G-255 Specific Credit Sector Indicators December 30 – Please see page 8 for "long only" weightings

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 191 undervalued bonds ($353 billion market

value), with 89 long trade indicators across the 6,000-bond USD universe.

• At present Single A and BB 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

• 1,532 bonds ($2.71 trillion) are overvalued per the stochastic credit trading model, with 982 short trade indicators.

• U.S. Big 6 Banks: 312 bonds ($777 billion) are overvalued with 192 short trade indicators.

• BBB Energy: 82 bonds ($98.8 billion) are overvalued with 57 short trade indicators.

• Single A Healthcare: 126 bonds ($180.5 billion) are overvalued with 98 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: 169 bonds ($179 billion) are overvalued, with 133 short trade indicators

Systematic Portfolio Daily Trading Model Indicators

• Long Indicators: Target deleveraging new issues with attractive valuations, focusing on 5-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 December 30

• Closed Positions: Philip Morris (A2/A) PM 4 1/4 10/29/32 and McDonald's (Baa1/BBB+) MCD 4.4 02/12/31 new issue trade indicators both reached their avoid trading levels Tuesday 12/9. Celanese (Ba2/BB) CE 7 02/15/31 and Capital One (Baa1/A-) COF 5.197 09/11/36 new issue trade indicators both reached their avoid trading levels Wednesday 12/10. 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.

• Enter New Longs: On Tuesday December 2, the Florida Power & Light (Aa2/A+) NEE 5.6 02/15/66 and on Wednesday December 3, Celanese (Ba2/BB+) CE 7 02/15/31 were added as new issue long indicators. 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 Monday 12/22/25 were added as a G – 255 de-levering new issue trading more than +2bp to NIP

• 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 December 30

Systematic Trading Indicators Monday: None

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G-255 Credit Basket Trade Statistics

Monday's Basket Trade Long/Short Ratio: 61%

Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – December 30, 2025)

Performance Summary: Total Trades: 195 (1% of total trade indicators).

• Long Indicators: 136/150 reached avoid-trading levels, tightening by -9.2 bp.

• Short Indicators: 36/45 reached avoid-trading levels, widening by +5.85 bp.

• Remaining Longs: 14 tightened -1.01 bp.

• Remaining Shorts: 9 tightened by -18.95 bp.

• Average Spread Movement: ± 6.70 bp in the recommended direction.

• Success Rate: 88.2% of indicators reached avoid-trading levels, which is slightly below normal.

• Average trade holding period: 23.2 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 employs earnings data to recalibrate balance sheet leverage and valuation indicators, and then compares spread-to-curve, earnings momentum, and debt ratios relative to the issuer's trading history.

• Bond-level granularity: G-255 USD issuers average 27 USD bonds outstanding ($27.5 billion of USD debt cap per issuer). The systematic model assesses historical relative value across the capital structure and creates indicators for overvalued or undervalued bonds.

• Equity-credit linkage: For dual-listed (equity and corporate bond) issuers, equity signals (cashflow comparisons and returns to shareholders influence credit spreads). G-255 disclosures synchronize these inputs and produce long and short trading indicator levels for each security that meets the model's liquidity minimum.

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Credit Trading Allocation and Sector Indicators, Monday Trading December 29

Monday's trading volume was more than triple Friday's but remained over 50% below average. Although certain G-255 equity prices pulled back, the proportion of undervalued equity trade indicators dropped below 35% across all 242 stocks of global corporate debt issuers with more than $15 billion in tradable debt outstanding.

We are awaiting the first week of January 2026 fund flow data before updating our trading model with supply/demand inputs, as recent data may be unreliable.

As noted on Monday, with no new primary issuance and over $45 billion in G-255 bonds called or matured, significant net investment-grade (IG) end-user buying materialized as the week progressed.

It remains unlikely that the G-255 short indicator will reach the 1,100 level—equivalent to 75% of overvalued re-levering G-255 issuer capital—without meaningful further equity appreciation in the U.S. technology and industrial sectors.

G-255 equity indicators are now in the overvalued range. The only remaining undervalued equity trading sectors are select single-A TMT, BBB consumer equities (particularly communications), and certain consumer names.

Given historical correlations between G-255 underlying equity prices (especially in TMT and Consumer sectors) and 10-year issuer credit spreads, further appreciation in those equities should drive spread tightening in the corresponding credit sectors.

Credit Trading Allocation Indicators:

Top Traded Issuers:

• Top traded IG G-255 issuer: JP Morgan (A1/A; short credit/long equity) – widened +1 bp Monday.

• Top traded HY G-255 issuer: Petrobras (Ba1/BB) – Widened +3bp Monday.

Key Trading Indicator Economic Results – Monday:

• Dallas Fed manufacturing index fell to -10.9 in December from -10.4 in November.

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G-255 Trade Indicators – Returns to Shareholders : G-255 Equities

Sixty-five G-255 issuers are scheduled to report earnings in the next 30 days. Our credit trading model currently signals caution, recommending no additional risk in credit positions (whether long or short). Although equity trade indicators in the model are not directly tied to earnings announcement dates, they do incorporate information released in earnings reports.

Throughout 2025, we have emphasized how numerous G-255 equity issuers have accessed the corporate bond market to fund higher dividends and aggressive share repurchases. Consequently, the G-255 model has predominantly generated short-credit and long-equity signals for issuers increasing debt to support shareholder returns.

We also highlighted that shareholder returns for the world's largest 242 public companies—with more than $15 billion in tradable debt—more than doubled in 2025. As a result, these 242 equities significantly outperformed most global equity indices during the year.

