13.1 In assessing a firm’s application for permission to use alternative definitions of sensitivities for calculating the own funds requirements of a trading book position under Article 325t(5) of the Market Risk: Advanced Standardised Approach (CRR) Part, the PRA expects firms to:

- provide justification that the resulting sensitivities are appropriate for calculating the own funds requirements of a trading book position; and

- document the circumstances or scenarios under which the results of the alternative definitions of sensitivities might materially differ from those in the PRA rulebook. Firms should have an appropriate process to ensure that if and when those scenarios occur, the resulting sensitivity-based method calculation does not understate risk (when compared to the use of the standard definitions). Firms should periodically update this analysis.