Cost to Sweep Report

Goldman Sachs FICC and Equities

Goldman Sachs FICC and Equities Global Banking & Markets - Futures Sales Strats Prepared by a Goldman Sachs sales and trading desk, which may have a position in the products mentioned that is inconsistent with the views expressed in this material. In evaluating this material, you should know that it could have been previously provided to other clients and/or internal Goldman Sachs personnel, who could have already acted on it. The views or ideas expressed here are those of the desk and/or author only and are not an official view of Goldman Sachs; others at Goldman Sachs may have opinions or may express views that are contrary to those herein. This material is not independent advice and is not a product of Global Investment Research. This material is a solicitation of derivatives business generally, only for the purposes of, and to the extent it would otherwise be subject to, CFTC Regulations 1.71 and 23.605.

Futures Liquidity Analysis Order book sweep / Cost-to-trade 21-Sep-2026 Model: Our model estimates futures liquidity by calculating the cost-to-trade to sweep the order book, using intraday dataof up to 10 levels of the order book computed and averaged throughout the day. We use various sizes across product and the resultsare displayed in bps. Where sizes exceed the observable book levels at any given time, we extrapolate using the nearest figures. For bonds, calculations areduration adjusted. The charts show rolling 3-day figures. Cost to Sweep (September 21, 2026) Cost Historical context* Product Size OAD-Adjusted (full trd size, bps) wow change 3m range 3m perc rank 1y range 1y perc rank TU, 2y 5000 cts FV, 5y 5000 cts TY, 10y 5000 cts UXY, Ultra 10y 3500 cts US, Bond 3000 cts WN, Ultra Bond 2000 cts CN, Can 10y 2000 cts DU, Schatz 4000 cts OE, Bobl 3000 cts RX, Bund 2000 cts G, Long Gilt 500 cts JBA, 10y 300 cts IK, Italy Bond 500 cts XM, Australia 10y 1000 cts ES, S&P500 E-mini $75mm NQ, Nasdaq 100 E-mini $5mm RTY, Russell 2k E-mini $10mm VG, Euro Stoxx 50 $75mm Z, FTSE100 $5mm NI, Nikkei 225 $10mm TP, Topix $10mm SGX FTSE Taiwan $5mm HC, Hang Seng China Entrp $5mm XU, SGX FTSE China A50 $5mm XP, ASX SPI 200 $10mm MES, MSCI Emerging Mkt $5mm MFS, MSCI EAFE $5mm HWA, Micro S&P500 $5mm MQN, Micro Nasdaq 100 $1mm *For bond products we also scale and show the bps trade cost divided by the OAD risk Source: Goldman Sachs FICC and Equities, Futures Sales Strats. Past performance is not indicative of future results.

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Goldman Sachs FICC and Equities

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