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 International Finance Ltd. O.S.3 Dollar Rolls TBA Financing Central Bank No 3642653317.23 Day 43 Yes 1735862761.67 7-30 Days Equities 1059814332.83 No T+1 Yes Yes IntS-7016 Trading
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.3 Dollar Rolls TBA Financing GSE No 7447699254.37 Day 59 No 1798327839.89 7-30 Days Mortgage-Backed Securities 676648518.55 No T+2 No No Trading
2025-09-09 Liberty International Finance Ltd. O.S.3 Dollar Rolls TBA Financing Sovereign No 1740511234.96 Day 50 No 761515719.11 31-90 Days Mortgage-Backed Securities 5345107347.90 Yes T+1 Yes No Trading
2025-09-09 Liberty Financial Group, Inc. - Global Consolidated Entity O.S.3 Dollar Rolls TBA Financing Pension Fund Yes 4775427492.61 75 - 82 Days Yes 84240259.50 <7 Days Agency MBS 3905500220.00 No T+0 No No Trading
2025-09-09 Liberty Financial Group, Inc. - Global Consolidated Entity O.S.3 Dollar Rolls TBA Financing Other Yes 1354727133.13 Day 27 Yes 502297692.60 7-30 Days Agency MBS 1686827075.25 Yes T+2 Yes No IntS-8016 Funding
2025-09-09 Liberty Capital Markets Inc. O.S.3 Dollar Rolls TBA Financing Debt Issuing SPE Yes 7572207753.45 271 - 364 Days No 588802230.82 7-30 Days Mortgage-Backed Securities 4264717489.91 No T+2 Yes Yes Securities Finance
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing Small Business No 2936037590.37 >= 1 Yr <= 2 Yr No 1999435929.67 31-90 Days Agency MBS 5804510484.35 Yes T+0 No Yes Treasury
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing Broker-Dealer No 2411160771.88 83 - 90 Days No 1867552775.49 31-90 Days Corporate Bonds 6247154436.03 Yes T+2 Yes Yes IntS-4610 Treasury
2025-09-09 Liberty National Bank O.S.3 Dollar Rolls TBA Financing Other No 5422785267.47 Open Yes 1800340976.11 <7 Days Treasuries 4295336260.13 No T+1 No Yes IntS-5954 Funding
2025-09-09 Liberty Financial Group, Inc. - Global Consolidated Entity O.S.3 Dollar Rolls TBA Financing Other Supervised Non-Bank Financial Entity Yes 1426325942.06 Day 39 Yes 845799155.01 31-90 Days Equities 1792201080.45 Yes T+1 Yes No Securities Finance
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.3 Dollar Rolls TBA Financing Bank Yes 1517891983.80 Day 53 No 1926287137.50 <7 Days Treasuries 6240536009.96 No T+2 No Yes Treasury
2025-09-09 Liberty Capital Markets Inc. O.S.3 Dollar Rolls TBA Financing PSE No 5893813522.32 Day 34 Yes 550242509.84 31-90 Days Corporate Bonds 6068854603.07 Yes T+0 No Yes Trading
2025-09-09 Liberty Capital Markets Inc. O.S.3 Dollar Rolls TBA Financing Retail No 4827748265.55 Day 58 Yes 1798358144.73 31-90 Days Equities 1864675917.82 No T+2 Yes Yes Funding
2025-09-09 Liberty Financial Group, Inc. - Global Consolidated Entity O.S.3 Dollar Rolls TBA Financing Retail Yes 6334195530.63 Day 2 No 540552886.35 7-30 Days Equities 4814010517.53 Yes T+0 No No Securities Finance
2025-09-09 Liberty National Bank O.S.3 Dollar Rolls TBA Financing Bank No 7509674715.49 Day 51 No 110626927.59 31-90 Days Treasuries 3882928624.13 Yes T+2 No Yes Trading
2025-09-09 Liberty International Finance Ltd. O.S.3 Dollar Rolls TBA Financing Pension Fund No 3941132922.48 Day 15 No 66815858.67 7-30 Days Mortgage-Backed Securities 6764142354.44 Yes T+1 No No Trading
2025-09-09 Liberty Financial Group, Inc. - Global Consolidated Entity O.S.3 Dollar Rolls TBA Financing MDB Yes 1851331562.87 271 - 364 Days No 298998288.99 31-90 Days Mortgage-Backed Securities 2245431005.80 No T+0 No No Treasury
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing Central Bank Yes 7510128189.52 Day 20 No 1478187968.67 <7 Days Mortgage-Backed Securities 4851649954.87 Yes T+1 Yes Yes Funding
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing PSE No 5048095206.78 Day 31 No 1628787462.38 31-90 Days Corporate Bonds 4527750693.51 Yes T+1 Yes No IntS-5636 Treasury
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.3 Dollar Rolls TBA Financing Other No 4365300851.20 180 - 270 Days No 1570806418.69 <7 Days Agency MBS 6022608806.99 No T+0 Yes No Trading
2025-09-09 Liberty Financial Group, Inc. - Global Consolidated Entity O.S.3 Dollar Rolls TBA Financing Bank No 7358960361.40 Open No 97782599.91 <7 Days Agency MBS 5403206902.18 Yes T+0 Yes No Securities Finance
2025-09-09 Liberty Capital Markets Inc. O.S.3 Dollar Rolls TBA Financing Bank No 4831033388.01 Day 41 Yes 1446112516.67 31-90 Days Treasuries 5405600682.34 No T+1 Yes No Trading
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.3 Dollar Rolls TBA Financing Small Business Yes 1875575786.39 Day 8 No 1315557377.37 7-30 Days Corporate Bonds 6778804743.65 Yes T+0 Yes No Trading
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing Retail Yes 1128913660.28 Day 28 No 373933057.96 <7 Days Equities 4733555927.27 No T+0 Yes No Securities Finance
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing Pension Fund No 6428882789.69 Day 11 Yes 799394983.88 7-30 Days Mortgage-Backed Securities 1592775186.78 Yes T+2 No Yes Funding