G-255 Specific Credit Sector Indicators January 15 – Long Only Indicators on Page 8

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 165 undervalued bonds ($359 billion market

value), with 93 long trade indicators across the 6,000-bond USD universe.

• At present Single A and BBB 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.

• 1,576 bonds ($2.650 trillion) are overvalued per the stochastic credit trading model, with 1276 short trade indicators.

• U.S. Big 6 Banks: 303 bonds ($742.6 billion) are overvalued with 239 short trade indicators.

• BBB Energy: 86 bonds ($108 billion) are overvalued with 78 short trade indicators.

• Single A Healthcare: 124 bonds ($181 billion) are overvalued with 107 short trade indicators.

• BBB Healthcare: 65 bonds ($109 billion) are overvalued with 63 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: 164 bonds ($177 billion) are overvalued, with 152 short trade indicators

Systematic Portfolio Daily Trading Model Indicators

• Long Indicators: Target deleveraging new issues with attractive valuations, focusing on 7-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 +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 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.

1

G-255 Specific Bond Trading Indicators January 15

• Closed Positions: 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. Lowe's (Baa2/BBB+) LOW 4 1/2 10/15/32 reached its avoid trading level on Friday January 2. Lloyds Bank (A3/A-) LLOYDS Float 11/04/31 reached its avoid trading level on January 8. Deutsche Bank NY Baa1/BBB DB 4.95 08/04/31 reached its avoid trading level on Tuesday January 13.

• Enter New Longs: 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 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: 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 January 14

Systematic Trading Indicators Wednesday: Bank of New York (Aa3/A+) BK 4.026 01/22/30 was added as a G – 255 new issue long trade indicator.

Wednesday's basket trade position indicator: 57% long

2

Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – January 14, 2026)

Performance Summary

• Total Trades: 195 (2025 full year); 25 in 2026

• Long Indicators (2025): 136 out of 150 tightened by an average of -9.2 bp. In 2026 3 of 14 tightened by (-6.7bp).

• Short Indicators (2025): 36 out of 45 widened by an average of +5.85 bp.

• Remaining Longs (2025): 14 positions tightened by -1.53 bp. (2026): 11 positions tightened by -.18 bp

• Remaining Shorts (2025): 9 positions tightened by -19.23 bp.(2026): 9 positions tightened by - .46 bp

• Average Spread Movement (2025): ±6.73 bp in the recommended direction. (2026) ±.79 bp

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

• Average Trade Holding Period (2025): 23.4 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 $1.16 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 $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 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 uses earnings data to recalibrate balance sheet leverage and valuation indicators. It 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 (equivalent to a $27.5 billion USD debt cap per issuer). The systematic model analyzes historical relative value across the capital structure, generating indicators for overvalued or undervalued bonds.

• Equity-credit linkage: For issuers with both publicly traded equity and corporate bonds, equity signals—driven by cash flow comparisons and shareholder returns—directly influence credit spreads. The G-255 framework integrates these inputs to produce synchronized long and short trading signals for each qualifying security, based on the model's liquidity thresholds.

3

Equity and Credit Trading and Sector Indicators

Wednesday, January14, 2026, G-255 equities rose while US equity indexes fell for a second day as disappointing outlooks from large US banks and geopolitical concerns—ranging from Greenland to Iran to Venezuela—saw US banks, technology, healthcare, and consumer equities fall. The G-255 has over 80 non-US constituents and owing to their size and ability to tap capital markets, the larger issuers returning the most capital to shareholders outperformed measurably on Wednesday.

We also saw the G-255 credit trade indicator index hit a 5-year high for a second consecutive day, with 1,193 short trade indicators. While we note that the 1,276 the exact same number of short trade indicators registered at the November 23, 2024, 8-year credit spread tight, we also note that there are 20 more issuers (143) adding financial leverage to their respective balance sheets than on November 23, 2024. There are +522 more possible short trades (3,861) on January 14, 2026, than there were in November 2024. Hence, credit is overvalued, but not at November 2024 extremes.

Top Traded Issuers:

• Top traded IG G-255 issuer: JP Morgan Chase (JPM A1/A short credit/long equity) (+1b) wider Wednesday.

• Top traded HY G-255 issuer: Petroleos Mexicanos (Ba1/BBB short credit) unchanged Wednesday.

Key Trading Indicator Economic Results – Wednesday:

• Total carloads for the week ending January 10 were 232,803, up 16.7 % compared with the same week in 2025, while U.S. weekly intermodal volume was 277,654 containers and trailers, up 4.4 % compared to 2025.

4

G-255 Systematic Model Update: January 14 Trading and Earnings Reports

The Trump trade: "still beating"

Yet another "buy the dip" equity moment on Wednesday: after declining 85 points over the prior 2½ trading days—as geopolitical headlines over tariffs, Venezuela, Greenland, and Iran combined with lackluster reported earnings from 6 large US issuers—the S&P bounced +32 points off the noon (Europe close) bottom to close down (-37 pts Wednesday). US equity futures are higher again this morning in Europe.

The M1 "Bubble"

We're breaking all the rules by doing so, but the US market's ability to incessantly "buy the dips" in the S&P comes from one source: a $10 trillion one-time cash infusion into the US economy courtesy of one Donald Trump (US President) and one Jerome Powell (US Federal Reserve Chairman) via the combination of $1 trillion PPP loans, 0% interest rates, and roughly 82% of the loans forgiven. This has created a $10 trillion cash bubble (roughly 40% of it still in US money market funds courtesy of Mr. Powell and Trump).

