LM-1 Regulatory Framework for Supervision of Liquidity Risk

SPM-SGL Email: [SPM TEST] LM-1 (management-summary-v1)

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Document Information

Title: LM-1 Regulatory Framework for Supervision of Liquidity Risk

Type: SPM-SGL

URL: https://brdr.hkma.gov.hk/eng/doc-ldg/spm/current/LM-1

Email Received: 2026-03-03 06:01

Summary Created: 2026-03-03 06:01

English Summary (9158 chars)
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Management Summary
  • Purpose / Background: This document, LM-1 version 5, updates the Monetary Authority's (MA) guidance on the regulatory framework for supervising liquidity risk for Authorized Institutions (AIs). It clarifies the application of statutory liquidity requirements including the Liquidity Coverage Ratio (LCR), Liquidity Maintenance Ratio (LMR), Net Stable Funding Ratio (NSFR), and Core Funding Ratio (CFR). The objective is to enhance AI resilience to liquidity stress and maintain overall banking stability.
  • Key Changes: This version is an update of the previous LM-1 V.4 dated 13.12.2024. Specific details of changes are not explicitly outlined in the provided text but are indicated by the version update. The document details various liquidity ratios and their application, including new sections on NSFR and CFR, and elaborates on the treatment of cryptoassets.
  • Key Dates: The document is effective from 19.12.2025, indicating a future implementation or review date. Previous versions of LCR and NSFR came into operation in 2015 and 2018 respectively.
  • Impact on institutions: All AIs are subject to these guidelines. Category 1 institutions must adhere to LCR and NSFR, while Category 2 institutions are subject to LMR and Category 2A institutions to CFR. The updated framework impacts how AIs manage liquidity, calculate ratios, and report to the MA, particularly concerning new asset classes like cryptoassets and the application of ratios on various bases (Hong Kong office, unconsolidated, consolidated).
  • Recommended management actions (3-7 bullets):
  • Review and understand the updated LM-1 V.5, paying close attention to the specific liquidity ratio requirements applicable to the institution's category (Category 1, 2, or 2A).
  • Ensure internal liquidity risk management policies and systems are aligned with the latest regulatory framework, including updated definitions and calculation methodologies.
  • Implement robust processes for the calculation and reporting of LCR, LMR, NSFR, and CFR, ensuring accuracy and timeliness.
  • Assess the impact of new asset classes, such as cryptoassets, on liquidity risk management and reporting, adhering to the specific guidance provided.
  • Proactively monitor liquidity positions against both regulatory minimums and internal targets, establishing sufficient buffers.
  • Maintain clear and proactive communication channels with the MA regarding any anticipated or actual liquidity events or breaches of requirements.
  • Ensure compliance with the updated liquidity disclosure standards as per the Banking (Disclosure) Rules.
Detailed Summary
  1. Document overview
    This document, Supervisory Policy Manual (SPM) module LM-1, version 5, dated 19.12.2025, provides guidance to Authorized Institutions (AIs) on the application of the Banking (Liquidity) Rules (BLR) and the Monetary Authority's (MA) framework for supervising liquidity risk. It supersedes LM-1 V.4 dated 13.12.2024. The module outlines the MA's approach to supervising liquidity risk and sets out statutory liquidity requirements, including the Liquidity Coverage Ratio (LCR), Liquidity Maintenance Ratio (LMR), Net Stable Funding Ratio (NSFR), and Core Funding Ratio (CFR). It also details notification requirements, supervisory responses, and the importance of internal liquidity targets.
  1. Main requirements (grouped by topic)
  • Liquidity Risk Management: AIs must maintain adequate liquidity and implement sound systems and controls for liquidity risk management to promote resilience against liquidity stress.
  • Statutory Liquidity Requirements:
  • Liquidity Coverage Ratio (LCR): For Category 1 institutions, a ratio of High Quality Liquid Assets (HQLA) to total net cash outflows over 30 days. Minimum levels increased progressively from 60% in 2015 to 100% in 2019 and after.
  • Liquidity Maintenance Ratio (LMR): For Category 2 institutions, a ratio of liquefiable assets to qualifying liabilities (after deductions) over a calendar month. Minimum requirement is 25% on average each month.
  • Net Stable Funding Ratio (NSFR): For Category 1 institutions, a ratio of available stable funding (ASF) to required stable funding (RSF). Institutions must maintain an NSFR of not less than 100% at all times, unless self-rectification provisions apply.
