LM-1 Regulatory Framework for Supervision of Liquidity Risk

SPM-SGL Email: [PROMPT_TEST:management-summary-v2] LM-1 Regulatory Framework for Supervision of Liquidity Risk

Back to Summaries PDF Original Document
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: 2026-03-04 10:44

Summary Created: 2026-03-04 10:44

English Summary (12117 chars)
Quick section switch
Management Summary
  • Purpose / Background: This document, LM-1 version 5, updates the HKMA's regulatory framework for supervising liquidity risk for Authorized Institutions (AIs). It provides guidance on applying the Banking (Liquidity) Rules (BLR) and outlines the HKMA's supervisory approach, ensuring AI resilience and banking system stability.
  • One-line conclusion (what changed / what needs to be done): The HKMA has updated its liquidity risk supervision framework, reinforcing existing requirements for LCR, LMR, NSFR, and CFR, with enhanced guidance on cryptoasset treatment and encumbered assets. AIs must ensure ongoing compliance with these ratios and adapt to new details on cryptoasset recognition and HQLA/liquefiable asset encumbrance.
  • Key Changes (3-8 bullets):
  • Updated guidance on the treatment of cryptoassets under LCR, LMR, NSFR, and CFR, including specific criteria for recognition as HQLA and treatment of related liabilities.
  • Detailed clarifications on the definition and treatment of "free from encumbrances" for assets under LCR, LMR, and NSFR, including specific encumbrance orders when drawing on liquidity facilities.
  • Reinforced requirements for the classification and recognition of Residential Mortgage-Backed Securities (RMBS) as Level 2B assets under LCR and as liquefiable assets under LMR, requiring MA approval and adherence to strict qualifying criteria.
  • Maintained the existing structure for statutory liquidity ratios: LCR and NSFR for Category 1 institutions, and LMR and CFR for Category 2/2A institutions.
  • Continued emphasis on the importance of sound liquidity risk management systems and controls beyond mere compliance with ratio requirements.
  • Updated version number and effective date for the framework.
  • Key Dates / Deadlines:
  • This document (V.5) is effective from 19.12.2025.
  • LCR has been in operation since 1 January 2015.
  • NSFR has been in operation since 1 January 2018.
  • CFR minimum requirement of 75% applies from 1 January 2019.
  • Applicability / Impact scope: This framework applies to all Authorized Institutions (AIs) in Hong Kong. It particularly impacts Category 1 institutions (subject to LCR and NSFR) and Category 2/2A institutions (subject to LMR and CFR).
  • Recommended management actions (3-7 actionable bullets):
  • Review and update internal policies and procedures to align with the latest guidance in LM-1 V.5, particularly concerning cryptoassets and encumbered assets.
  • Ensure that all relevant staff are trained on the updated liquidity risk framework, including the specifics of cryptoasset treatment and HQLA/liquefiable asset encumbrance.
  • Verify compliance with minimum LCR (100%), LMR (25%), NSFR (100%), and CFR (75%) requirements as of the effective date.
  • Assess and ensure the adequacy of systems and controls for calculating and reporting liquidity ratios, considering the potential impact of new guidance.
  • Obtain MA approval for any RMBS intended for recognition as HQLA or liquefiable assets, ensuring all qualifying criteria are met.
  • Strengthen internal targets and buffers above regulatory minimums, as advised, to ensure a "safety cushion."
  • Regularly review the internal liquidity ratio targets, with board approval, based on historical trends and risk profiles.
Detailed Summary
  1. Document overview (nature, purpose, scope)
    The document, "LM-1 Regulatory Framework for Supervision of Liquidity Risk V.5," is a statutory guideline issued by the Monetary Authority (MA) under the Banking Ordinance. Its purpose is to provide Authorized Institutions (AIs) with guidance on applying the Banking (Liquidity) Rules (BLR) and to outline the MA's approach to supervising their liquidity risk. The scope covers all AIs and details the 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 covers the MA's supervisory approach, notification obligations, and internal targets.
  1. Main requirements (group by topic; state what must be done)
  • Statutory Liquidity Ratios:
  • LCR (Category 1 Institutions): Maintain a minimum of 100% LCR from 2019 onwards. This ratio measures High-Quality Liquid Assets (HQLA) against total net cash outflows over 30 days.
  • LMR (Category 2 Institutions): Maintain a minimum of 25% LMR on average per calendar month. This ratio compares liquefiable assets to qualifying liabilities (after deductions).
  • NSFR (Category 1 Institutions): Maintain a minimum of 100% NSFR at all times, unless self-rectification provisions apply. This ratio compares available stable funding (ASF) to required stable funding (RSF).
  • CFR (Category 2A Institutions): Maintain a minimum of 75% CFR on average per calendar month from 1 January 2019. This ratio compares available core funding (ACF) to required core funding (RCF).
  • Calculation Bases: AIs must calculate applicable ratios on a Hong Kong office basis. Locally incorporated AIs with overseas branches must also calculate on an unconsolidated basis (covering all business), unless exempted by the MA. Locally incorporated AIs with associated entities may be required to calculate on a consolidated basis. The MA can also require calculations on a specially tailored basis.
  • Notification of Liquidity Events: AIs must notify the MA of anticipated changes that may cause failure to meet minimum ratio requirements. Relevant liquidity events, such as failure to meet minimum ratios or taking actions that could lead to such failure, must be immediately reported.
  • Internal Targets and Limits: AIs must set internal targets for liquidity ratios, incorporating a "safety cushion" above regulatory minimums. These targets must be reviewed and approved by the board (or a board-level committee) at least annually.
