G-255 Specific Credit Sector Indicators January 26 – 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.

Why It Matters / 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.

Long Opportunities

Credit: Focus on de-leveraging issuers — Single A/BB TMT, Single A Healthcare, UK/US/Canadian Banks, Floating Rate Notes (157 undervalued bonds worth $286 B; 91 long indicators).

Equity: Issuers with YoY operating cash flow growth — TMT, Healthcare, US Utilities (60 undervalued equities worth $17.55T).

Short Opportunities

· Credit: 1,509 overvalued bonds ($2.689T market value; 1,598 short indicators).

· Equity: 15 overvalued issuers ($1.5T; 11 short indicators).

Largest de-levering/re-levering and cash flow positive/negative sectors (for both equities and credit) are highlighted in the original data. 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 last week.

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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 releveraging issuers (avoiding 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.

G-255 Specific Bond Trading Indicators January 26

· Closed Positions: Deutsche Bank NY (Baa1/BBB) DB 4.95 08/04/31 reached its avoid trading level on Tuesday January 13. 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: The model again produced a short trade indicator for General Motors (Baa2/BBB) GM 3.6 06/21/30 on Monday 12/8/25. 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 Friday : None

Current Sample Systematic Basket Credit/Equity trades based on trading strategy January 23

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Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – January 23, 2026)

Performance Summary

· Total Trades: 195 (2025 full year); 25 in 2026

· Long Indicators (2025): 136 out of 150 tightened by an average of -9.2 bp. In 2026 8 of 15 tightened by (-6.53bp).

· 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): 7 positions tightened by -2.53 bp

· Remaining Shorts (2025): 9 positions tightened by -19.23 bp.(2026): 10 positions tightened by - 2.35 bp

· Average Spread Movement (2025): ±6.73 bp in the indicated direction. (2026) ±1.86 bp

· Success Rate (2025): 88.2% of indicators reached avoid-trading levels (slightly below historical norms).

· Average Trade Holding Period (2025): 23.4 days (above average).

Systematic Portfolio Daily Equity Trading Model Indicators

· Long Indicators: Target G-255 issuers with positive year on year cash flow and returns to shareholders trading more than 5% below their historic price moving averages. Focus in issuers with largest returns to shareholders.

· Short Indicators: Target G-255 issuers 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 in issuers with largest declines in operating cashflow.

· Allow trading levels for all 242 equities to determine number of positions: G -255 is not a "stock picking" analytic tool. It is a stochastic measurement system based on current operating metrics and returns to shareholders.

· Portfolio Trading Hurdle: Maintain a long-to-short ratio based on the % of overall short trade indicators

· 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

· If replacing long positions that have reached their avoid trading level pushes the portfolio above the 655%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 size of trade. Only position short equity positions which meet G-255 model criteria.

G-255 Specific Equity Trading Indicators January 26

· Closed Long Positions: Home Depot reached its avoid trading level on Tuesday January 20.

· 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

· Open Short Positions: Since January 5 the G-255 has added one short position UAL on 1/20/26

Overall. the 30 Highest rated G- 255 long positions have had a +.27% return in January

Overall, the 7 highest rated G-255 short positions have had a -.47% return in January

A G-255 "Highest rated" equity long must be trading -7.5% to its historic moving average

A G-355 "Highest rated" equity short must be trading +7.5% to its historic moving average

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G-255 Trade Sizes and Systematic Trade Process for Debt and Equities

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 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 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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Equity and Credit Trading and Sector Indicators and Friday Trading

Friday, January 23, 2026, US equities opened higher on Friday amid unusual headlines. Bloomberg highlighted the University of Michigan Consumer Sentiment Index rising to 56.4 in January—a 6-month high and up 1.5 points from December. While this marked improvement from November's multi-decade low of 51.0, it remains well below the 40-year average of ~84.0. Markets initially bought into the narrative of economic strength, driving gains for much of the day before reversing on fresh Trump-related headlines and rising concerns over Japanese JGB yields.

G-255 Credit Update Post-close, G-255 credit short trade indicators remained elevated above 1,300, signaling continued overvaluation in the universe.

