"If risk is everywhere, it is nowhere"

Research evidence excerpt

"If risk is everywhere, it is nowhere"

Figure 1 - Low end of High Grade debt - historical Figure 2 - US Leveraged Loan Market Price - no

lows losses

US Leveraged Loans Price Index

2.0 105

1.8 100

1.6

1.4

1.2

1.0 85

0.8 80

0.6

75 Stress Frontier

0.4

0.2

Jan-14 Aug-14 Mar-15 Oct-15 May-16 Dec-16 Jul-17 Feb-18 Sep-18 Apr-19 Nov-19 Jun-20 Jan-21 Aug-21 Mar-22 Oct-22 May-23 Dec-23 Jul-24 Feb-25 Sep-25 Apr-26 6560

Spread BAA-AAA Long-Run (1962-2025) Jan-97 Jul-98 Jan-00 Jul-01 Jan-03 Jul-04 Jan-06 Jul-07 Jan-09 Jul-10 Jan-12 Jul-13 Jan-15 Jul-16 Jan-18 Jul-19 Jan-21 Jul-22 Jan-24 Jul-25

Source: Bloomberg; Macquarie Global Strategy Source: Bloomberg; Macquarie Global Strategy

Figure 3 - Euro HY Effective Yield (%) - low Figure 4 - VIX (Equities) - touching lows

Euro High Yield (%) VIX

14.0 90

12.0

10.0

8.0 50

6.0 40

4.0 30

2.0

0.0

Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18 Jan-19 Jan-20 Jan-21 Jan-22 Jan-23 Jan-24 Jan-25 Jan-26 0 Jan-19Apr-19Jul-19Oct-19Jan-20Apr-20Jul-20Oct-20Dec-20Mar-21Jun-21Sep-21Dec-21Mar-22Jun-22Sep-22Dec-22Mar-23Jun-23Sep-23Dec-23Mar-24Jun-24Sep-24Dec-24Mar-25Jun-25Sep-25Dec-25Mar-26Jun-26

BAMLHE00EHYIEY Average (1997-2026)

Source: Bloomberg; Macquarie Global Strategy

Source: FRED; Macquarie Global Strategy

Figure 5 - EURUSD Basis Swap - no risk Figure 6 - YenUSD Basis Swap - low risk

15 0

5 -10

-5 -20

-15 -30

-25 -40

-35 -50

-45 -60

-55 -70

-65 -80

-75 -90

Feb-21 May-21 Aug-21 Nov-21 Feb-22 May-22 Aug-22 Nov-22 Feb-23 May-23 Aug-23 Nov-23 Feb-24 May-24 Aug-24 Nov-24 Feb-25 May-25 Aug-25 Nov-25 Feb-26 May-26 Feb-21 May-21 Aug-21 Nov-21 Feb-22 May-22 Aug-22 Nov-22 Feb-23 May-23 Aug-23 Nov-23 Feb-24 May-24 Aug-24 Nov-24 Feb-25 May-25 Aug-25 Nov-25 Feb-26 May-26

EURUSD Basis Swap 3 months