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 207 undervalued bonds ($381 billion market

value), with 127 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.

• 1,547 bonds ($2.721 trillion) are overvalued per the stochastic credit trading model, with 1156 short trade indicators.

• U.S. Big 6 Banks: 300 bonds ($733.6 billion) are overvalued with 241 short trade indicators.

• BBB Energy: 84 bonds ($101 billion) are overvalued with 60 short trade indicators.

• Single A Healthcare: 121 bonds ($176.9 billion) are overvalued with 100 short trade indicators.

• BBB Healthcare: 71 bonds ($116 billion) are overvalued with 66 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: 173 bonds ($181 billion) are overvalued, with 156 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.

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G-255 Specific Bond Trading Indicators January14

CE, COF, ACAFP, MCD, LOW, RY, LLOYDS, T, AMZN, BPLN, TOYOTA, CVS, GM

Current Sample Systematic Basket bond trades based on trading strategy January 9

Systematic Trading Indicators Tuesday: Deutsche Bank NY Baa1/BBB DB 4.95 08/04/31 reached its avoid trading level.

Tuesday's basket trade position indicator: 57% long

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Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – January 13, 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 2 of 14 tightened by (-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): 12 positions widened by +.43 bp

• Remaining Shorts (2025): 9 positions tightened by -19.23 bp.(2026): 9 positions widened by + .42 bp

• Average Spread Movement (2025): ±6.73 bp in the recommended direction. (2026) ±.73 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.

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Equity and Credit Trading and Sector Indicators

Tuesday, January13, 2026, G-255 equities fell for the first day in five as the "Trump trade" saw some cracks on Tuesday, with headlines relating to numerous issues and poor initial earnings results clouding market returns.

The two year moving average of G – 255 credit short trade indicators reached 530 for the first time since November 2024. Over 55% of the G – 255 issuers are adding debt. Longer dated G - 255 credit trade indicators are now at extremes as well.

Top Traded Issuers:

• Top traded IG G-255 issuer: Energy Transfer (Baa1/BBB short credit/long equity) New issue Tuesday.

• Top traded HY G-255 issuer: CCO Holdings (B1/BB- short credit/long equity) -2bp tighter Tuesday.

Key Trading Indicator Economic Results – Tuesday:

• December Year over Year core CPI advanced 2.6% compared to 2.6% in November

• US Same Store Sales rose 5.7% in the January 10 week compared to a year earlier, Johnson Redbook says.

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G-255 Systematic Model Update: January 13 Trading and Earnings Reports

The Trump trade: While US equities returned 17% in 2025, before "adjustments,"

actual earnings growth was 10%. Flow of capital into US stocks was more consistent from the world largest issuers of debt with G – 255 companies returning almost $2 trillion (20% more than in 2024 )and borrowing more $700 billion of additional debt to pay for it. G – 255 equities outperformed both the S&P 500 and the Dow Jones industrial average in 2025. The phenomenon is commonly known as the "Trump trade based" on the confidence the Whitehouse policy would be economically beneficial to both US individuals and Corporations. The larger question is will cash continue to "buy" equity dips in 2026 to extend the Trump trade?

Recent Whitehouse headlines - The Trump Follies?

US trade tariffs to generate as much as $1.6 trillion in government revenue. In April 2025, following President Trump's executive order imposing a 10% baseline tariff on most imports (with higher reciprocal rates for some countries), analyses like the Tax Foundation estimated the plans could generate around $2.9 trillion in revenue over a decade if made permanent. Trump then claimed the U.S. was collecting "$2 billion a day" from tariffs, though actual daily receipts were far lower (hundreds of millions at most), reflecting projected long-term potential rather than current collections. The US is only $1 Trillion behind schedule in terms of projected tariff revenue.

US to "Buy Greenland" Greenland's Prime Minister Jens-Frederik Nielsen firmly rejected U.S. takeover plans, stating that Greenland "chooses Denmark" and prefers to remain part of the Kingdom of Denmark amid President Trump's push to acquire the territory for national security reasons.

A group of European countries, led by the UK and Germany, is discussing boosted NATO military presence in Greenland to underscore commitment to Arctic security. Greenland's GDP is about $3.3 billion (not a typo), with fish and seafood (especially frozen fish and crustaceans) as its largest exports—Trump famously doesn't eat fish.

