Performance Report

March 2026

Fund: Coolabah Global Floating-Rate High Yield Fund - Institutional Investor Class

Strategy: Global Floating-Rate High Yield

Return (since Feb. 2025): 6.73% pa gross (5.78% pa net)

Net return volatility (since Feb. 2025): 1.63% pa

Objective: The investment objective of the Fund is to provide investors with exposure to a global floating-rate portfolio of investment-grade bonds and hybrid securities with enhanced yields.

Strategy: The Fund aims to generate higher income than other traditional fixed income investments by investing in a floating-rate portfolio of investment-grade bonds and hybrid securities issued predominately by global banks and enhancing the yields (or interest-rate) through the use of gearing (or leverage). It also has the capacity to invest in government bonds, corporate bonds and hybrid securities. The Fund aims to offer a floating-rate profile by targeting an interest rate duration risk of less than 3 months. The Fund can borrow and use derivatives, meaning the Fund is geared (or leveraged). Leverage can amplify gains and also amplify losses. The Fund does not invest in equities, unrated unlisted debt securities or property.

Period Ending 2026-03-31	Gross Return	Net Return	Bloomberg AusBond Credit FRN 0+ Yr Index	Gross Excess Return^‡	Net Excess Return^‡
1 month	-0.13%	-0.21%	0.25%	-0.38%	-0.46%
3 months	0.94%	0.72%	1.03%	-0.09%	-0.31%
6 months	2.34%	1.88%	2.08%	0.26%	-0.20%
1 year	7.54%	6.58%	4.72%	2.82%	1.86%
Inception pa Feb. 2025	6.73%	5.78%	4.68%	2.05%	1.10%

Disclaimer: Past performance does not assure future returns. Returns and yields 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	AA-	Av. Interest Rate (Gross Running Yield)	6.40%
Portfolio MSCI ESG Rating	AA	Modified Interest Rate Duration	0.32 years
No. Cash Accounts	16	Gearing Permitted?	Yes
No. Notes and Bonds	206	Net Annual Volatility (since incep.)	1.63%

Fund: Coolabah Global Floating-Rate High Yield Fund - Institutional Investor Class

Return/Risk: 6.73% pa gross/5.78% pa net (1.63% pa volatility)

Portfolio Managers

Christopher Joye, Ashley Kabel, Roger Douglas, Fionn O'Leary (Coolabah Capital Investments)

APIR Code	ETL2021AU	Fund Inception	17-Feb-2025
ISIN	AU60ETL20210	Distributions	Monthly
Asset-Class	Global Floating Rate	Unit Pricing	Daily (earnings accrue daily)
Target Objective	Yield focused	Min. Investment	AUD$1,000
Investment Manager	Coolabah Capital Investments (Retail)	Withdrawals	Daily requests (funds normally in 3 days)
Responsible Entity	Equity Trustees	Buy/Sell Spread	0.00%/0.05%
Custodian	Citigroup	Mgt. & Admin Fee	0.80% pa

Fund: Coolabah Global Floating-Rate High Yield Fund - Institutional Investor Class

Return/Risk: 6.73% pa gross/5.78% pa net (1.63% pa volatility)

Portfolio commentary: In March, the zero-duration daily liquidity Coolabah Global Floating-Rate High Yield Fund (YLDX) returned -0.13% gross (-0.21% net), compared to the AusBond Credit FRN Index (0.25%), the AusBond Bank Bill Index (0.32%), and the RBA Overnight Cash Rate (0.34%). Over the previous 12 months, YLDX returned 7.54% gross (6.58% net), outperforming the RBA Overnight Cash Rate (3.77%), the AusBond Bank Bill Index (3.80%), and the AusBond Credit FRN Index (4.72%). YLDX ended March with a running yield of 6.40% pa, a weighted-average credit rating of AA-, and a portfolio weighted average MSCI ESG rating of AA.

Since the inception of YLDX in February 2025, it has returned 6.73% pa gross (5.78% pa net), outperforming the RBA Overnight Cash Rate (3.80% pa), the AusBond Bank Bill Index (3.85% pa), and the AusBond Credit FRN Index (4.68% pa). While YLDX's return volatility since inception has been low at around 1.63% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.

Strategy commentary: Coolabah's performance was resilient in March, with strategies such as the daily-liquidity, AAA-rated, zero-duration Active Sovereign Bond Fund posting healthy positive returns after fees. Coolabah's zero-duration, daily-liquidity, unlevered cash-plus strategies — which typically carry average ratings in the A to AA band — also delivered positive net returns despite the massive sell-off in both equity and long-duration bond markets.

One example was the HBRD ETF, which provided positive net performance even as major bank hybrid indices declined by about 0.25% (unfranked). Even Coolabah's most aggressive levered credit strategies reported resilient performance, supported by improving yields that have been boosted by cash rate increases, which are likely to continue given the current inflation crisis.

March was defined by the escalation of the US-Iran conflict and the effective closure of the Strait of Hormuz, which sent a fresh inflation shock through global markets and drove a broad bear-flattening of yield curves. Brent crude surged 63.3% over the month to US$118.35/bbl and WTI rose 51.3% to US$101.38/bbl, while natural gas was also up 59%. Brent's intraday spike to US$119.50 on 9 March before collapsing to as low as US$83.66 was one of the largest oil price swings in decades.

