Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Sensitivity-based method, medium correlation scenario: total must equal curvature risk plus vega risk plus delta risk (EBA rule v903199_h)

A warning in the market risk return (FRTB), on template C 91.00, alternative standardised approach: Summary (mkr ASA sum).

Check your file against this ruleWhat to do if it fails

The rule in plain words

For sensitivity-based method, medium correlation scenario: total must equal these three added up:

  • Curvature risk
  • Vega risk
  • Delta risk

EBA checks it for eight rows: total (alternative standardised approach), general interest rate risk (GIRR), credit spread risk for non-securitisations (CSR), credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR), credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR), equity risk (EQU), commodity risk (COM) and foreign exchange risk (FX). That makes eight 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.

General interest rate risk (GIRR), Total = General interest rate risk (GIRR), Curvature Risk + General interest rate risk (GIRR), Vega Risk + General interest rate risk (GIRR), Delta 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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 91.00 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

Alternative standardised approach: Summary (mkr ASA sum) (C 91.00)

Rows

  • 0010Total (Alternative standardised approach)
  • 0020General interest rate risk (GIRR)
  • 0030Credit spread risk for non-securitisations (CSR)
  • 0040Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR)
  • 0050Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR)
  • 0060Equity risk (EQU)
  • 0070Commodity risk (COM)
  • 0080Foreign exchange risk (FX)

Columns

  • 0080Delta Risk
  • 0090Vega Risk
  • 0100Curvature Risk
  • 0110Total

A worked example

The first of its checks, with simple numbers.

Illustrative values
Curvature risk1,200
Vega risk800
Delta risk450
Together2,450
What the rule then expects

Total 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_91.00,r0020,c0110,} = {C_91.00,r0020,c0100,} + {C_91.00,r0020,c0090,} + {C_91.00,r0020,c0080,}

The next five:

{C_91.00,r0010,c0110,} = {C_91.00,r0010,c0100,} + {C_91.00,r0010,c0090,} + {C_91.00,r0010,c0080,}{C_91.00,r0060,c0110,} = {C_91.00,r0060,c0100,} + {C_91.00,r0060,c0090,} + {C_91.00,r0060,c0080,}{C_91.00,r0070,c0110,} = {C_91.00,r0070,c0100,} + {C_91.00,r0070,c0090,} + {C_91.00,r0070,c0080,}{C_91.00,r0040,c0110,} = {C_91.00,r0040,c0100,} + {C_91.00,r0040,c0090,} + {C_91.00,r0040,c0080,}{C_91.00,r0080,c0110,} = {C_91.00,r0080,c0100,} + {C_91.00,r0080,c0090,} + {C_91.00,r0080,c0080,}

And 2 more, the same formula for the other cells it covers.

Every FRTB rule, by template

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