M1 Chart is from Bloomberg Capital Markets

Hence my cynicism when it relates to Donald Trump "taking over" the US Federal Reserve bank. He actually accomplished that feat toward the end of his first term. Why would he want to take over something that is already "rigged" in his favor?

And the real "swamp" that hasn't been drained is the $4–7 trillion of excess cash sitting in banks and money funds owing to the Trump/Powell gymnastics of 2020 (see above). Until cash balances get even close to trendline… "buy the dips."

Equities and credit don't trade on earnings anymore -

"Yes I think I read that somewhere before" If you can't use a Jack Nicholson movie line ("A Few Good Men") where is the sense of purpose?

Equities and Credit trade based on the ability to return capital to shareholders

Thus far, 6 G-255 issuers have reported results—no change in balance sheet disposition, slower revenue, slower cashflow growth, and much faster returns to shareholders.

With Goldman Sachs and Morgan Stanley still to report, the US Big 6 banks have paid out 90% of after-tax profit and lowered their CET1 capital ratio by -80 bp owing to capital requirement reduction from? A: You guessed it? The US Federal Reserve. The best volatility-adjusted returns in the US in 2025? A: Big 6 banks.

In 4Q 2025, the 4 Big Six Banks that have reported earnings generated $30 billion combined. They paid out $34 billion in share repurchases and dividends.

So how long does this show go on? A: until the US economy needs some of the $7 trillion of cash. 5.

G-255 Credit Market Valuation and New G – 255 Supply January15 On a Risk/Reward basis, High Yield bonds have far outperformed Investment Grade in 2025

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

• YOY change in the UST 5Y: -72.5 bp.

• YOY change in the UST 10Y: -51.7 bp.

Bloomberg 10Y credit spreads are derived by taking the Moody's index yield and subtracting the UST 10Y YTM.

3 more new G-255 issues priced Wednesday, as the market prepares for the real girth of new supply post G-255 issuer earnings announcements—banks.

While JP Morgan (JPM) and Bank of New York deals are normally some of the best-performing G-255 new issues, the new BK 4nc3 was priced very attractively according to our trading model and is included in the G-255 basket trade.

We have now seen 37 G-255 issuers sell 104 bonds totaling $89.45 billion of new supply. Of the 91 G-255 bonds issued in 2026 last week, 82 are tighter in credit spread on average of -4.0 bp; 19 have reached their avoid trading level (8 had attractive trade indicators less -5 bp from NIP).

G-255 New-Issue Indicator Results

• Across all 2025 G-255 new issues, 92% of avoid trade indicators delivered an average return of just under -8 basis points over a 34-day holding period.

• Over the past 12 months, 1,011 of 1,100 G-255 USD bonds issued (totaling $1.147 trillion in notional) have hit avoid signals.

• All 20 December 2025 G-255 new issue trade indicators were reached in less than 22 trading days.

Fixed Income Flows (Week Ended January 7, 2026 – LSEG Lipper)

• Short and intermediate investment-grade bonds: $4.31 billion inflow vs. $1 billion inflow – This marks the largest inflow since the week ending November 20, 2024.

• High-yield notes: $277.7 million inflow vs. $69.9 million outflow.

Fixed Income ETF Flows (Week Ended January 13, 2026) Investments in U.S.-listed fixed income ETFs doubled week over week.

• Total net inflows: $14.4 billion vs. $7.68 billion (including leveraged funds), for the week ended January 6.

• Corporate bond ETFs: $1.18 billion vs. outflow of -$86 million.

• iShares iBoxx $ Investment Grade Corporate Bond ETF had the biggest outflow, of $929.3mm

  6

G-255 Credit and Equity Market Indicators January 15

• Attractive Long Credit Indicators: 93 (-20 from Wednesday and -7% below the 200-day moving average of all long indicators).

• Attractive Long Credit Market Cap accounts for: 56% of all undervalued Systematic credit capital.

• Attractive Short Credit Indicators 1276, (+83 from Wednesday and +138% above the 200-day moving average of all model short trade indicators).

• Attractive Short Credit Market Cap accounts for: 81% of all overvalued Systematic credit capital.

G-255 Equity Trade Indicators and US Equity Correlation to Overall US Credit Spreads

G-255 credit spreads did not correlate directionally with US equity index movement for the first trading day in 5.

US equities are +1.5% over the past month; US credit spreads are slightly wider MOM

• 2025 was the second-weakest year in 32 for USD credit-equity correlated movement— ~75% last year.

Systematic Equity Trading Indicators January 15

• Attractive Long G-255 Equity Trade Indicators: 49 (includes both undervalued and equities priced at extreme discount (unchanged from Wednesday and -26% below the 200-day moving average of all long-trade indicators).

• Short Equity Trade Indicators -12, (-1 from Wednesday) and +9% above the 200-day moving average of all model short trade indicators).

G -255 Issuer News Wednesday

None – we do not comment on takeover or buyout speculation. Instead, the model produces indicators once a transaction has been announced.

7

G-255 Credit and Sector Indicators for "Long Only" trading strategies January 14

*Represents change from prior day indicators

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.