That inflation pulse forced investors to rapidly reprice monetary policy projections, with expectations for 2026 Federal Reserve easing erased and ECB pricing shifting from cuts to hikes. Benchmark 10-year government bond yields moved sharply higher across major markets, rising 68bps in UK gilts, 64bps in Italy, 51bps in French OATs, 38bps in US Treasuries, 36bps in Bunds and 24bps in JGBs. Peripheral stress also widened the OAT/Bund spread by 14.4bps and the BTP/Bund spread by 27.5bps.

The sharp increase in government bond yields significantly hurt the performance of long-duration bond indices. The Bloomberg Global Aggregate Corporate Index declined by 2.08% in AUD terms, 2.05% in GBP terms, and 1.99% in USD terms over March.

Credit markets weakened, with Europe clearly underperforming. US investment-grade spreads widened only 5bps to 89bps, whereas EUR Agg Corp spreads widened 15bps to 97bps, iTraxx Main moved 15.9bps wider, Xover (a high-yield proxy) blew out 92.5bps, and senior financial spreads widened 18.7bps.

Global private credit markets faced notable stress during the month. Major fund managers experienced elevated redemption pressures, while expectations for rising default rates increased. These challenges are likely to be amplified by the potential shift toward central bank hiking cycles instead of easing, which would raise funding costs and place further pressure on leveraged borrowers. As capital exits this sector en masse, global private credit funds will no longer be able to "extend and pretend" as they have done for a long time, kicking the can down the road. This credit rationing will likely precipitate a monster private credit default cycle, which will be the worst since the 2008 crisis.

Fund: Coolabah Global Floating-Rate High Yield Fund - Institutional Investor Class

Return/Risk: 6.73% pa gross/5.78% pa net (1.63% pa volatility)

Strategy commentary cont'd: Risk assets sold off heavily as stagflation fears intensified. The S&P 500 fell 5.0% on a total return basis, the Nasdaq declined 4.8%, the Euro Stoxx 50 dropped 9.1%, Euro Stoxx banks fell 10.8%, the FTSE 100 declined 6.2% and the Nikkei 225 plunged 12.7%. Gold fell 11.6%, silver was down 20%, and one of the few assets to finish higher was Bitcoin, which rose 4.1%.

Foreign exchange also reflected the risk-off tone and stronger US dollar, with EUR/USD down 2.2%, AUD/USD down 3.1%, NZD/USD down 4.2% and USD/JPY up 1.7%.

Despite the volatility, the US primary market remained open and active, with US$242bn of investment-grade issuance in March (only 28% from financials), including Amazon and Salesforce alone issuing US$62.5bn. Europe was quieter at €56bn, with financials contributing just €8bn and average new issue premiums in financials around 7bps.

Australia saw just A$3.3bn of primary AUD investment-grade supply, the lightest month since April last year, leaving year-to-date issuance at about A$53bn versus roughly A$56bn at the same point last year. All seven deals were non-bank and generally small.

Coolabah remained highly selective in primary markets, participating in NBN's 10-year Aa3 senior issue, which drew A$2.25bn of demand for an A$850m print, and NAB's AAA RMBS transaction, where the A1 class attracted A$2.7bn of demand for A$1.6bn of issuance.

In contrast, Verizon's hybrid deal appeared weak and moved 15-20bps wider after pricing. Semi-government issuers including TCV, QTC, AUSCAP, SAFA and NSWTC also used windows of stability to issue across the 5.5- to 10-year part of the curve.

In Australia, the RBA lifted the cash rate by 25bps to 4.1% on 17 March, with the market pushing the terminal rate towards 5%. This will create problems for marginal borrowers in interest-rate-sensitive sectors such as commercial property and residential real estate development. Australian house prices are now likely to start falling later this year.

Australian 10-year government yields rose 32bps to 4.97%, while New Zealand 10-year yields rose 41bps to 4.55%. Major bank senior, subordinated and hybrid spreads widened by 4.4bps, 11.7bps and 8.1bps respectively, and the AUD iTraxx index widened 24bps to 92.1bps. Duration-heavy domestic benchmarks reflected these moves, with the AusBond Credit Index falling 1.15% and the AusBond Composite Index declining 1.42%, while the floating-rate AusBond Credit FRN Index still gained 0.25%.

Equity markets also fell sharply locally, with the ASX 200 down 7.8% on price and 7.15% on a total return basis, while the NZX 50 declined 6.7% on price and 5.91% on total return.

Coolabah's standout performer in March was the daily-liquidity, AAA-rated Active Sovereign Bond Fund (Zero Duration), which delivered 0.47% gross and 0.40% net return in a month when the AusBond Treasury Index fell 1.36%, highlighting the value of eliminating duration risk while sovereign yields were rising sharply.

Other strategies that finished the month in positive territory included the Smarter Money Higher Income range at roughly 0.10% to 0.19% net, the Smarter Money Fund at approximately 0.12% to 0.19% net, and HBRD, which still generated a modest positive return of around 0.04% to 0.06% net (unfranked and franked) despite major bank hybrid indices losing 0.25% unfranked.

Even our most aggressive levered strategies furnished resilient performance relative to equities, high yield bonds, private credit, and long-duration indices. This included the zero-duration, daily-liquidity, A+-rated Long Short Credit Fund (down only 0.10% to 0.19% net) and YLDX ETF (off 0.21% to 0.22% net), which benefited from the rising cash rate and running yields.

This compares favourably with the Bloomberg Global High Yield Index loss of 2.47% (in USD), Global Aggregate Corporate losses of about 2.08% (AUD), the Bloomberg Global Aggregate Credit USD Unhedged index decline of around 3.02%, the AusBond Composite Index fall of 1.42%, and equity markets that declined between 5% and 13% globally and 7.30% on the All Ords Accumulation Index.