Complex Institution Liquidity Monitoring Report OMB Number 7100-0361

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O.S.3: Dollar Rolls

Report Date Reporting Entity PID Product Sub Product Counterparty G-SIB Maturity Amount Maturity Bucket Maturity Optionality Forward Start Amount Forward Start Bucket Collateral Class Collateral Value Treasury Control Settlement Rehypothecated Internal Internal Counterparty Business Line
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing Debt Issuing SPE Yes 37687182.11 Day 17 No 1605471340.51 7-30 Days Treasuries 5433929042.91 Yes T+2 Yes No Trading
2025-09-09 Liberty National Bank O.S.3 Dollar Rolls TBA Financing Broker-Dealer No 3581516824.17 Day 51 No 1075430692.19 7-30 Days Corporate Bonds 4211562925.85 No T+2 No No IntS-4748 Trading
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.3 Dollar Rolls TBA Financing Pension Fund No 3813761695.02 Day 1 Yes 1863160771.19 <7 Days Equities 6834884269.49 Yes T+0 Yes Yes IntS-6515 Funding
2025-09-09 Liberty Financial Group, Inc. - Global Consolidated Entity O.S.3 Dollar Rolls TBA Financing Sovereign No 5061713456.08 Day 60 No 326495840.88 7-30 Days Treasuries 3191411751.20 Yes T+1 No Yes IntS-3206 Funding
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing Debt Issuing SPE No 2053972624.49 Day 39 No 63214439.04 <7 Days Agency MBS 5245876711.15 Yes T+1 Yes Yes IntS-2708 Funding
2025-09-09 Liberty Capital Markets Inc. O.S.3 Dollar Rolls TBA Financing Broker-Dealer No 7690468731.62 Day 56 No 1002790938.76 7-30 Days Mortgage-Backed Securities 883581775.77 Yes T+2 Yes No IntS-2078 Funding
2025-09-09 Liberty Financial Group, Inc. - Global Consolidated Entity O.S.3 Dollar Rolls TBA Financing Non-Regulated Fund No 7626881.62 >= 1 Yr <= 2 Yr Yes 1164240364.12 <7 Days Equities 5149264860.23 Yes T+1 Yes No Trading
2025-09-09 Liberty Capital Markets Inc. O.S.3 Dollar Rolls TBA Financing Retail No 6808816030.89 121 - 150 Days No 1697973442.81 <7 Days Agency MBS 2123470040.53 No T+2 Yes Yes Securities Finance
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing Other Supranational Yes 3798956293.89 Day 10 Yes 45457723.68 7-30 Days Agency MBS 3741838983.90 No T+1 Yes Yes IntS-6225 Funding
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.3 Dollar Rolls TBA Financing Central Bank Yes 4565846534.13 Day 21 Yes 183746808.82 31-90 Days Mortgage-Backed Securities 4629587759.55 No T+2 Yes No Trading
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing Financial Market Utility No 6664681315.28 Day 21 Yes 1472135187.52 31-90 Days Agency MBS 5713480813.31 Yes T+2 Yes Yes Treasury
2025-09-09 Liberty International Finance Ltd. O.S.3 Dollar Rolls TBA Financing Retail No 3805319097.47 Day 14 No 1511607117.96 <7 Days Treasuries 5360256439.04 No T+2 Yes No Trading
2025-09-09 Liberty National Bank O.S.3 Dollar Rolls TBA Financing MDB No 6555111969.77 Day 49 No 1788690933.38 31-90 Days Mortgage-Backed Securities 903936223.14 No T+0 Yes No IntS-8380 Treasury
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.3 Dollar Rolls TBA Financing Other Supranational No 4246045114.26 Day 49 No 776991602.71 <7 Days Corporate Bonds 3624744700.75 Yes T+1 No Yes IntS-4883 Treasury
2025-09-09 Liberty Capital Markets Inc. O.S.3 Dollar Rolls TBA Financing Sovereign Yes 2247211363.64 151 - 179 Days No 1970426526.70 <7 Days Mortgage-Backed Securities 5537570825.49 No T+0 No Yes IntS-1574 Treasury
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing Investment Company or Advisor No 1240842762.25 Day 22 Yes 1690820534.45 31-90 Days Mortgage-Backed Securities 4827680633.36 No T+0 Yes Yes IntS-8102 Securities Finance
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.3 Dollar Rolls TBA Financing Small Business No 6658295665.39 Day 44 Yes 411675214.75 7-30 Days Mortgage-Backed Securities 6696751081.21 Yes T+2 No Yes Funding
2025-09-09 Liberty Financial Group, Inc. - Global Consolidated Entity O.S.3 Dollar Rolls TBA Financing Other Supranational Yes 5802386471.82 121 - 150 Days No 394804732.61 <7 Days Agency MBS 1312245772.49 Yes T+2 Yes No IntS-7101 Securities Finance
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.3 Dollar Rolls TBA Financing Retail No 2013892967.15 Day 32 Yes 1818366670.00 <7 Days Equities 1514058480.95 No T+0 No No Funding
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.3 Dollar Rolls TBA Financing Pension Fund No 4184759118.74 Day 4 Yes 1658652631.85 31-90 Days Corporate Bonds 3228932625.08 Yes T+1 No Yes IntS-4051 Securities Finance
2025-09-09 Liberty International Finance Ltd. O.S.3 Dollar Rolls TBA Financing Other Supervised Non-Bank Financial Entity No 383240926.48 180 - 270 Days No 198538473.64 <7 Days Treasuries 6342070764.34 No T+1 No Yes Funding
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing Investment Company or Advisor No 7975178524.97 Perpetual No 1395833892.00 <7 Days Treasuries 834402529.34 No T+2 No No IntS-5779 Treasury
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.3 Dollar Rolls TBA Financing GSE No 94716519.94 Day 47 Yes 1711662418.87 7-30 Days Equities 3575446313.61 Yes T+1 Yes No Treasury
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing Retail Yes 3989146034.88 Day 1 Yes 1498903417.26 31-90 Days Equities 5630335489.05 No T+1 No Yes Funding
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing Investment Company or Advisor No 3935581396.86 Day 14 Yes 510260348.12 31-90 Days Agency MBS 2623598750.28 Yes T+2 No No IntS-3273 Funding