Lily is a cat found on the roof of the Al Kharid palace by the stairs. During Stolen Hearts, she acts as a barricade to block the player and Ozan from entering the 2nd floor[UK]3rd floor[US] of the palace by the stairs. Attempting to do so will result in Ozan telling the player not to because of him "not liking the look that cat is giving him". Lily cannot be found before the quest (as the player cannot access this area) nor can she be found after the quest. As such, Lily is only visible during Stolen Hearts, and the start of Diamond in the Rough.
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