  • Core Funding Ratio (CFR): For Category 2A institutions, a ratio of available core funding (ACF) to required core funding (RCF). Minimum requirements are 50% on average monthly in 2018, and 75% on average monthly from 1 January 2019.
  • Implementation Basis: Statutory liquidity ratios must be calculated on a Hong Kong office basis. Hong Kong incorporated AIs with overseas branches must also calculate on an unconsolidated basis. Locally incorporated AIs with associated entities may be required to calculate on a consolidated basis. The MA may also require calculations on a specially tailored basis in exceptional circumstances.
  • Notification of Liquidity Events: AIs must notify the MA of anticipated changes that could lead to a failure to meet liquidity ratios, or of specific "relevant liquidity events" (e.g., failure to meet minimum ratio requirements, monetization of HQLA under stress). Immediate notification is required for certain events.
  • Supervisory Responses: The MA may require remedial action under §97J of the BO for contraventions of the BLR, including improving liquidity positions and rectifying management problems. More serious measures may be taken to protect depositors and maintain banking system stability.
  • Internal Targets and Limits: AIs are expected to set internal targets for liquidity ratios with a buffer above regulatory minimums. These targets must be reviewed and approved by the board at least annually.
  • Cryptoasset Treatment: Specific guidance is provided for the treatment of cryptoasset exposures under LCR, LMR, NSFR, and CFR, including conditions for recognizing tokenized assets as HQLA and rules for stablecoins and other cryptoassets.
  1. Key changes (vs previous requirements)
    This document is version 5, indicating an update from version 4 (dated 13.12.2024). While the specific changes are not detailed in the provided excerpts, updates typically involve refinements to existing rules, clarifications on definitions, or new guidance on emerging risks and asset classes. The inclusion of detailed sections on NSFR and CFR, as well as extensive guidance on cryptoasset treatments, suggests these areas have been significantly elaborated or introduced in recent versions.
  1. Important dates & transition
  • The document is dated 19.12.2025, implying this is the effective date or review date for this version.
  • LCR came into operation from 1 January 2015.
  • NSFR came into operation from 1 January 2018.
  • CFR: 50% monthly average in 2018, 75% monthly average from 1 January 2019.
  1. Applicability & impact scope
  • Applicability: All Authorized Institutions (AIs).
  • Impact Scope:
  • Category 1 Institutions: Subject to LCR and NSFR.
  • Category 2 Institutions: Subject to LMR.
  • Category 2A Institutions: Subject to CFR.
    The requirements apply on Hong Kong office basis, unconsolidated basis, and potentially consolidated basis, depending on the AI's structure and MA requirements. The updated framework will impact how all AIs calculate, monitor, report, and manage their liquidity positions.
  1. Compliance action checklist (practical steps)
  • Review Applicability: Confirm the AI's category (1, 2, or 2A) and identify the applicable statutory liquidity ratios.
  • Understand Ratio Mechanics: Familiarize with the calculation methodologies for LCR, LMR, NSFR, and/or CFR as per the BLR and this module.
  • Update Data and Systems: Ensure systems can accurately capture and process data for all required liquidity ratio calculations, including any specific treatments for cryptoassets or other complex instruments.
  • Monitor Compliance: Continuously monitor liquidity ratios against statutory minimums and internal targets. Implement early warning systems for potential breaches.
  • Reporting Procedures: Ensure timely and accurate submission of required returns (e.g., MA(BS)1E, MA(BS)26) to the MA.
  • Notification Protocols: Establish clear procedures for promptly notifying the MA of any liquidity events or anticipated breaches.
  • Internal Governance: Ensure board and senior management oversight of liquidity risk management, including annual review and approval of internal liquidity targets.
  • Disclosure Compliance: Prepare and publish required liquidity disclosures in accordance with the Banking (Disclosure) Rules and relevant templates.
  1. Attachments/appendices note (if any, 1-3 lines only)
  • Annex 1 provides guidance on assets considered "free from encumbrances" for LCR, LMR, and NSFR.
  • Annex 2 details the treatment of Residential Mortgage-Backed Securities (RMBS) under LCR, LMR, and NSFR, requiring MA approval for inclusion.
  • Annex 3 offers guidance on the treatment of cryptoasset exposures under LCR, LMR, NSFR, and CFR.
中文摘要 (4095 chars)
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管理層摘要

