G-255 Specific Credit Sector Indicators January 30 – Long Only Indicators on Page 8

G-255 Overview: What It Is

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 (187 undervalued bonds worth $332.1 Bil in value; 111 long indicators).

Equity: Focus YoY operating cash flow growth — TMT, Healthcare, Consumer (41 undervalued equities worth $12.24T).

Short Opportunities

· Credit: 1,559 overvalued bonds ($2.68T market value; 1,255 short indicators) Big 6 banks remain the largest overvalued sector (261 overvalued bonds. $740 billion of market value, 265 short indicators.

· Equity: 17 overvalued issuers ($1.65T; 13 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 Monday.

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 January 30

· Closed Positions: Deutsche Bank NY (Baa1/BBB) DB 4.95 08/04/31 reached its avoid trading level on Tuesday 1/13/26. 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.

· 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: 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 : None

Current Sample Systematic Basket Credit/Equity trades based on trading strategy January 30

Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – January 30, 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. In 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.

· Remaining Longs (2025): 14 positions tightened by -1.53 bp. (2026): 8 positions tightened by -1.05 bp.

· Remaining Shorts (2025): 9 positions tightened by -19.23 bp. (2026): 10 positions tightened by -1.29 bp.

· Average Spread Movement (2025): ±6.73 bp in the recommended direction. (2026): ±1.83 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 January 30

· 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.

· 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.

· 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

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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 4.76% in January.

Overall, the 7 highest-rated G-255 short positions have returned -1.49% in January.

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, January 30, 2026, G-255 issuers Nordea Bank (NDASS), Royal Caribbean (RCL), Meta Platforms (META), and Microsoft (MSFT) reported results. NDASS (highest rated equity short indicator) stock declined post-results. RCL and META (highest rated long equity indicators) rose 16% and 10% respectively, both reaching model avoid trading levels. MSFT results exceeded expectations, yet stock fell 10% (largest drop since March 2020) on Azure/AI concerns; MSFT now top G-255 long indicator.

Our process is fully quantitative and does not rely on human interpretation. G-255 equities overall unchanged, with RCL/META gains offsetting MSFT decline. January record new supply ($171 billion total, $19.2 billion Thursday) and equity-credit correlation led G-255 credit spreads slightly wider despite record $5.4 billion short/intermediate IG mutual fund inflows.

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

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G-255 Systematic Model Update: January 30 Trading and Earnings Reports

More Earnings and New Fed Chair

Thus far the US regional banks have recorded the most consistent results for G-255 equity and credit returns.

US Regional Banks 4Q Operating Metrics

US Regional Banks (13) Balance Sheet

Yes, the sector has a "net cash" balance sheet. However new issue offerings from Hunting Bancshares (HBAN), US Bank (USB) Bank of New York (BK) and Truist Financial (TFC) haven't outperformed.

US Equities and Credit Remain Overvalued according to our trading model

Reported earnings are painting a clear picture.

(1) Global Banks with capital markets capability and access to capital are still generating strong results based on securities return.

(2) If "adjusted earnings" beat "analyst's expectations" the equity is going higher and the credit spread tighter for at least several days. As my Father would advise "never let the facts get in the way of a good argument."

The Model's Top Long Equity Microsoft

(3) As Meta and Royal Caribbean equities have now hit their G-255 avoid trading levels, Microsoft equity is the one and only as we await more earnings.

Microsoft has delivered impressive returns to shareholders over the past 10 years, with total shareholder return (including dividends) exceeding 800%, translating to a compound annual growth rate of around 25-26%. Revenue has grown steadily at an average annual rate of about 12-13%, rising from roughly $93 billion in fiscal 2015 to $282 billion in fiscal 2025, fueled by strong expansion in cloud services, productivity tools, and other core businesses. Operating earnings have increased even more robustly, while operating margins have expanded significantly from around 20-30% a decade ago to over 45% in recent years, reflecting improved efficiency and higher-profitability segments. Microsoft corporate bonds as long signals.

The Model's Top Long Credit Meta

(3) G-255 systematic trading model continues to identify Meta corporate debt as the top long indicator in the G-255 trading universe.