While 94% of the more than 1.5 million daily trade indicators generated by the G-255 systematic model have reached their "avoid trading" threshold, the "long equity/short credit" signal has been less effective in sectors where shareholder returns have not grown by more than 50% year-over-year.

Additionally, certain de-levering sectors—where shareholder returns are not growing as rapidly as in re-levering sectors—offer limited upside at current trading levels.

Least upside Long (De-levering) Credit Sector Indicators Least downside short (Re-levering) Credit Sector

1. Euro Yankee Banks (1) Utility Holdco

2. Japanese Banks (2) Single A Energy

Least upside long (Pos Rev + Capital Ret) Sector Indicators Least downside short (lowe cashflow) Equity sector

1. UK Banks (1) Industrials

(2) Big 6 Banks (2) Single A Autos

While the BBB/BB TMT sector has generated several long-equity and long-credit trade indicators, the primary factor limiting its credit and equity returns—relative to other sectors—has been its significantly lower share repurchase rate.

3Q Operating Metrics BBB/BB TMT

Third-quarter year-over-year operating revenue growth for BBB-rated TMT issuers actually outpaced that of single-A-rated TMT issuers. However, over the first nine months of 2025, BBB revenue growth was roughly half that achieved by single-A TMT issuers.

3Q Balance Sheet BBB/BB TMT

Net debt on BBB TMT balance sheets grew by less than 1.5% year-over-year. By contrast, although the total net debt for the entire single-A-rated TMT sector stands at just $179 billion, it is expanding at 15% year-over-year.

In summary, unlike many peers, BBB TMT issuers are not leveraging their balance sheets to return capital to shareholders.

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G-255 Credit Market Valuation and New G – 255 Supply December 30

On a Risk/Reward basis, High Yield bonds have far outperformed Investment Grade in 2025

• UST 10-Year Rates: -49.7 bp year-to-date (YTD). US Credit Spreads reached their tightest point of the year on Wednesday, February 21, 2025, and widest on Thursday, April 10, 2025.

• Despite the U.S. Fed funds rate declining -75bp over the past 12 months, 10-year UST rates have fallen 49 bp YoY, while 5-year UST rates are down -73bp YoY. This muted decline in longer-duration UST rates has driven overall credit spreads wider in 2025.

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

• Corporate bond ETFs saw weekly outflow of $76mm on the week ending December 24 compared to inflows of $2.88 billion in the week ending December 17.

• Investment-grade corporate bond ETFs saw outflow of $366mm led by iShares iBoxx $ Investment Grade Corporate Bond ETF outflow of -$1.026 billion.

• High-yield corporate bond ETFs saw outflow of by $76.4 million led by IShares iBoxx $ High Yield Corporate Bond which saw outflow of $595mm on December 23.

December 2025 G-255 New-Issue Activity (Year-to-Date)

• In December, 8 G-255 issuers priced 19 bonds totaling $21.2 billion, led by single-A-rated pharmaceutical issuer Merck (Aa3/A+), which priced an $8 billion 8-part transaction.

• All bonds from this deal—except the MRK 4.15% 03/15/31—have already traded to the G-255 systematic credit trading model's avoid levels.

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G-255 New-Issue Indicator Results

• On Monday, 3 additional G -255 new issue bonds reached from August and September their avoid trading levels.

• Across all 2025 G-255 new issues, 91% of the indicators that have triggered produced an average return of just under -8 bp over a 34-day holding period.

• Year-to-date, 1,001 of 1,100 G 2-555 USD bonds issued (totaling $1.147 trillion notional) have hit avoid signals.

Why Sell G-255 New-Issue USD Bonds at Avoid Levels?

39% of all G-255 new-issue USD bonds now trade outside the model's avoid trading level, offering larger returns

over shorter holding periods.

• -8 bps over 44 trading days equates to -48 bps of annualized spread tightening—top-quartile performance with no negative trading months and very high Sharpe ratios.

• The selection universe totals $1.2 trillion.

G-255 Credit and Equity Market Indicators December 30

• Attractive Long Credit Indicators: 89, (-5 from Monday and -17% below the 200-day moving average of all long indicators).

• Attractive Long Credit Market Cap accounts for: 43% of all undervalued Systematic credit capital.

• Attractive Short Credit Indicators 982, (-17 from Monday and +88% above the 200-day moving average of all model short trade indicators).

• Attractive Short Credit Market Cap accounts for: 64% of all overvalued Systematic Credit capital.

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

US equities and credit markets correlated Monday with credit spreads wider and US equity prices lower.

US equities are +1% over the past month; US credit spreads are wider MoM.

• 2025 is on track for the second-weakest year in 32 for USD credit-equity correlated movement—historic 80% vs. ~74.8% this year.

Systematic Equity Trading Indicators December 30

• Attractive Long G-255 Equity Trade Indicators: 50 (includes both undervalued and equities priced at

extreme discount (-3 from Monday and -26% below the 200-day moving average of all long-trade

indicators).

• Short Equity Trade Indicators +8, (-1 from Monday) and -18% to the 200-day moving

average of all model short trade indicators).

G -255 Issuer News Monday.

SoftBank Group Corp (SOFT NR short credit/long equity) agreed to buy DigitalBridge Group Inc. for about $3 billion in cash, as part of its push to invest in data centers and digital infrastructure.

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G-255 Credit and Sector Indicators for "Long Only" trading strategies December 30

*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.