（管理層摘要，繁體中文，<= 800 字。要讓管理層 1-2 分鐘讀完就抓到重點，適合直接做 PPT）

  • 目的/背景：
    本文件（SPM-SGL LM-1 V.5）旨在更新香港金融管理局（HKMA）對認可機構（AIs）監管流動性風險的框架。主要目標是提升機構及整體銀行體系的流動性抵禦能力，確保其能應對流動性壓力。
  • 關鍵變化：
    本次更新（V.5）對原有流動性風險監管框架進行了修訂，雖然文件未明確列出 V.4 至 V.5 的具體變動，但從結構和內容來看，可能包含了對現有監管指標（LCR, LMR, NSFR, CFR）的應用細節、分類標準、通知義務以及監管回應的最新指引。特別是，新增了對加密資產（cryptoassets）在流動性風險框架下的處理指引，以及對資產「無押品」（free from encumbrances）定義的進一步闡述。
  • 關鍵日期：
    文件標示的生效日期為 2025 年 12 月 19 日。
  • 對機構影響：
    所有認可機構（AIs）均需遵守此監管框架。主要影響包括：
  1. 合規要求： 需確保其流動性風險管理體系符合 HKMA 的最新要求，並遵守各項法定流動性比率（LCR, LMR, NSFR, CFR）的計算和報告規定。
  2. 數據與報告： 需按時提交相關流動性監測報告（如 MA(BS)1E, MA(BS)26 等），並準備好在需要時提供額外數據。
  3. 風險管理： 需審慎管理其流動性風險，設立內部目標和限制，並制定適當的系統和控制措施。
  4. 加密資產納入： 對於持有加密資產的機構，需按照文件指引進行分類和處理，這將影響其流動性緩衝和資金要求。
  5. 披露要求： 需根據銀行（披露）規則（BDR）及相關指引，定期披露流動性風險相關資訊。
  • 管理層建議行動（3-7 点）：
  1. 全面審閱更新指引： 立即組織相關部門（風險管理、財務、合規）仔細閱讀並理解 SPM-SGL LM-1 V.5 的所有內容，特別是關於 LCR, LMR, NSFR, CFR 的最新應用細節，以及加密資產的處理方法。
  2. 評估對現有系統與流程的影響： 檢視現有的流動性風險管理系統、計算模型及報告流程，評估是否需要進行調整以符合 V.5 版本的要求，特別是針對加密資產的處理。
  3. 更新內部政策與程序： 根據最新指引，及時更新內部流動性風險管理政策、操作手冊及相關報告範本。
  4. 加強相關人員培訓： 確保負責流動性風險管理、數據匯總與報告的關鍵人員充分理解最新的監管要求，特別是加密資產的分類與計算方法。
  5. 審核加密資產策略： 若機構持有或計劃持有加密資產，應重新評估其在流動性風險管理中的地位，確保其處理方式符合 V.5 版本指引，並與風險偏好保持一致。
  6. 定期監測與內部目標設定： 確保根據最新指引設立或調整內部流動性目標，並進行定期監測，以保持充足的緩衝空間。
  7. 確保及時報告： 嚴格遵守關於流動性事件的通知義務，確保在出現任何可能影響流動性狀況的事件時，能及時、準確地向 HKMA 報告。
詳細摘要

