On 14 November 2019, the Basel Committee on Banking Supervision published a consultative document setting out proposed revisions to the Pillar 3 templates for the revised market risk framework to reflect the changes introduced in the January 2019 minimum capital requirements for market risk.

Among other things the Basel Committee consults on the introduction of a “traffic light” approach for capital requirements as a consequence of the outcome of the profit and loss attribution test for banks using the internal models approach. The Basel Committee also proposes a new disclosure template for banks that use the simplified standardised approach.

The deadline for comments on the consultative document is 14 February 2020.