Key Trading Indicator Economic Results – Friday:

· The S&P Global flash January composite output USA index rose 0.1 point to 52.8.

· Both employment and pricing were weak in all 3 surveys

· University of Michigan US Consumer Sentiment was 56.4 in January + 1.5 when compared to December.

G-255 Systematic Model Update: January 26 Trading and Earnings Reports

This week's earnings

This week, 48 of the 255 largest corporate borrowers report earnings starting Tuesday.

Watch for:

· Continued AI infrastructure spending and balance sheet re-levering at META, IBM, Texas Instruments, and Microsoft.

· Subscriber growth trends in cable/wireless at Comcast, Verizon, AT&T, and Charter Communications.

· Broader US economic signals from CSX, Union Pacific, General Motors, and Starbucks.

Of the 28 G-255 issuers already reported: US Regional Banks (13 issuers) appear more attractive than the Big 6

Money Center banks. Regionals hold net cash positions, with loan growth and acquisitions driving expansion. In

contrast, the Big 6 have shifted from net cash 18 months ago to over $300B in net debt, as they leverage balance

sheets to hold ~$5T+ in corporate securities.

Top G-255 Trades (Earnings-Aware)

1. Long Equity: Financials (18 of 28 reported) sold off sharply on Trump 10% credit card rate cap headlines, but none yet near G-255 long entry levels—monitoring remaining reports

2. Long Credit: None - De-levering new supply remains tighter.

3. Short Equity: United Airlines (UAL).

4. Short Credit: Morgan Stanley subordinated (e.g., MS 5.948% 7/22/38) or senior (e.g., MS 1.928% 04/28/32).

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G-255 Credit Market Valuation and New G – 255 Supply January 26, 2026 On a Risk/Reward basis, High Yield bonds have far outperformed Investment Grade in 2025

· US Credit Spreads reached their tightest point of the year on Friday, February 21, 2025, and widest on Tuesday, April 10, 2025.

· YOY change in the UST 5Y: -53.2 bp.

· YOY change in the UST 10Y: -33.1 bp.

We are no longer flat in terms of Credit Spreads YoY.

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

Lipper corporate bond mutual fund flows for the week ending January 21.

· Broad Short and intermediate investment-grade bonds: $3.09b inflow vs. $2.2b inflow

· High-yield notes: $1.42b outflow vs. $371.5m outflow

· Biggest outflow since April 2025

A surprise Friday G-255 financial offering as Huntington Bancshares sold Senior and 15nc10 subordinated bonds with a bit of a discount on both issues according to our trading model.

49 G – 255 issuers have come to market in USD in January 2025 total 135 bonds and 139.755 billion of market capital. 87 of the 143 bonds have reached their avoid trading point according to the G-255 credit trading model.

• Across all 2025 G-255 new issues, 95% of avoid trade indicators delivered an average return of just under -8 basis points over a 34-day holding period.

• Over the past 12 months, 1,055 of 1,100 G-255 USD bonds issued (totaling $1.147 trillion in notional) have hit avoid signals.

• All 20 December 2025 G-255 new issue trade indicators were reached in less than 22 trading days.

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G-255 Credit and Equity Market Indicators January 26

· Attractive Long Credit Indicators: 92 (-13 from Friday) and -8 % below the 200-day moving average of all long indicators.

· Attractive Long Credit Market Cap accounts for: 50% of all undervalued Systematic credit capital.

· Attractive Short Credit Indicators 1311, (-73 from Friday and +156% above the 200-day moving average of all model short trade indicators). Short Credit Market Cap comprises 82% 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 12 of the first 14 trading days of 2026.

US equities are .5% over the past month; US credit spreads are now materially tighter MOM

Systematic Equity Trading Indicators January 26

• Attractive Long G-255 Equity Trade Indicators: 51 (includes both undervalued and equities priced at extreme discount) -2 from Friday and -23% below the 200-day moving average of all long-trade indicators.

• Short Equity Trade Indicators -11, (unchanged from Friday) and the same as the 200-day moving average of all model short trade indicators).

G-255 Credit and Sector Indicators for "Long Only" trading strategies January 26

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.