FSS is consulting on revisions to the foreign currency liquidity coverage ratio (LCR) calculation for banks in Korea. The proposal relates to the country specific risk mitigation of high-liquidity assets in calculating foreign-currency LCR. The consultation ends on June 11, 2019.
As per the proposal, when calculating the ratio of foreign currency liquidity coverage ratio, banks must apply a national limit for high-yield foreign currency securities (except for countries with AAA credit rating) for Level 1 assets at 50% and for Level 2A and Level 2B assets at 40%. However, to reduce the burden for domestic banks, the following step-by-step implementation has been proposed:
- January 01, 2020—Level 1: 70%; Level 2A and 2B: 60%
- May 07, 2020—Level 1: 60%; Level 2A and 2B: 50%
- January 2021—Level 1: 50%; Level 2A and 2B: 40%
Comment Due Date: June 11, 2019
Keywords: Asia Pacific, Korea, Banking, Liquidity Risk, LCR, Basel III, FSS
A Consultative Group on Risk Management (CGRM) at the Bank for International Settlements (BIS) published a report that examines incorporation of climate risks into the international reserve management framework.
The European Banking Authority (EBA) published a report that examines the use of certain exemptions included in the large exposures regime under the Capital Requirements Regulation (CRR).
The Bank of England (BoE) issued a communication to firms to provide an update on the progress of the joint data transformation program—which is being led by BoE, the Financial Conduct Authority (FCA), and the industry—for the financial sector in UK.
The European Banking Authority (EBA) published the draft methodology, templates, and template guidance for the European Union-wide stress test in 2023.
The European Banking Authority (EBA) and the European Securities and Markets Authority (ESMA) jointly published the final guidelines on common procedures and methodologies for the supervisory review and evaluation process (SREP) for investment firms.
The Prudential Regulatory Authority (PRA) proposed expectations, via CP8/22, in respect of changes to the instruments or claims that comprise unvested deferred sums awarded to material risk-takers as part of their variable pay.
The European Insurance and Occupational Pensions Authority (EIOPA) published Version 2.7.0 of the Solvency II data point model (DPM) and XBRL taxonomy.
The Office of the Superintendent of Financial Institutions (OSFI) updated the 2023 Basel Capital Adequacy Reporting (BCAR) manual as well as the 2023 BCAR return.
In a letter to the G20 Leaders, ahead of the July 2022 meeting, the Financial Stability Board (FSB) Chair set out an overview of the key work done by FSB.
The Single Resolution Board (SRB) published its resolvability assessment and "heat map" for 2021, updated the operational guidance on implementation of bail-in tool, and issued the annual report for 2021.