  • Cryptoasset Treatment: Cryptoassets can be recognized as HQLA only if they are Group 1a cryptoassets (tokenised traditional assets meeting specific criteria), and all relevant BLR requirements are met. Guidance is provided on treating liabilities from issued cryptoassets and holding cryptoassets issued by other entities.
  • Encumbered Assets: Assets must be "free from encumbrances" to be included as HQLA or liquefiable assets. Specific order of encumbrance applies when drawing on liquidity facilities from the MA, central banks, or PSEs. For NSFR, encumbered assets may be subject to higher RSF factors depending on the duration of encumbrance.
  1. Key changes (vs previous requirements)
    This version (V.5) primarily introduces updated and more detailed guidance rather than fundamental changes to the core ratios or minimum requirements. Key updates include:
  • Cryptoasset Treatment: The document provides comprehensive guidance on how cryptoassets can be treated under liquidity ratios, specifying criteria for HQLA recognition and the treatment of related liabilities and exposures. This is a significant expansion of previous treatment.
  • Encumbered Assets: More detailed rules and ordering principles have been introduced for determining which assets are considered encumbered and how this affects their eligibility for LCR, LMR, and NSFR calculations.
  • RMBS Treatment: While the overarching requirement for MA approval for RMBS recognition remains, the document reiterates the strict qualifying criteria and the need for detailed assessment.
  • Version Control: The document is updated to version 5 with an effective date of 19.12.2025, indicating a regular review and update cycle for the supervisory framework.
  1. Important dates & transition
  • Effective Date: 19.12.2025 (for V.5 of the document).
  • LCR Implementation: From 1 January 2015. Minimum 100% achieved from 2019.
  • NSFR Implementation: From 1 January 2018. Minimum 100% required at all times.
  • CFR Implementation: Minimum 50% in 2018, 75% from 1 January 2019.
  1. Impact and risks (operations/compliance/IT/data/reporting)
  • Compliance: AIs must ensure their systems and processes accurately reflect the latest guidance on cryptoassets and encumbered assets, potentially requiring system updates or new data capture. Compliance with the specified minimum ratios remains paramount.
  • Operations: Operational processes for identifying, valuing, and managing HQLA, liquefiable assets, and stable funding sources need to be robust, especially concerning cryptoassets and assets subject to encumbrance.
  • IT/Data: Systems must be capable of capturing and processing the granular data required for LCR, LMR, NSFR, and CFR calculations, including new data points related to cryptoassets and encumbrance status. Reporting templates (MA(BS)1E, MA(BS)26, etc.) must be updated if necessary to accommodate these changes.
  • Risk: The primary risk is non-compliance, leading to potential supervisory actions. Misinterpretation of guidance, particularly on complex areas like cryptoassets and encumbrance, can lead to inaccurate ratio calculations and misrepresentation of the AI's liquidity position.
  1. Compliance action checklist (practical steps)
  2. Review and Understand Updates: Thoroughly read and understand the changes in LM-1 V.5, paying close attention to sections on cryptoassets and encumbered assets.
  3. Policy and Procedure Update: Revise internal liquidity risk management policies, procedures, and calculation methodologies to incorporate the latest guidance.
  4. System Assessment and Enhancement: Evaluate current IT systems and data capture processes for their ability to handle new requirements related to cryptoassets and asset encumbrance. Implement necessary upgrades or changes.
  5. Staff Training: Conduct comprehensive training for all relevant personnel (risk management, finance, IT, operations) on the updated liquidity risk framework.
  6. Ratio Calculation Validation: Perform back-testing or parallel runs to validate the accuracy of LCR, LMR, NSFR, and CFR calculations under the revised framework.
  7. Internal Target Review: Review and re-approve internal liquidity targets and buffers, ensuring they remain adequate in light of the updated framework and the AI's risk profile.
  8. Reporting Alignment: Ensure that all internal and external liquidity reports align with the requirements and methodologies outlined in the updated manual.
  9. MA Engagement: If there are significant ambiguities or the need for clarification, engage with the HKMA.
  10. RMBS & Cryptoasset Due Diligence: For any RMBS or cryptoassets intended for inclusion in liquidity calculations, ensure rigorous due diligence and adherence to the specific recognition criteria and MA approval processes.
  1. Appendices/attachments summary (if any; 1-3 sentences each; total <= 20%)
  • Annex 1: Assets regarded as “free from encumbrances”: This annex details the conditions under which assets are considered "free from encumbrances" for LCR, LMR, and NSFR. It clarifies treatment for pledged assets, securities financing transactions, and pre-positioning with authorities, outlining specific order of encumbrance for HQLA and liquefiable assets, and RSF factor application for NSFR.
  • Annex 2: Treatment of RMBS: This annex specifies the strict qualifying criteria and the requirement for MA approval for recognizing Residential Mortgage-Backed Securities (RMBS) as Level 2B assets (LCR) or liquefiable assets (LMR), emphasizing criteria like rating, market liquidity, performance during stress, and underlying asset quality.
  • Annex 3: Guidance on treatments of cryptoasset exposures: This annex provides detailed guidance on the treatment of cryptoasset exposures under LCR, LMR, NSFR, and CFR. It outlines conditions for recognizing cryptoassets as HQLA, and specifies how tokenised claims, stablecoins, and other cryptoassets should be treated for both asset and liability sides of liquidity calculations.
中文摘要 (5249 chars)
快速切換摘要區塊
管理層摘要

