Post this AM's reported results, we are at a new high in terms of corporate financial leverage for the world's largest borrowers. 144 of the 255 corporates with $15 billion or more of publicly traded debt are now adding more debt than cash to their balance sheets. That is a 35-year record for the G-255 trading model.

G-255 Specific Credit Sector Indicators February 10 – 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 (177 undervalued bonds worth $305.4 bil in value; 111 long trade indicators).

Equity: Focus YoY operating cash flow growth — TMT, Healthcare, Consumer (30 undervalued equities worth $11.05T).

Short Opportunities

· Credit: 1,541 overvalued bonds ($2.66T market value; 1,096 short indicators) Big 6 banks remain the largest overvalued sector (297 overvalued bonds. $723 billion of market value, 242 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 10

· Closed Positions: On 1/16/26 McDonald's (Baa1/BBB+) MCD 5 02/13/36 reached its avoid trading level. 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 2/6 Williams (Baa2/BBB+) WMB 4.65 08/15/32 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 1/16/26 the Morgan Stanley (Baa1/BBB+) MS 5.948 01/19/38 as a secondary short trade indicator. On 2/9/26

New Credit Trade Indicators Monday: Oracle (Baa2/BBB) ORCL 5.7 02/04/36 replaces the WMB short that reached its avoid trade indicator on Monday.

Current Sample Systematic Basket Credit/Equity trades based on trading strategy February 10

Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – February 9, 2026)

· Total Trades: 195 (full year 2025); 27 (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): 1 out of 10 widened -7.3 bp.

· Remaining Longs (2025): 14 positions tightened by -1.53 bp. (2026): 10 positions widened by +.5 bp.

· Remaining Shorts (2025): 9 positions tightened by -19.23 bp. (2026): 9 positions tightened by -.1 bp.

· Average Spread Movement (2025): ±6.73 bp in the recommended direction. (2026): ±1.94 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).

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

· 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.

· 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 -.2% in February

Overall, the 7 highest-rated G-255 short positions have returned -1.85% in January and +.66% 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 6,022 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).

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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 Monday Trading

Monday, February 6, 2026, G-255 credit did not follow G-255 equities tighter (higher). The iTraxx High Yield ETF recorded its 6th consecutive outflow, and positive credit fund flows appear to have declined to 4-year highs in investment-grade corporate bond mutual fund inflows, just sufficient to sustain the new issue machine. Two additional large IG G-255 transactions on Monday (Alphabet and Thermo Fisher) brought February's total issuance to $76.85 billion.

Unlike December 2025 and January 2026, far fewer G-255 bonds are maturing or being called, and with limited ETF credit fund inflows, the credit markets are struggling to establish clearing levels for recent new supply.

G-255 equities closed modestly higher on Monday in the absence of major earnings results. UK issuers were in focus this morning, with Barclays (BARC LN), BP (BP LN), and GlaxoSmithKline (GSK LN) reporting, though only GSK delivered positive results. G-255 credit failed to correlate with G-255 equities on Monday for only the 5th time in 2026.

Yesterday we meant to write G-255 equities are more overvalued than they have been since February 2024. G-255 credit with outflow in High Yield ETFs, is failing to reach its 12 month tight level reached in the third week of January.

G-255 Systematic Model Update: February 10 Trading and Last Week's Earnings Reports

Post this AM's reported results, we are at a new high in terms of corporate financial leverage for the world's largest borrowers. 144 of the 255 corporates with $15 billion or more of publicly traded debt are now adding more debt than cash to their balance sheets.

While the world's largest borrowers have sold $250 billion of new bonds so far in 2026, only $92 billion represents net debt. We also note that the G-255 have raised over $100 billion of debt outside the US.

The additional corporate leverage is concentrated in three sectors: Big 6 banks, Asian banks, and Single A TMT issuers. Japanese banks overall have more cash than debt, while Australian banks are perpetually adding balance sheet.

US Regional banks, Euro Yankee banks, global Autos, and global Consumer issuers are not adding debt as quickly as USD bonds are maturing.

As noted earlier, US G-255 credit spreads remain near 52-week tights owing to the amount of USD debt refinanced or called over the past two months (over $150 billion). Quantitatively speaking, the retirement of corporate bonds for the world's largest borrowers is seasonal.

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G-255 Credit Market Valuation and New G – 255 Supply February 10, 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.

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February new G-255 supply credit indicators

Two more G-255 borrowers came to market, and there was significant buzz surrounding Alphabet's $19.5 billion 7-tranche transaction, which, similar to recent deals from Meta and Amazon, was reasonably priced according to our trading model. Those deals, however, have struggled to gain traction as more AI-related capex is announced and additional mega-cap USD technology issuance has come to market.

Thermo Fisher sold $3.8 billion of new bonds to fund (1) the acquisition of Clario Corp and (2) general corporate purposes, which in TMO's case almost certainly means share repurchases. The G-255 trading model did not generate long trade indicators for TMO new supply inside of -2 bp from the new issue spread. While acquisition-financed deals have quantitatively been the best-performing category of all new corporate bond deals over the past 35 years, the TMO transaction was aggressively priced.

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.

(Bloomberg) -- Investors withdrew a net $411.3 million from IShares iBoxx $ High Yield Corporate Bond in the latest session for which data is available, reducing the fund's assets by 2.4 percent to $16.7 billion, the lowest level since August.

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G-255 Credit and Equity Market Indicators February 10

· Attractive Long Credit Indicators: 110 (+7 from Monday) and +7 % above the 200-day moving average of all long indicators.

· Attractive Long Credit Market Cap accounts for: 63% of all undervalued Systematic credit capital.

· Attractive Short Credit Indicators 1,096 (+14 from Monday and +68% above the 200-day moving average of all model short trade indicators). Short Credit Market Cap comprises 70% 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 20 of the first 26 trading days of 2026. Credit spreads were mixed as were US equities on Monday

US equities are +1.2% over the past month; US credit spreads are now materially tighter MOM

Systematic Equity Trading Indicators February 10

• Attractive Long G-255 Equity Trade Indicators: 30 (including both undervalued and equities priced at extreme discount) +6 from Monday and -66% below the 200-day moving average of all long-trade indicators.

• Short Equity Trade Indicators 16, (-2 from Monday) and +40% 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 10

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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.