2/10 Toyota (A1/A+) TOYOTA 4.8 1/5/34 (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 2/9/26 Oracle (Baa2/BBB) ORCL 5.7 02/04/36 was added as a short trade indicator

New Credit Trade Indicators Tuesday: Ford (Ba1/BBB-) F 6 1/2 02/07/35 replaces Toyota A1/A+ TOYOTA 4.8 01/05/34 as a secondary short trade indicator

Current Sample Systematic Basket Credit/Equity trades based on trading strategy February 11

Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – February 11, 2026)

· Total Trades: 195 (full year 2025); 28 (2026 YTD)

· Long Indicators (2025): 136 out of 150 tightened by an average of -9.2 bp. (2026): 8 out of 18 tightened by an average of -6.53 bp.

· Short Indicators (2025): 36 out of 45 widened by an average of +5.85 bp. (2026): 2 out of 11 widened -6.65 bp.

· Remaining Longs (2025): 14 positions tightened by -1.53 bp. (2026): 10 positions widened by 2.26 bp.

· Remaining Shorts (2025): 9 positions tightened by -19.23 bp. (2026): 9 positions widened by +2.08 bp.

· Average Spread Movement (2025): ±6.73 bp in the recommended direction. (2026): ±2.12 bp.

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

· Average Trade Holding Period (2025): 23.7 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 10

· Open Long Positions: since January 5, the G-255 has added and (subtracted) 30 issuers from the most attractive long indicators list. In February: 2/4/26, Abbott Labs (ABT), 2/5/26, Prudential Financial (PRU), NVIDIA (NVDA) were added. 2/08/26 Amazon (AMZN), 2/9/26 Marsh & McLennan (MRSH) 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. Charter Communications (CHTR) and Diageo (DGE LN) both reached avoid trading levels on 2/11/26.

· 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. BP (BP LN) and Total Energies (TTE FP) were added to the highest short trade indicators list on 2/11/26

· 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 +.61% in February

Overall, the 7 highest-rated G-255 short positions have returned -1.85% in January and +.69% 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 6,055 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 Tuesday Trading

Tuesday, February 10, 2026, G-255 credit saw its largest underperformance of 2026 as credit overall credit spreads widened (+2 to +4bp) while certain BBB and HY credits widened as much as +7bp. Earnings from energy, consumer and auto manufacturing and finance are confirming global economic slowdown relating to uncertainty in US trade policy.

We wrote yesterday that High Yield ETF outflow had accelerated on Friday and Monday. Today we will see over ETF flow data.

G-255 equities continue to surge as 12 of the 30 highest rated G-255 long indicators in 2026 have already reached their avoid trading level while racking up a 5.5% return in the first 7 weeks of 2026.

We are also seeing declining operating cashflow in the Auto and Energy Sectors.

G-255 equities remain more overvalued than they have been since February 2024. G-255 credit with outflow in High Yield ETFs, is failing widened significantly Tuesday.

G-255 Systematic Model Update: February 11 Trading and This Week's Earnings Reports

Rather than go into the same quantitative discussion we presented last week, the single A balance sheet in the Energy sector has permitted the higher credit rated borrowers in the sector to tap the corporate bond market and use that capital to repurchase shares. This stabilizes the issuer share prices and it's credit spread via Credit Default Swaps constructed using equity derivatives.

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G-255 Credit Market Valuation and New G – 255 Supply February 11, 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 last year on Tuesday, February 21, 2025, and widest on Tuesday, April 10, 2025.

February new G-255 supply credit indicators

Disney became the third G-255 USD borrower this week selling $4 billion of bonds in their first offering in Almost 6 years. As we wrote yesterday, there was over $160 billion of G-255 bond maturities and bonds called in December 2025 and January of 2026 pushing credit spreads for G-255 issuers. However, fund in-flow has been lukewarm in every part of the market with the exception of investment grade corporate bond mutual funds. That area of the market is experiencing its strongest inflow in 5 years.

Thus far in 2026, the G-255 long trade new issue indicator has returned roughly -5bp of appreciation. We are now publishing a separate report covering every new issue indicator that has not reached fair value. We will recap all indicators in that report daily.

The G-255 systematic model provides trade indicators only for the 255 largest corporate debt issuers. It generates long indicators for approximately 12% of new issues (representing roughly 67% of total annual USD new debt capital raised). Historically, bonds reach their avoid-trading level after a long indicator 97% of the time.

The G-255 new USD supply totaled $1.12 trillion in 2025, accounting for 67% of all capital raised by USD corporate bond issuers that year but representing just 12% of the total number of bonds sold.

G-255 Trading Market Indicators

Sales at stores open at least a year, or same-store sales, rose 6.5% in the Feb. 7 week compared to a year earlier, Johnson Redbook says. Month-to-date sales through Feb. 7 rose 6.5% February sales expected to be up 6.9% YoY

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G-255 Credit and Equity Market Indicators February 11

· Attractive Long Credit Indicators: 123 (+13 from Tuesday) and +20 % above the 200-day moving average of all long indicators.

· Attractive Long Credit Market Cap accounts for: 58% of all undervalued Systematic credit capital.

· Attractive Short Credit Indicators 924 (-172 from Tuesday and +75% above the 200-day moving average of all model short trade indicators). Short Credit Market Cap comprises 60% 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 21 of the first 27 trading days of 2026. Credit spreads were mixed as were US equities on Tuesday

US equities are +1% over the past month; US credit spreads are now almost flat MOM

Systematic Equity Trading Indicators February 11

• Attractive Long G-255 Equity Trade Indicators: 29 (including both undervalued and equities priced at extreme discount) -1 from Tuesday and -72% below the 200-day moving average of all long-trade indicators.

• Short Equity Trade Indicators 16, (+2 from Tuesday) and +60% 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 11

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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.