目的/背景：
本文件旨在向授權機構 (AIs) 提供關於香港金融管理局 (HKMA) 監管流動性風險的框架指引。其目的是確保授權機構能維持充足的流動性以應對其義務，並維持整體銀行體系的穩定。

一句話結論（文件要你做什麼/改了什麼）：
HKMA 更新其流動性風險監管框架，詳述 LCR、LMR、NSFR 和 CFR 的應用、監管方法、合規要求及相關披露標準。

關鍵變更：

  • 版本更新： 本文件為 LM-1 監管框架的第五版，取代 V.4 版本。
  • 範疇擴展： 詳述了 LCR、LMR、NSFR 和 CFR 這四項法定流動性比率的應用、監管方法、合規動作及重要日期。
  • 涵蓋範圍： 包含對所有授權機構的適用性，以及對第三類機構（Category 1 institutions）和第三類 A 機構（Category 2A institutions）的具體要求。
  • 技術性調整： 引入了關於加密資產暴露在 LCR、LMR、NSFR 和 CFR 下的處理指引。
  • 附錄更新： 包含關於「無擔保資產」、「RMBS 處理」及「加密資產暴露」的最新指引。
  • 監管方法： 闡述 HKMA 採用風險為本的監管方法，結合場外分析、現場檢查及審慎會議。
  • 披露要求： 總結了關於流動性風險管理和流動性比率的披露標準。