The Model's Top Short Equity and Credit Indicators? General Motors Anything

GM reported negative unit sales, weaker pricing, declining operating earnings, and negative cash flow and free cash flow in 4Q. General Motors has provided modest returns to shareholders over the past 5 years, and has underperformed broader market benchmarks amid industry volatility and transition challenges.

Revenue has shown recovery from pandemic lows but remains uneven, rising from about $122 billion in 2020 to a peak near $187 billion in 2024 before declining 1.3% to $185 billion in 2025, reflecting ongoing pressures from supply disruptions, competitive dynamics, and softening demand in certain segments.

Operating earnings have been highly volatile with a sharp negative turn recently, dropping dramatically to around $2.9 billion in 2025 (a roughly 77% decline from 2024 levels) due to significant special charges and cost headwinds, while operating margins have compressed notably, and free cash flow has fluctuated widely with recent weakness despite periods of stronger generation in prior years.

Key Trading Indicator Economic Results – Thursday

· Initial Jobless claims for the week ended 1/23/26 fell -1k YoY to 209k. The 4 week average for the week ended 1/17/26 fell -22k YoY to 1.827k.

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G-255 Credit Market Valuation and New G – 255 Supply January 30, 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 Monday, February 21, 2025, and widest on Tuesday, April 10, 2025.

January 2026 New Issue / Fund Flow Report

Thursday's New Bonds Sold (January 30, 2026) Five G-255 issuers brought 14 new bonds totaling $19.2 billion of new USD bonds to market (three banks, IBM, AT&T post-earnings).

· Most Attractive G-255 new issue long trade indicators: JPM subordinated and Capital One 5Y.

· G-255 new issue least attractive: AT&T deal (priced tight relative to September 2025 supply, which has not yet reached avoid-trade levels).

January 2026 New USD G-255 Supply

· 63 issuers offered 163 separate bonds ($171 billion total capital — January record).

· Net new supply: $82 billion (third behind January 2017 and January 2024).

· Eight issuers came to market at least twice.

· 71% from financials (January record for G-255 supply).

G-255 Supply/Demand Balance: December/January Bond Retirements & Fund Inflows

TheG-255 systematic trading model ranks fund flows as the most dominant of the five data hierarchies (92%

correlation to G-255 credit spreads: inflows → narrower spreads, outflows → wider spreads).

· Bond retirements: $89 billion of G-255 capital matured called in December 2025 and January 2026 combined.

o Over half of the $89 billion is TLAC debt.

o TLAC rules require issuers to retire on the first call date or hold significantly higher capital than normally required by the US Federal Reserve to carry to final maturity.

o This TLAC retirement pressure accounts for the 71% financial sector share of January supply.

· US fund flows (week ended Jan. 28, per LSEG Lipper), compared to prior week:

o Short and intermediate investment-grade bonds: $5.4 billion inflow (vs. $3.09 billion) — largest since Feb 2021.

o High-yield notes: $232.7 million inflow (vs. $1.42 billion outflow).

o Treasuries: $500.9 million inflow (vs. $1.38 billion inflow).

o US leveraged loans: $234.2 million inflow (vs. $427.9 million inflow).

o Mortgage-related: $213.1 million inflow (vs. $247.4 million inflow). 6

G-255 Credit and Equity Market Indicators January 30

· Attractive Long Credit Indicators: 111 (+12 from Thursday) and 10 % above the 200-day moving average of all long indicators.

· Attractive Long Credit Market Cap accounts for: 61% of all undervalued Systematic credit capital.

· Attractive Short Credit Indicators 1,255 (-52 from Thursday and +130% above the 200-day moving average of all model short trade indicators). Short Credit Market Cap comprises 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 have correlated directionally with US equity index movement for 14 of the first 19 trading days of 2026.

US equities are +1% over the past month; US credit spreads are now materially tighter MOM

Systematic Equity Trading Indicators January 30

• Attractive Long G-255 Equity Trade Indicators: 41 (includes both undervalued and equities priced at extreme discount) -6 from Thursday and -32% below the 200-day moving average of all long-trade indicators.

• Short Equity Trade Indicators -13, (-1 from Thursday) and +24% to 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 January 30

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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.