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
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