Systematic Credit and Equity G-255 Trading Indicators for February 6, 2026

G-255 Specific Credit Sector Indicators February 6 – Long Only Indicators on Page 8

G-255 Overview: What Is it?

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 (204 undervalued bonds worth $340.7 bil in value; 108 long indicators).

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

Short Opportunities

· Credit: 1,524 overvalued bonds ($2.71T market value; 1,144 short indicators) Big 6 banks remain the largest overvalued sector (295 overvalued bonds. $717 billion of market value, 222 short indicators.

· Equity: 20 overvalued issuers ($1.865T; 15 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 Thursday.

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.

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G-255 Specific Bond Trading Indicators February 6

· 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 Thursday: G-255 Trading model added new UBS 6nc5 trade indicator

Current Sample Systematic Basket Credit/Equity trades based on trading strategy February 6

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).

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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 6

· 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 Thursday 2/5/26 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, February 5, Prudential Financial, NVIDIA

· 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.

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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 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 Thursday Trading

Thursday, February 6, 2026, G-255 credit traded mixed but net wider, with 108 long indicators ($186.5B market cap) and 1,144 short indicators ($1,719B market cap) reflecting 40% allocation to deleveraging sector bonds and front-end floaters versus 40% short in net-debt-adding sectors, while G-255 equity remained long-biased (24 long indicators, $10.7T market cap) with top long in US TMT ($13.7T cap, +2 from Thursday) and top short in global autos ($337B cap, unchanged).

Thursday earnings focused on European banks (Société Générale, BBVA, BPCE) reporting strong net income growth and robust shareholder returns, with trading attention centered on tech giant AI spending where the combined trailing 12-month free cash flow for the main AI spenders (Microsoft, Alphabet, Meta, Amazon, Apple) remains around $400 billion aggregate as of late 2025.

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

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G-255 Systematic Model Update: February 6 Trading and Earnings Reports

Amazon's post-earnings sell-off on February 5–6, 2026, was driven by the headline "$200 billion AI CapEx in 2026." The market immediately assumed re-leveraging and margin pressure. Yet the actual balance sheet tells the opposite story.

Amazon ended 2025 with negative net debt of $46.4 billion (cash & equivalents exceeding total debt). Free cash flow, while negative in the reported quarter due to timing of capex, remains strongly positive on a trailing basis. The company is funding its AI build-out entirely from internal cash generation and has zero net financial leverage.

This is not an isolated case.

G-255 Single A TMT sector (18 issuers, $978.2 billion credit market cap)

Revenue growth: +15.3% YoY (Amazon alone) and still accelerating in the aggregate

Sector size: >$3 trillion equity market cap

G-255 credit indicators: 37 long / undervalued signals, only 2 short

G-255 equity indicators: dominant long position, trading below attractive levels

The G-255 systematic trading model uses only publicly available information and does not forecast. It simply reacts to what companies actually report: cash flow, leverage, revenue momentum, and capital returns. At present the model is long credit and long equity on the Single A TMT sector, including Amazon.

The market is pricing these companies as if they are suddenly becoming highly leveraged growth-at-any-cost stories. The public filings and the G-255 model are saying something very different: they remain massive cash machines with pristine balance sheets and are still growing top-line at double-digit rates even at trillion-dollar scale.

The confusion is understandable. The CapEx number is big. But so is the cash. And the model is long.

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G-255 Credit Market Valuation and New G – 255 Supply February 6, 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

Thursday new G-255 supply credit indicators

Nour new G-255 issues on Thursday: 4 corporates selling 10 bonds totaling $ 9.55 billion. All 4 deals were priced very generously according to the G-255 credit trading model. UBS was the most attractive offering

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.

Mutual Fund Flows

(Bloomberg) -- Inflows to US investment-grade bond funds hit a fresh five-year high in the past week, according to LSEG Lipper data, as investor demand for high-grade corporate debt pushed premiums to their lowest since 1998.

Short- and intermediate-term funds attracted an estimated $6.44 billion in the week through Wednesday, the most since January 2021, the data provider reported Thursday. The latest figure topped the prior week's $5.43 billion of inflows, and the back-to-back figures are the largest since September 2020. Two weeks then took in a combined $16.8 billion.

US BBB credit spread tightened – 19bp over the succeeding 6 weeks post the September 2020 credit mutual fund inflow.

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G-255 Credit and Equity Market Indicators February 6

· Attractive Long Credit Indicators: 108 (+1 from Thursday) and +12 % 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 1,144 (-72 from Thursday and +98% above the 200-day moving average of all model short trade indicators). Short Credit Market Cap comprises 72% 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 15 of the first 24 trading days of 2026. Credit spreads were mixed as were US equities on Thursday

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

Systematic Equity Trading Indicators February 6

• Attractive Long G-255 Equity Trade Indicators: 36 (including both undervalued and equities priced at extreme discount) -2 from Thursday and -50% below the 200-day moving average of all long-trade indicators.

• Short Equity Trade Indicators 17, (unchanged from Thursday) and +55% 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 6

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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.