（詳細摘要，繁體中文，建议用清晰标题与分点，聚焦正文；保留关键数字/门槛/比例/金额/定义/引用）

  1. 文档概述
    本文件（Supervisory Policy Manual LM-1, V.5 – 19.12.2025）是香港金融管理局（HKMA）根據《銀行條例》§7(3) 發布的一項法定監管指引，旨在為認可機構（AIs）提供關於流動性風險監管框架的指引。此版本取代了 V.4 版本（2024年12月13日發布）。本文件適用於所有認可機構（AIs）。
  1. 主要內容與要求（按主題分點）
  • 流動性風險定義與重要性： 流動性風險是指機構無法按時履行義務而不承受不可接受損失的風險。穩健的流動性風險管理對機構的生存和整體銀行穩定至關重要。
  • 監管框架：
  • 法定流動性比率：
  • 流動性覆蓋比率 (LCR)： 適用於第一類機構，衡量高質量流動資產（HQLA）對未來30天總淨現金流出的比率。
  • 流動性維持比率 (LMR)： 適用於第二類機構，衡量可變現資產對合格負債（扣除後）的比率。
  • 淨穩定資金比率 (NSFR)： 適用於第一類機構，衡量可獲得的穩定資金對所需穩定資金的比率。
  • 核心資金比率 (CFR)： 適用於部分被指定為第二A類機構的第二類機構，是 NSFR 的本地化修改版本。
  • 監管方法： HKMA 採用基於風險的監管方法，透過離岸審查、現場檢查和審慎會議等方式，評估機構的流動性狀況和風險管理系統。
  • 數據匯總與報告： 機構需定期提交特定報告，包括：MA(BS)1E (流動性狀況報告，涵蓋 LCR/LMR)、MA(BS)26 (穩定資金狀況報告，涵蓋 NSFR/CFR)、MA(BS)22 (日內流動性狀況報告)、MA(BS)23 (流動性監測工具報告)、MA(BS)18 (壓力測試數據報告)。
  • 特定資產與負債的處理：
  • 高質量流動資產 (HQLA)： 包括 Level 1, Level 2A, Level 2B 資產，需滿足無押品要求。
  • 加密資產 (Cryptoassets)： 文件提供了對加密資產在 LCR, LMR, NSFR, CFR 下的處理指引，包括其作為 HQLA 的資格、以及在現金流出和穩定資金計算中的應用。
  • 計算基礎： 法定流動性比率需按「香港辦事處基礎」、「非合併基礎」及「合併基礎」計算。
  • 流動性事件通知與監管回應： 機構有義務就特定流動性事件（如未能達標、預期未能達標等）立即通知 HKMA。HKMA 可據此採取適當的監管措施，包括要求採取補救行動。
  • 內部目標與限制： 機構應設立高於監管最低要求的內部流動性目標，並由董事會（或同等委員會）至少每年審核批准。
  • 流動性披露標準： 機構需按照銀行（披露）規則（BDR）及標準披露模板，定期披露流動性風險管理資訊及流動性比率。
  1. 關鍵變化（對比舊要求/舊政策）
  • 本文件為 V.5 版本，取代 V.4 版本（2024年12月13日）。具體變化的詳細對比未在摘要內容中提供，但通常此類更新會涉及對現有規則的細化、補充或修正，例如：
  • 可能對 LCR, LMR, NSFR, CFR 的計算方法、合格資產/負債的定義進行微調。
  • 可能更新或新增對特定金融產品（如加密資產）的處理指引。
  • 可能調整通知義務的時限或內容。
  • 可能更新對機構類別（如第一類、第二A類）的定義或適用範圍。
  • 增加對「無押品」資產定義的闡述，特別是針對證券融資交易或衍生品合約。
  1. 重要日期與過渡安排
  • 生效日期： 2025 年 12 月 19 日。
  • 舊準則廢止： LM-1 “Regulatory Framework for Supervision of Liquidity Risk” (V.4) dated 13.12.2024 is superseded.
  1. 影響範圍與適用對象
  • 適用對象： 所有認可機構 (AIs)。
  • 影響範圍： 所有認可機構的流動性風險管理、合規報告、數據計算、內部控制及信息披露等方面。
  1. 合規動作清單（可執行步驟）
  2. 審閱與理解： 仔細閱讀 SPM-SGL LM-1 V.5 文件，理解其所有要求，特別是關於 LCR, LMR, NSFR, CFR 的最新規定、加密資產的處理，以及所有類別機構的通知義務。
  3. 系統評估與調整： 評估現有流動性風險管理和報告系統是否能準確計算和報告 V.5 版本要求的所有指標，特別是涉及加密資產時。如有不足，需規劃系統升級或開發。
  4. 更新內部政策與程序： 根據 V.5 版本的要求，修訂機構的流動性風險管理政策、操作指引、計算方法和報告流程。
  5. 數據收集與分析： 確保能收集所有必需的數據，特別是涉及加密資產的數據，以便準確計算和分析流動性比率。
  6. 人員培訓： 對風險、財務、合規及 IT 等相關部門的員工進行培訓，確保其了解和能執行 V.5 版本的所有要求。
  7. 監測與報告： 建立或強化對法定流動性比率的持續監測機制，確保按時、準確地提交 MA(BS)1E、MA(BS)26 等報告。
  8. 通知義務準備： 清晰識別所有可能觸發通知義務的流動性事件，並建立快速、可靠的內部通知和向 HKMA 報告的機制。
  9. 內部目標設定與審核： 確保內部流動性目標設定符合 V.5 版本指引，並完成董事會的年度審核。
  10. 披露準備： 按照 BDR 及本文件要求，準備定期流動性披露。
  1. 附件/附錄概述（若有，僅 1-3 行）
  • Annex 1: 闡述 LCR, LMR, NSFR 下，被視為「無押品」（free from encumbrances）的資產的處理細則。
  • Annex 2: 詳細說明 RMBS（住宅按揭抵押證券）在 LCR, LMR, NSFR 下作為合格資產的認可標準與申請流程。
  • Annex 3: 提供關於加密資產（cryptoasset）在 LCR, LMR, NSFR, CFR 下的處理指引。