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
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund No 2670.17 >= 1 Yr <= 2 Yr Yes 125.72 <7 Days LC-1 2609.95 Yes T+2 Yes Yes Liberty International Finance Ltd. Trading
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund No 833.23 >= 1 Yr <= 2 Yr No 31.38 7-30 Days LC-2 835.93 Yes T+2 No Yes Liberty International Finance Ltd. Securities Finance
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund Yes 7263.03 >= 1 Yr <= 2 Yr Yes 86.49 7-30 Days N-1 6829.38 No T+2 Yes No Funding
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund Yes 4933.55 >= 1 Yr <= 2 Yr No 201.38 <7 Days N-2 5199.57 No T+0 Yes Yes Liberty Mortgage Services Corp. Securities Finance
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund Yes 25888.97 >= 1 Yr <= 2 Yr No 1195.43 7-30 Days N-3 27990.20 Yes T+2 Yes Yes Liberty Capital Markets Inc. Trading
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund No 23104.35 >= 1 Yr <= 2 Yr Yes 831.71 7-30 Days N-4 24942.85 No T+2 No No Trading
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund Yes 36464.77 >= 1 Yr <= 2 Yr Yes 907.59 31-90 Days N-5 38946.06 No T+1 No No Trading
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund No 33347.20 >= 1 Yr <= 2 Yr No 1519.01 <7 Days N-6 36352.00 No T+0 No Yes Liberty International Finance Ltd. Trading
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund No 39092.26 >= 1 Yr <= 2 Yr Yes 1484.89 7-30 Days N-7 40745.53 Yes T+2 No No Trading
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund No 7832.03 >= 1 Yr <= 2 Yr Yes 239.88 7-30 Days P-1 7447.96 No T+2 Yes Yes Liberty Mortgage Services Corp. Trading
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund No 1632.81 >= 1 Yr <= 2 Yr No 78.46 7-30 Days P-2 1587.04 Yes T+0 No Yes Liberty Capital Markets Inc. Funding
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund Yes 29629.04 >= 1 Yr <= 2 Yr No 688.22 7-30 Days S-8 30159.05 Yes T+2 No No Funding
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund Yes 28618.45 >= 1 Yr <= 2 Yr Yes 277.08 7-30 Days Y-1 25818.30 Yes T+1 Yes No Trading
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund Yes 7789.08 >= 1 Yr <= 2 Yr No 166.11 7-30 Days Y-2 8343.24 No T+0 No No Funding
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund No 16034.69 >= 1 Yr <= 2 Yr No 67.86 7-30 Days Y-3 17088.64 Yes T+2 No No Funding
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund Yes 18014.03 >= 1 Yr <= 2 Yr No 664.57 <7 Days Y-4 19132.59 Yes T+1 Yes Yes Liberty International Finance Ltd. Treasury
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund No 35562.99 >= 1 Yr <= 2 Yr No 1608.71 7-30 Days Z-1 35192.11 No T+2 No No Funding
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund No 3121.16 >= 1 Yr <= 2 Yr No 0.42 31-90 Days A-2 2879.82 No T+2 Yes Yes Liberty International Finance Ltd. Treasury
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund No 42513.79 >= 1 Yr <= 2 Yr No 957.78 31-90 Days A-3 44474.79 No T+2 No No Trading
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund Yes 19964.08 >= 1 Yr <= 2 Yr No 104.09 <7 Days A-4 21074.76 Yes T+0 Yes No Trading
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund No 20722.03 >= 1 Yr <= 2 Yr Yes 239.91 31-90 Days A-5 20835.51 Yes T+0 No Yes Liberty Mortgage Services Corp. Trading
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund Yes 10114.91 >= 1 Yr <= 2 Yr Yes 262.28 <7 Days CB-1 10244.38 No T+2 Yes No Funding
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund Yes 22249.11 >= 1 Yr <= 2 Yr No 816.97 7-30 Days CB-2 23155.66 Yes T+1 Yes Yes Liberty Capital Markets Inc. Securities Finance
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund No 39643.77 >= 1 Yr <= 2 Yr Yes 1345.55 7-30 Days CB-3 39393.73 No T+1 Yes No Securities Finance
2025-10-13 Liberty National Bank O.S.4 Collateral Swaps Non-Regulated Fund No 15963.14 >= 1 Yr <= 2 Yr No 14.95 31-90 Days E-1 15183.52 Yes T+2 No Yes Liberty Mortgage Services Corp. Treasury