% Regression: AMMD = 67.5% • RUST 0 1:1 movement O 0 Historical Regression 0 0.2% 0.4% 0.6% -0.2% O -0.4% O MoM change In 30y UST 30y UST - MMD Spread 2.0% 1.5% 1.0% 0.5% 0.0% -0.5% -1.0% 60* -1.5% 0 -2.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 0 * 30y UST Yields Historical Statistics