The exercise is scheduled to start Tuesday, the agency cited an anonymous source in the South Korean Navy as saying.
The goal of the joint exercise is to improve the detection of intrusions into South Korean territorial waters, according to the source.
South Korean Navy officials have not yet confirmed information about the exercise.
On Saturday, North Korea asked the United States to give up its plans to carry out military exercises on the Korean Peninsula and in its vicinity. In return, the country stated its readiness to put off its nuclear tests temporarily. The United States rejected the offer, saying it was a hidden threat.