Performance Report

April 2026

Fund: Coolabah Active Sovereign Bond Fund - Zero Duration Class

Strategy: Government Bond

Return (since Dec. 2023): 6.47% pa gross (5.34% pa net)

Net return volatility (since Dec. 2023): 1.66% pa

Objective: The Active Sovereign Bond Fund - Zero Duration Class targets returns in excess of its Benchmark, the RBA Overnight Cash Rate (RBACOR), after management costs, by 3.0% to 5.0% per annum over rolling 3 year periods.

Strategy: The Fund aims to generate diversifying excess returns above the Benchmark for each Class through exploiting relative value mis-pricings in high quality government bonds and related Derivatives that have a low correlation to equity and credit markets and the level of interest rates. The Zero Duration Class aims to deliver the Fund's investment strategy over its Benchmark, the RBA Overnight Cash Rate (RBACOR). It offers a floating interest-rate exposure resulting in low or near-zero interest rate risk.

Period Ending 2026-04-30	Gross Return	Net Return	RBA Cash Rate	Gross Excess Return^†	Net Excess Return^†
1 month	0.51%	0.43%	0.33%	0.18%	0.10%
3 months	1.87%	1.56%	0.96%	0.91%	0.60%
6 months	2.34%	1.81%	1.86%	0.48%	-0.05%
1 year	8.09%	6.71%	3.77%	4.32%	2.94%
Inception pa Dec. 2023	6.47%	5.34%	4.08%	2.40%	1.26%

^† The Excess Return column represents the return above the RBA Overnight Cash Rate

Disclaimer: Past performance does not assure future returns. Returns are shown net of management fees and costs unless otherwise stated. All investments carry risks, including that the value of investments may vary, future returns may differ from past returns, and that your capital is not guaranteed. To understand Fund’s risks better, please refer to the Product Disclosure Statement available at Coolabah Capital Investments' website.

*Note: all portfolio statistics other than yields and duration are reported on gross asset value*
Av. Portfolio Credit Rating	AAA	Modified Interest Rate Duration	0.22 years
Portfolio MSCI ESG Rating	AA	Gearing Permitted?	Yes
Gross Portfolio Weight to Govt. Bonds	94.4%	Net Annual Volatility (since incep.)	1.66%

Ratings: Recommended (Zenith)

Fund: Coolabah Active Sovereign Bond Fund - Zero Duration Class

Return/Risk: 6.47% pa gross/5.34% pa net (1.66% pa volatility)

Disclaimer: Past performance does not assure future returns. Returns are shown net of management fees and costs unless otherwise stated. All investments carry risks, including that the value of investments may vary, future returns may differ from past returns, and that your capital is not guaranteed. To understand Fund’s risks better, please refer to the Product Disclosure Statement available at Coolabah Capital Investments' website.

The since inception gross (net) return of 6.47% pa gross (5.34% pa net) is the total annual return earned by the fund since Dec. 2023, including interest income and movements in the price of the bond portfolio after all fund fees (assuming net returns are calculated from the historic gross returns using the current fee structure as displayed in the Product Disclosure Statement). The net return quoted applies to the Coolabah Active Sovereign Bond Fund - Zero Duration Class, with quarterly distributions reinvested. Investment return will vary depending upon investment date and any additional investments and withdrawals made. The annualised volatility estimate of 1.66% pa is based on the standard deviation of net daily returns since inception, which are then annualised, attributable to the Coolabah Active Sovereign Bond Fund - Zero Duration Class.

Portfolio Managers

Christopher Joye, Ashley Kabel, Roger Douglas, Matt Johnson (Coolabah Capital Investments)

APIR Code	ETL9561AU	Fund Inception	13-Dec-23
ISIN	AU60ETL95618	Distributions	Quarterly
Benchmark	RBA Overnight Cash Rate	Unit Pricing	Daily (earnings accrue daily)
Asset-Class	Government Bond	Mgt. & Admin Fee	0.65% pa
Target Return	3-5% pa above Benchmark after mgt. fee and costs	Perf. Fee	20% of excess outperformance above the Benchmark after mgt. fees
Investment Manager	Coolabah Capital Investments (Retail)	Custodian	Citigroup

Fund: Coolabah Active Sovereign Bond Fund - Zero Duration Class

Return/Risk: 6.47% pa gross/5.34% pa net (1.66% pa volatility)

Portfolio commentary: In April, Coolabah’s Active Sovereign Bond Strategy returned 0.51% gross (0.43% net), in a fair month for our relative value strategy.

Over the past 12 months, the Strategy returned 8.09% gross (6.71% net), outperforming the RBA Overnight Cash Rate (3.77%).

It was a choppy month for RV trading, with reasonably well-defined ranges evident more in hindsight than in prospect. The main source of uncertainty was the outlook for oil and energy markets, due to the ongoing closure of the Strait of Hormuz. Markets swung from optimism to pessimism about the outlook for energy prices, and hence about global inflation and growth.

