Complex Institution Liquidity Monitoring Report OMB Number 7100-0361

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O.S.4: Collateral Swaps

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 National Bank O.S.4 Collateral Swaps Collateral Exchange Other Supranational No 2815793760.40 Day 45 No 1128862913.69 7-30 Days Mortgage-Backed Securities 3735855441.56 Yes T+2 No Yes Trading
2025-09-09 Liberty Financial Group, Inc. - Global Consolidated Entity O.S.4 Collateral Swaps Collateral Exchange Sovereign Yes 3412172209.86 Day 25 Yes 155229577.92 7-30 Days Agency MBS 4707929448.94 No T+0 No Yes IntS-7462 Securities Finance
2025-09-09 Liberty Mortgage Services Corp. O.S.4 Collateral Swaps Collateral Exchange Other Supranational No 3341730278.67 Day 33 Yes 1782835633.19 31-90 Days Agency MBS 339326060.33 Yes T+0 No No Treasury
2025-09-09 Liberty International Finance Ltd. O.S.4 Collateral Swaps Collateral Exchange Small Business No 1631640933.24 Day 1 No 781564049.38 31-90 Days Corporate Bonds 2371927571.17 No T+0 Yes No IntS-6917 Securities Finance
2025-09-09 Liberty Mortgage Services Corp. O.S.4 Collateral Swaps Collateral Exchange Other Supranational Yes 5022352367.45 >5 Yr Yes 1951749883.89 31-90 Days Mortgage-Backed Securities 4460511189.78 Yes T+0 Yes No Treasury
2025-09-09 Liberty Mortgage Services Corp. O.S.4 Collateral Swaps Collateral Exchange Debt Issuing SPE No 4839102907.96 Day 28 Yes 1235897138.03 <7 Days Treasuries 4657998077.43 Yes T+2 Yes Yes Trading
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.4 Collateral Swaps Collateral Exchange Small Business Yes 6606127410.04 271 - 364 Days Yes 479757162.58 <7 Days Mortgage-Backed Securities 5073284526.68 Yes T+0 No No IntS-1002 Trading
2025-09-09 Liberty International Finance Ltd. O.S.4 Collateral Swaps Collateral Exchange Non-Financial Corporate Yes 5565865794.88 Day 36 Yes 304218001.74 31-90 Days Corporate Bonds 2576801208.68 No T+2 No No IntS-2871 Treasury
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.4 Collateral Swaps Collateral Exchange Debt Issuing SPE Yes 5395053747.12 Day 28 Yes 133717860.18 31-90 Days Corporate Bonds 436182773.62 No T+2 No Yes IntS-6626 Funding
2025-09-09 Liberty Mortgage Services Corp. O.S.4 Collateral Swaps Collateral Exchange Central Bank Yes 8169094056.43 Day 44 Yes 747458634.59 <7 Days Equities 1961479601.68 No T+0 Yes Yes IntS-5184 Securities Finance
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.4 Collateral Swaps Collateral Exchange Investment Company or Advisor Yes 4623745992.66 Day 22 Yes 1085957742.84 <7 Days Mortgage-Backed Securities 929490202.98 No T+0 Yes No Funding
2025-09-09 Liberty International Finance Ltd. O.S.4 Collateral Swaps Collateral Exchange Other No 6307436340.68 Day 53 Yes 1294007950.84 <7 Days Treasuries 1529264247.57 No T+2 Yes Yes Securities Finance
2025-09-09 Liberty National Bank O.S.4 Collateral Swaps Collateral Exchange Bank Yes 5282017257.77 Day 31 No 543564307.28 31-90 Days Mortgage-Backed Securities 2806565279.17 No T+0 Yes No IntS-3203 Trading
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.4 Collateral Swaps Collateral Exchange GSE No 4264015440.23 Day 5 No 1415337538.97 <7 Days Treasuries 1979177257.31 No T+0 No Yes Securities Finance
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.4 Collateral Swaps Collateral Exchange Sovereign Yes 8712437305.37 Day 32 No 1777055275.69 31-90 Days Treasuries 4222874705.76 No T+0 No Yes IntS-6227 Treasury
2025-09-09 Liberty International Finance Ltd. O.S.4 Collateral Swaps Collateral Exchange PSE No 5345456921.92 Day 34 No 962217519.18 7-30 Days Mortgage-Backed Securities 4040811458.14 No T+1 No Yes IntS-8630 Treasury
2025-09-09 Liberty International Finance Ltd. O.S.4 Collateral Swaps Collateral Exchange Financial Market Utility Yes 6652994963.26 Perpetual No 1550596972.53 7-30 Days Mortgage-Backed Securities 4468889883.90 Yes T+1 No No Treasury
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.4 Collateral Swaps Collateral Exchange Small Business No 16834544.90 68 - 74 Days No 10589378.85 31-90 Days Mortgage-Backed Securities 2668898552.46 Yes T+2 Yes No Funding
2025-09-09 Liberty Financial Group, Inc. - Global Consolidated Entity O.S.4 Collateral Swaps Collateral Exchange Financial Market Utility No 5548338721.48 Day 6 Yes 1011010887.33 7-30 Days Corporate Bonds 1240946202.32 No T+2 Yes No Treasury
2025-09-09 Liberty International Finance Ltd. O.S.4 Collateral Swaps Collateral Exchange GSE Yes 1396258346.88 Day 24 No 207109962.80 7-30 Days Mortgage-Backed Securities 3679730769.74 Yes T+0 No Yes Treasury
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.4 Collateral Swaps Collateral Exchange Central Bank No 8034555456.69 180 - 270 Days No 794101753.78 <7 Days Corporate Bonds 5607650043.65 Yes T+0 Yes No Treasury
2025-09-09 Liberty International Finance Ltd. O.S.4 Collateral Swaps Collateral Exchange Central Bank Yes 4034872710.15 Day 43 Yes 31462814.60 7-30 Days Corporate Bonds 2786659118.34 Yes T+2 Yes Yes IntS-9132 Funding
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.4 Collateral Swaps Collateral Exchange Non-Financial Corporate Yes 277815421.39 Day 42 Yes 133182414.64 <7 Days Corporate Bonds 600145120.47 Yes T+1 No Yes Treasury
2025-09-09 Liberty Financial Group, Inc. - Parent Company Only O.S.4 Collateral Swaps Collateral Exchange Investment Company or Advisor No 6728617581.44 Day 25 No 1115414775.53 <7 Days Equities 713428997.06 Yes T+2 Yes No Trading
2025-09-09 Liberty Capital Markets Inc. O.S.4 Collateral Swaps Collateral Exchange Non-Regulated Fund No 1395858607.65 Day 11 No 374876342.88 31-90 Days Mortgage-Backed Securities 688940757.67 No T+2 Yes Yes Securities Finance