FSS Consults on Revisions to Liquidity Coverage Ratio Calculation

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