Market pricing for the RBA was fairly stable, with the terminal cash rate averaging around 4.75%. The stabilisation of terminal cash stabilised curve shape and allowed some restorative steepening. The 3x10 futures traded 27/36.5, with an average close of 33.25bps in the month.

Ranges are typically good for our RV strategy; however, these were difficult to capture in April due to the scope for a sharp break-out of the ranges in either direction should the best or worst occur. To ameliorate this drawdown risk, we further reduced leverage in April. We also increased the diversity of our risk taking.

Bond-futures basis was helpful in April. YM June expiry basis began around 0.5bps cheap and ended the month about 0.1bps expensive; XM June expiry basis opened around 0.1bps cheap and closed the month around 0.1bps expensive. Taken together, this was a slight tailwind for returns. Liaison with the street suggested ongoing inflows into ACGBs by offshore accounts, encouraged by the wide spread to US Treasuries.

Strategy commentary: After positioning defensively coming into March and fading the sell-off in risk in the latter half of that month, Coolabah's portfolios delivered strong across-the-board alpha in April, which we will cover shortly.

The Iran conflict remained the dominant influence on markets in April. Fears around the trajectory of the conflict persisted into the start of the month, but risk assets rallied as April progressed — first on news of a two-week ceasefire, and subsequently after Trump indicated that an agreement with Iran had largely been negotiated, including a commitment from Iran not to close the Strait of Hormuz again. With the Strait nevertheless remaining closed and prospects of a deal fading into month-end, optimism gave way to renewed concern.

Brent crude reached an intra-month low of US$86.01/bbl on the initial optimism before closing at US$114.01/bbl, which still represented a 3.7% decline over April. Notably, both 6-month and 12-month forward oil contracts rose over the month, suggesting investors are pricing in a more prolonged closure of the Strait. Elevated oil prices have started to flow through to inflation, with US and Euro Area March CPI rising 0.9 per cent and 1.3 per cent month-on-month respectively.

Although most G7 central banks held cash rates steady this month, the accompanying rhetoric shifted to a more hawkish tone. Sovereign 10-year yields rose accordingly: JGBs by 17bps, UK Gilts by 10bps and US Treasuries by a more modest 5bps. Part of the underperformance in UK Gilts reflected political instability around Starmer's ability to remain Prime Minister.

French OATs and Italian BTPs were exceptions to the broader move, with 10-year yields falling 3bps and 5bps respectively, and the OAT/Bund and BTP/Bund spreads compressing 6 and 8 basis points. Peripheral compression alongside a hawkish rates backdrop reflects continued investor demand for carry against limited European primary supply.

Despite the move higher in oil and yields, equities rallied to all-time highs. The S&P 500 returned 10.5 per cent over the month — its strongest single-month performance since November 2020 — posting four consecutive weekly gains in a mirror image of March's four consecutive weekly declines. European equities also performed well, with the Eurostoxx 50 returning 6.4 per cent and the Eurostoxx Banks index 10.2 per cent. The Nikkei 225 returned 16.1 per cent and the Nasdaq 15.7 per cent.

Fund: Coolabah Active Sovereign Bond Fund - Zero Duration Class

Return/Risk: 6.47% pa gross/5.34% pa net (1.66% pa volatility)

Strategy commentary cont'd: Investment-grade cash credit rallied alongside equities. US IG spreads tightened 11bps to 78bps over the month, while European IG spreads tightened 16bps to 81bps. CDX IG narrowed 13bps and iTraxx Main 16bps. Subordinated indices moved further: Financial Senior CDS in Europe tightened 21bps and the Crossover index narrowed 88.5bps.

The firm macro backdrop drove elevated US primary issuance. According to Bank of America, US$201 billion of investment-grade supply was printed in April, split roughly evenly between Financials and Corporates. The standout deal was a US$25 billion issuance from Meta which attracted US$85 billion of demand, as the hyperscalers continued to tap debt capital markets to fund their AI capex programmes. Several deals from Financials also priced, including benchmark HoldCo senior transactions from four of the US Big 6 banks. These deals had average one-day spread performance of 2.3bps.

In contrast, European investment-grade issuance was more modest at €62 billion, of which €25 billion came from Financials — though that marked a pickup from just €8 billion of Financials supply in March. Average subscription rates across Financials deals reached approximately 3.9x, reflecting a combination of muted supply over the past two months and elevated investor cash balances. The most notable deal was a 6-year Belfius senior bond, which drew 5x demand and rallied 8bps in spread terms on the break.

In Australia, A$12.6 billion of investment-grade credit was issued in April, heavily skewed to Financials, which accounted for 90 per cent of total supply after a very quiet March. Despite this, the big four Australian banks stayed away from primary markets. The major Financial deals were senior transactions from MQGAU, UBS and BENAU, which had combined demand of A$13 billion for A$5 billion of total issuance and 3–8bps spread concessions, resulting in strong performance. Several corporate deals priced in the second half of the month, with APA the standout at A$6 billion in demand. In SSAs, AUSTC and EIB attracted demand of A$6 billion and A$4.8 billion respectively, with both deals well received after minimal issuance in the sector since February.