US to take over Venezuela oil supply: ExxonMobil CEO Darren Woods told President Trump that Venezuela remains "uninvestable" due to its legal and commercial challenges—a view echoed by other oil executives and analysts. Trump reacted negatively, saying he "didn't like" the assessment and was inclined to keep Exxon out, though aides noted Woods' suggested reforms.

The U.S. imports only about 140,000 barrels per day from Venezuela (out of roughly 6-6.7 million bbl/day total crude imports), less than from Iraq (recent weekly averages around 170,000 bpd). The idea of significant U.S. investment in Venezuelan oil under a lame-duck president with limited time left shows poor foresight—Exxon is right that Venezuela is uninvestable and inconsequential to U.S. energy security.

President to take over the US Federal Reserve. The Department of Justice has launched a criminal investigation into Powell, issuing grand jury subpoenas over his congressional testimony on Fed headquarters renovation costs, which Powell denounced as a pretext to intimidate the central bank into politically favorable policy rather than data-driven decisions

Donald Trump recently called for a one-year cap on credit card interest rates at 10%, effective January 20, 2026 (the anniversary of his second-term inauguration). He announced this on Truth Social last week, stating that credit card companies charging above that would be "ripping off" consumers and potentially "in violation of the law," reviving a campaign promise amid concerns over high rates (averaging around 20-21%

It's difficult that any of these headlines would drive any markets higher.

JPM earnings Delta earnings not positive, Bank of New York results very strong

We produce separate reports and equity and individual bond indicators for each G-255 issuer. The trading model examines Units, Pricing, Margins, Cash Flow returns to shareholders as well as balance sheet disposition.

Tuesday's 4Q earnings reports were "uninspiring" the key component (returns to shareholders) all grew by more than twice revenue growth in reporting period.

Please contact us if you missed any of yesterday's earnings reports

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G-255 Credit Market Valuation and New G – 255 Supply January14 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: -85.9 bp.

• YOY change in the UST 10Y: -62.9 bp.

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

Energy Transfer (ET) was the only G-255 issue priced Tuesday, as the markets prepare for an onslaught of new supply post G – 255 issuer earnings announcements.

While Energy Transfer (Baa1/BBB) is adding net debt YoY, the new deal was priced attractively according to our systematic trading model.

Of the 90 G-255 bonds issued last week, 73 are tighter in credit spread on average of -2.6 bp; 11 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, 1,007 of 1,100 G-255 USD bonds issued (totaling $1.147 trillion in notional) have hit avoid signals.

Why Sell G-255 New-Issue USD Bonds at Avoid Levels? With 39% of all G-255 new-issue USD bonds now trading outside the model's avoid trading levels, these positions offer attractive returns over shorter holding periods.

• An average -8 basis points over 44 trading days equates to -48 basis points of annualized spread tightening—representing top-quartile performance, with no negative trading months and very high Sharpe ratios. • The selection universe totals $1.2 trillion.

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 6, 2026) Investments in U.S.-listed fixed income ETFs saw a 21% week-over-week decline in net inflows—the 39th consecutive week of positive inflows overall.

• Total net inflows: $7.68 billion (including leveraged funds), down from $9.72 billion the prior week

• Corporate bond ETFs: Minor outflow of -$86 million (vs. +$298 million inflow prior week)

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G-255 Credit and Equity Market Indicators January14

• Attractive Long Credit Indicators: 114 (-14 from Tuesday and +13% above the 200-day moving average of all long indicators).

• Attractive Long Credit Market Cap accounts for: 55% of all undervalued Systematic credit capital.

• Attractive Short Credit Indicators 1156, (+16 from Tuesday and +108% above the 200-day moving average of all model short trade indicators).

• Attractive Short Credit Market Cap accounts for: 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 correlated directionally with US equity index movement for the 6^th trading day in 7.

US equities are +2.25% 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 January14

• Attractive Long G-255 Equity Trade Indicators: 52 (includes both undervalued and equities priced at extreme discount (+1 from Tuesday and -17% below the 200-day moving average of all long-trade indicators).

• Short Equity Trade Indicators -11, (unchanged from Tuesday) and -1% below the 200-day moving average of all model short trade indicators).

Crown Castle (CCI US Equity) dropped from the most attractive G-255 equity long list on Friday.

G -255 Issuer News Tuesday

None

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G-255 Credit and Sector Indicators for "Long Only" trading strategies January14

*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.