Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

On, and off, balance sheet business subject to market risk must equal the sum of its three parts (EBA rule v10099_m)

A warning in the market risk return (FRTB), on template C 90.00, trading book and market risk thresholds (TBT).

Check your file against this ruleWhat to do if it fails

The rule in plain words

On - and off - balance sheet business subject to market risk must equal these three added up:

  • Trading book
  • Positions subject to foreign exchange risk
  • Positions subject to commodities risk

EBA checks it for three rows: month 3, month 2 and month 1. That makes three checks. A failure names the one that failed.

How the Line4 Check report words itShow

The first of its checks, word for word as the report shows it when it fails. The others read the same, with their own column, row or sheet.

Month 3, On - and off - balance sheet business subject to market risk = Month 3, Trading book + Month 3, Positions subject to foreign exchange risk + Month 3, Positions subject to Commodities risk

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Add up the parts in your file and compare the result with the total.
  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
  4. 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
  5. 05It runs only when your filing indicators mark C 90.00 as reported.
  6. 06This is a warning. It does not stop the filing on its own, but your authority may ask you to explain it.

The cells it reads

Trading book and market risk thresholds (TBT) (C 90.00)

Rows

  • 0010Month 3
  • 0020Month 2
  • 0030Month 1

Columns

  • 0010On - and off - balance sheet business subject to market risk
  • 0020Trading book
  • 0050Positions subject to foreign exchange risk
  • 0060Positions subject to Commodities risk

A worked example

The first of its checks, with simple numbers.

Illustrative values
Trading book1,200
Positions subject to foreign exchange risk800
Positions subject to commodities risk450
Together2,450
What the rule then expects

On - and off - balance sheet business subject to market risk must then be 2,450.

2,450Passes
2,550Fails

A file that reports 2,450 passes. One that reports 2,550 fails, by 100.

The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.

Show the rule as writtenShow

EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{C_90.00,r0010,c0010,} = {C_90.00,r0010,c0020,} + {C_90.00,r0010,c0050,} + {C_90.00,r0010,c0060,}

The next two:

{C_90.00,r0020,c0010,} = {C_90.00,r0020,c0020,} + {C_90.00,r0020,c0050,} + {C_90.00,r0020,c0060,}{C_90.00,r0030,c0010,} = {C_90.00,r0030,c0020,} + {C_90.00,r0030,c0050,} + {C_90.00,r0030,c0060,}

Every FRTB rule, by template

Checks like this one, run at the point of submission, are the first step to real-time supervision.