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 Pension Fund Yes 1083253553.04 83 - 90 Days Yes 1232586178.43 7-30 Days Mortgage-Backed Securities 3598787669.75 No T+2 No No Treasury
2025-09-09 Liberty Financial Group, Inc. - Global Consolidated Entity O.S.3 Dollar Rolls TBA Financing Non-Financial Corporate No 5209176379.32 Day 16 Yes 1879419184.29 <7 Days Mortgage-Backed Securities 6505208426.31 Yes T+2 No No Funding
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.3 Dollar Rolls TBA Financing Retail No 7289445782.26 Day 53 No 918331686.14 31-90 Days Equities 2715274831.51 Yes T+2 No No IntS-8106 Securities Finance
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.3 Dollar Rolls TBA Financing Non-Financial Corporate Yes 5726001591.01 Day 28 Yes 332988486.74 31-90 Days Corporate Bonds 3501089073.23 No T+1 Yes Yes IntS-9559 Securities Finance
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing PSE Yes 4800260312.17 Day 30 Yes 657628571.98 31-90 Days Mortgage-Backed Securities 811656450.40 No T+1 No Yes IntS-9541 Funding
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing GSE No 2565229886.39 Day 25 No 893646452.38 31-90 Days Corporate Bonds 2704658119.30 Yes T+0 No No Trading
2025-09-09 Liberty National Bank O.S.3 Dollar Rolls TBA Financing GSE No 3995171901.52 Day 54 No 449039543.27 7-30 Days Mortgage-Backed Securities 5306575151.42 No T+2 Yes Yes IntS-8996 Trading
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing Other No 2101670411.26 Day 43 Yes 200866115.46 31-90 Days Equities 1324548212.97 No T+2 No Yes IntS-8824 Treasury
2025-09-09 Liberty National Bank O.S.3 Dollar Rolls TBA Financing Other Yes 1082569512.29 >= 1 Yr <= 2 Yr Yes 980912640.49 <7 Days Mortgage-Backed Securities 2985454103.80 No T+1 No Yes IntS-8368 Treasury
2025-09-09 Liberty International Finance Ltd. O.S.3 Dollar Rolls TBA Financing GSE No 3585305119.57 Day 36 No 212761406.58 31-90 Days Corporate Bonds 2518994434.36 Yes T+2 Yes No Trading
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing PSE No 7446872307.83 Day 42 Yes 1922813175.28 <7 Days Agency MBS 604021660.68 No T+2 Yes Yes IntS-1499 Treasury
2025-09-09 Liberty Financial Group, Inc. - Global Consolidated Entity O.S.3 Dollar Rolls TBA Financing Debt Issuing SPE Yes 571777724.01 Day 56 Yes 1522973188.55 31-90 Days Corporate Bonds 1961381349.86 Yes T+0 Yes Yes Treasury
2025-09-09 Liberty Financial Group, Inc. - Global Consolidated Entity O.S.3 Dollar Rolls TBA Financing Debt Issuing SPE No 1693583082.93 Day 28 No 1908377204.79 7-30 Days Treasuries 5517719048.30 Yes T+2 No No Funding
2025-09-09 Liberty International Finance Ltd. O.S.3 Dollar Rolls TBA Financing Sovereign Yes 1964880180.03 Day 1 No 300297582.28 7-30 Days Equities 2813851715.76 No T+2 No Yes IntS-3615 Trading
2025-09-09 Liberty Capital Markets Inc. O.S.3 Dollar Rolls TBA Financing Retail Yes 609284523.45 Day 17 No 925608690.49 7-30 Days Equities 2867880691.86 No T+2 No No Treasury
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.3 Dollar Rolls TBA Financing Non-Regulated Fund No 4066775954.98 Day 43 Yes 1768180398.21 31-90 Days Equities 879880576.10 Yes T+2 Yes No IntS-5381 Funding
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.3 Dollar Rolls TBA Financing GSE No 2422578773.12 Day 17 Yes 760172418.08 <7 Days Treasuries 3753072293.99 Yes T+1 No No IntS-6815 Funding
2025-09-09 Liberty Financial Group, Inc. - Global Consolidated Entity O.S.3 Dollar Rolls TBA Financing Bank Yes 6962582916.06 Day 40 No 834051317.89 7-30 Days Treasuries 6495776353.13 Yes T+2 No No IntS-8148 Securities Finance
2025-09-09 Liberty Capital Markets Inc. O.S.3 Dollar Rolls TBA Financing Retail No 7294716435.27 Day 28 Yes 1017052399.19 7-30 Days Equities 4578128707.54 Yes T+1 No No Funding
2025-09-09 Liberty International Finance Ltd. O.S.3 Dollar Rolls TBA Financing Other Supranational No 3070885024.40 Day 53 No 27868683.46 7-30 Days Corporate Bonds 2772384349.93 No T+0 No No Securities Finance
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing Sovereign No 4752927178.83 Day 27 No 245784459.10 7-30 Days Corporate Bonds 74297652.84 Yes T+2 Yes Yes Treasury
2025-09-09 Liberty International Finance Ltd. O.S.3 Dollar Rolls TBA Financing Retail Yes 2440164102.05 Day 32 No 738241712.79 <7 Days Agency MBS 4054002395.73 No T+0 Yes Yes Trading
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.3 Dollar Rolls TBA Financing Other Supranational No 4638145171.06 Day 3 No 1536386435.95 7-30 Days Agency MBS 4170912423.52 No T+1 No Yes Treasury
2025-09-09 Liberty International Finance Ltd. O.S.3 Dollar Rolls TBA Financing Broker-Dealer No 1675526166.26 Day 44 No 1079913349.53 31-90 Days Mortgage-Backed Securities 239658099.51 Yes T+0 Yes No IntS-2860 Funding
2025-09-09 Liberty Mortgage Services Corp. O.S.3 Dollar Rolls TBA Financing Pension Fund No 2384087692.23 Day 8 No 1080901837.17 31-90 Days Corporate Bonds 5154787046.51 No T+2 No Yes IntS-4845 Trading