Please contact Larry.Domash@curvepublishing.com or Gareth.Moody@empirasign.com for more information.

G-255 Specific Credit Sector Indicators December 31 – 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 ($367 billion market

value), with 98 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

• 1,537 bonds ($2.71 trillion) are overvalued per the stochastic credit trading model, with 1012 short trade indicators.

• U.S. Big 6 Banks: 314 bonds ($780 billion) are overvalued with 204 short trade indicators.

• BBB Energy: 80 bonds ($95.9 billion) are overvalued with 59 short trade indicators.

• Single A Healthcare: 125 bonds ($180.4 billion) are overvalued with 96 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: 168 bonds ($178 billion) are overvalued, with 134 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 December 31

• 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 31

Systematic Trading Indicators Tuesday: None

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G-255 Credit Basket Trade Statistics

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

Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – December 31, 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 -1.13 bp.

• Remaining Shorts: 9 tightened by -19.24 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 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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Credit Trading Allocation and Sector Indicators

Tuesday, December 30, 2025

Trading volume on Tuesday remained more than 50% below average. Despite modest pullbacks in select G-255 equity prices, the proportion of undervalued equity trade indicators fell below 35% across the 242 global corporate debt issuers with over $15 billion in tradable debt outstanding.

We will defer incorporating supply/demand inputs into the trading model until the first week of January 2026 fund flow data is released, given potential unreliability in recent figures.

Absent any new primary issuance and with more than $45 billion in G-255 bonds called or matured, substantial net buying from investment-grade (IG) end-users emerged as the week progressed.

Historical correlations between G-255 underlying equity prices—particularly in the TMT and Consumer sectors—and 10-year issuer credit spreads indicate that continued equity appreciation in these areas is likely to support further spread tightening in the corresponding credit sectors.

Top Traded Issuers:

• Top traded IG G-255 issuer: Merck (Aa3/A+; long credit/equity) – tightened -3bp Tuesday.

• Top traded HY G-255 issuer: Venture Global (Ba2/BB+) – tightened -3bp Tuesday.

Key Trading Indicator Economic Results – Tuesday:

• Same-store sales, rose 7.6% in the December 27 week compared to a year earlier, Johnson Redbook says.

• Month-to-date sales through 12/27 rose 6.7%

• December sales expected to be up 6.5% over the same month of the previous year.

• December MNI Chicago Barometer Rises to 43.5 after 36.3 in November

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

Eighty-one 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 (long or short). Although the model's equity trade indicators are not directly tied to earnings announcement dates, they do incorporate information from earnings reports.

Throughout 2025, we have emphasized that numerous G-255 equity issuers accessed the corporate bond market to fund higher dividends and aggressive share repurchases. As a result, 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. Consequently, these 242 equities significantly outperformed most global equity indices during the year.

Although 94% of the more than 1.5 million daily trade indicators generated by the G-255 systematic model reached the "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.

The Asian Bank sector has generated several short-equity and short-credit trade indicators. The primary factor limiting its credit and equity returns—relative to other sectors—has been its significantly lower share repurchase rate.

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

Japanese banks continued to show improvements in loans and operating earnings. In contrast, Australian banks experienced declines in capital markets, investment banking, and trading results, leading to lower returns to shareholders and significant underperformance among Asian bank equities.

Japanese bank balance sheets continue to operate with net cash positions. Australian banks, however, now face the prospect of stabilizing debt levels amid declining operating earnings, resulting in reduced capital returns to shareholders.

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G-255 Credit Market Valuation and New G – 255 Supply December 31

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

• UST 10-Year Rates: -44.7 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 -70bp 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 ETF Flows

• Corporate bond ETFs recorded outflows of $76 million for the week ending December 24, 2025, a sharp reversal from inflows of $2.88 billion in the prior week ending December 17.

• Investment-grade corporate bond ETFs experienced outflows of $366 million, primarily driven by the iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD), which saw outflows of $1.026 billion.

• High-yield corporate bond ETFs posted outflows of $76.4 million, led by the iShares iBoxx $ High Yield Corporate Bond ETF (HYG), with outflows of $595 million on December 23.

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

• In December, eight G-255 issuers priced 19 bonds totaling $21.2 billion. The largest transaction was an $8 billion 8-part deal from single-A-rated pharmaceutical issuer Merck (Aa3/A+).

• All bonds from the Merck deal—except the 4.15% notes due March 15, 2031—have already traded to the G-255 systematic credit trading model's avoid levels.

G-255 New-Issue Indicator Results

• On Tuesday, one additional G-255 new-issue bond from August or September reached its avoid trading level.

• Across all 2025 G-255 new issues, 91% of triggered indicators delivered an average return of just under -8 basis points over a 34-day holding period.

• Year-to-date, 1,001 of 1,101 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.

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G-255 Credit and Equity Market Indicators December 31

• Attractive Long Credit Indicators: 98, (+9 from Tuesday and -6% below the 200-day moving average of all long indicators).

• Attractive Long Credit Market Cap accounts for: 46% of all undervalued Systematic credit capital.

• Attractive Short Credit Indicators 1012, (+30 from Tuesday and +99% above the 200-day moving average of all model short trade indicators).

• Attractive Short Credit Market Cap accounts for: 66% 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 Tuesday 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. ~75% this year.

Systematic Equity Trading Indicators December 31

• Attractive Long G-255 Equity Trade Indicators: 52 (includes both undervalued and equities priced at

extreme discount (+2 from Tuesday and -18% below the 200-day moving average of all long-trade

indicators).

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

average of all model short trade indicators).

G -255 Issuer News Tuesday.

None

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G-255 Credit and Sector Indicators for "Long Only" trading strategies December 31

*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.