Complex Institution Liquidity Monitoring Report OMB Number 7100-0361

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S.B.6: Carrying Value Adjustment

Report Date Reporting Entity PID Product Counterparty Collection Reference Product Reference Sub Product Reference Collateral Class Maturity Bucket Effective Maturity Bucket Encumbrance Type Market Value Maturity Amount Collateral Value G-SIB Risk Weight Internal Internal Counterparty
2025-09-17 Liberty Financial Group, Inc. - Parent Company Only S.B.6 S.B.6: Carrying Value Adjustment L-2 Day 22 61 - 67 Days 819427252224.02 640283086787.70 None Liberty Mortgage Services Corp.
2025-09-17 Liberty National Bank S.B.6 S.B.6: Carrying Value Adjustment CB-3-Q Day 55 Day 12 318213946702.90 299056708862.41 None Liberty International Finance Ltd.
2025-09-17 Liberty National Bank S.B.6 S.B.6: Carrying Value Adjustment CB-2-Q Day 20 Day 49 741746918082.79 91960178044.24 None Liberty Capital Markets Inc.
2025-09-17 Liberty Mortgage Services Corp. S.B.6 S.B.6: Carrying Value Adjustment G-4 180 - 270 Days Day 19 143112815514.05 696670737446.61 None Liberty Financial Group, Inc. - Global Consolidated Entity
2025-09-17 Liberty Capital Markets Inc. S.B.6 S.B.6: Carrying Value Adjustment IG-8 83 - 90 Days Day 27 705080028585.30 898593108220.69 None Liberty National Bank
2025-09-17 Liberty International Finance Ltd. S.B.6 S.B.6: Carrying Value Adjustment E-9 Day 34 Day 6 678037017352.35 537452699494.81 None Liberty Mortgage Services Corp.
2025-09-17 Liberty Capital Markets Inc. S.B.6 S.B.6: Carrying Value Adjustment LC-2 Day 12 Day 20 345733023630.92 656330756825.63 None Liberty National Bank
2025-09-17 Liberty National Bank S.B.6 S.B.6: Carrying Value Adjustment L-11 >2 Yr <= 3 Yr Day 35 305783789309.99 306841880774.09 None Liberty Capital Markets Inc.
2025-09-17 Liberty Financial Group, Inc. - Global Consolidated Entity S.B.6 S.B.6: Carrying Value Adjustment S-4 Day 38 Day 34 641923502560.90 326086154992.11 None Liberty National Bank
2025-09-17 Liberty Financial Group, Inc. - Parent Company Only S.B.6 S.B.6: Carrying Value Adjustment S-4-Q 271 - 364 Days Day 36 70341517434.15 174930634833.26 None Liberty National Bank
2025-09-17 Liberty International Finance Ltd. S.B.6 S.B.6: Carrying Value Adjustment L-1 Day 42 Day 34 211575423852.50 128222693777.11 None Liberty International Finance Ltd.
2025-09-17 Liberty Financial Group, Inc. - Global Consolidated Entity S.B.6 S.B.6: Carrying Value Adjustment S-6-Q >= 1 Yr <= 2 Yr Day 54 375789785288.40 229354902940.22 None Liberty International Finance Ltd.
2025-09-17 Liberty Financial Group, Inc. - Global Consolidated Entity S.B.6 S.B.6: Carrying Value Adjustment G-3-Q 271 - 364 Days Day 52 201563408228.38 980435511913.34 None Liberty Financial Group, Inc. - Parent Company Only
2025-09-17 Liberty Mortgage Services Corp. S.B.6 S.B.6: Carrying Value Adjustment CB-4 271 - 364 Days Day 1 119643364784.07 326264415815.30 None Liberty Capital Markets Inc.
2025-09-17 Liberty National Bank S.B.6 S.B.6: Carrying Value Adjustment L-11 Day 15 Day 58 688963595809.32 143135312664.09 None Liberty Financial Group, Inc. - Global Consolidated Entity
2025-09-17 Liberty Mortgage Services Corp. S.B.6 S.B.6: Carrying Value Adjustment E-8 Day 32 Day 49 843353969613.30 69794973203.45 None Liberty National Bank
2025-09-17 Liberty Capital Markets Inc. S.B.6 S.B.6: Carrying Value Adjustment IG-1 Day 43 Day 29 529458053890.36 866589717279.81 None Liberty Capital Markets Inc.
2025-09-17 Liberty Financial Group, Inc. - Global Consolidated Entity S.B.6 S.B.6: Carrying Value Adjustment A-1-Q Day 46 Day 26 179650099622.64 218761583758.50 None Liberty National Bank
2025-09-17 Liberty International Finance Ltd. S.B.6 S.B.6: Carrying Value Adjustment S-6 Day 11 Day 6 407482709221.51 187167561792.93 None Liberty Financial Group, Inc. - Parent Company Only
2025-09-17 Liberty International Finance Ltd. S.B.6 S.B.6: Carrying Value Adjustment L-9 Day 34 Day 27 158285020077.12 197238133955.32 None Liberty Capital Markets Inc.
2025-09-17 Liberty International Finance Ltd. S.B.6 S.B.6: Carrying Value Adjustment L-5 75 - 82 Days 151 - 179 Days 908049158409.49 525685019145.82 None Liberty Financial Group, Inc. - Global Consolidated Entity
2025-09-17 Liberty National Bank S.B.6 S.B.6: Carrying Value Adjustment CB-2 Day 26 Day 18 995931472541.65 415961442377.85 None Liberty Financial Group, Inc. - Parent Company Only
2025-09-17 Liberty International Finance Ltd. S.B.6 S.B.6: Carrying Value Adjustment S-1 Day 33 Day 10 686512392686.24 624489012257.62 None Liberty Financial Group, Inc. - Parent Company Only
2025-09-17 Liberty Mortgage Services Corp. S.B.6 S.B.6: Carrying Value Adjustment IG-5 Day 50 Day 49 862210490515.65 823364380601.41 None Liberty Capital Markets Inc.
2025-09-17 Liberty Financial Group, Inc. - Global Consolidated Entity S.B.6 S.B.6: Carrying Value Adjustment IG-7 Perpetual Day 45 71186377510.43 866526016979.54 None Liberty National Bank