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202101 AssetLiabilityManagement
These worksheets capture actual information on firms’ exposure to IRRBB also known as non-traded market risk (NTMR) on a quarterly basis across the banking book component of the consolidated group balance sheet. Data should be reported for all material currency balances and shown in reporting currency equivalent. Firms are required to form their own view on currency materiality and agree this with the PRA prior to submission. Non material currency balances may be aggregated into the other (OTH) category.