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    FSS Consults on Revisions to Liquidity Coverage Ratio Calculation

    May 03, 2019

    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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