重要日期 / 截止日：

  • 文件版本 V.5 發布日期： 2025 年 12 月 19 日。
  • 文件內容涵蓋 LCR（2015 年 1 月 1 日起）、NSFR（2018 年 1 月 1 日起）以及 CFR（2018 年、2019 年及以後有不同要求）。

適用對象 / 影響範圍：
適用於所有在香港獲授權的機構 (AIs)。

管理層建議行動：

  1. 全面審閱： 立即審閱此 LM-1 V.5 版本文件，了解所有更新及適用於貴機構的法定流動性比率要求。
  2. 合規評估： 評估現有流動性風險管理政策、程序和系統是否符合 LM-1 V.5 的最新要求，特別是關於 LCR、LMR、NSFR 和 CFR 的計算、報告及內部目標設定。
  3. 數據與系統： 確保數據收集、處理和報告系統能夠準確、及時地滿足文件所列明的報告要求（例如 MA(BS)1E、MA(BS)26 等）。
  4. 風險管理加強： 檢視並加強內部流動性風險管理框架，確保其能覆蓋文件提及的各種情境，包括壓力測試和市場壓力下的應對。
  5. 內部目標設定： 根據文件指引，檢討並更新內部流動性比率目標，確保其高於監管最低要求，並反映機構的風險狀況。
  6. 員工培訓： 對相關員工進行培訓，確保他們理解最新的監管要求和操作細節，特別是涉及加密資產等新興領域。
  7. 披露合規： 確保所有關於流動性風險和流動性比率的披露，均符合 Banking (Disclosure) Rules (BDR) 的最新要求和文件所指引的標準模板。
詳細摘要
  1. 文檔概述（性質、目的、適用範圍）
  • 性質： 此文件為香港金融管理局 (HKMA) 發布的監管政策手冊 (Supervisory Policy Manual, SPM) 中的 LM-1 模組，版本為 V.5，發布日期為 2025 年 12 月 19 日。
  • 目的： 提供關於授權機構 (Authorized Institutions, AIs) 應用《銀行（流動性）規則》（Banking (Liquidity) Rules, BLR）以監管流動性風險的指引，並闡述 HKMA 評估 AI 合規情況的方法。
  • 適用範圍： 適用於所有在香港獲授權的機構 (AIs)。
  1. 主要要求（按主題分組，說清楚「要做什麼」）
  • 流動性風險定義與重要性：
  • 流動性風險是指 AI 無法在不產生不可接受損失的情況下履行到期義務的風險。
  • 穩健的流動性風險管理對 AI 的存續及整體銀行體系的穩定至關重要。
  • 法定流動性要求：
  • 流動性覆蓋比率 (LCR)： 適用於第三類機構 (Category 1 institutions)。要求 LCR（高質量流動資產 HQLA / 總淨現金流出）的最低水平逐步提高，至 2019 年及以後要求為 100%。
  • 流動性維持比率 (LMR)： 適用於第三類機構 (Category 2 institutions)。要求 LMR（可變現資產 / 合資格負債（經扣除）的平均值）不低於每月 25%。
  • 淨穩定資金比率 (NSFR)： 適用於第三類機構 (Category 1 institutions)。要求 NSFR（可用穩定資金 ASF / 所需穩定資金 RSF）在任何時候均不低於 100%，除非適用自我糾正條款。
  • 核心資金比率 (CFR)： 適用於第三類 A 機構 (Category 2A institutions)。要求 CFR（可用核心資金 ACF / 所需核心資金 RCF）在 2018 年為 50%（平均），2019 年 1 月 1 日起為 75%（平均）。
  • 計算與報告基礎：
  • 所有 AI 必須按「香港辦事處基礎」（Hong Kong office basis）計算適用的法定流動性比率。
  • 在香港註冊的 AI 如設有海外分支，則需額外按「綜合基礎」（unconsolidated basis）計算，除非獲得豁免。
  • 若 AI 設有聯繫實體，HKMA 可能要求按「合併基礎」（consolidated basis）計算，特別是對於國際活躍的第三類機構。
  • HKMA 可要求按特別定制的基礎計算。
  • 流動性事件通知與監管回應：
  • AI 須及時通知 HKMA 任何可能導致未能維持法定流動性比率的預計變動。
  • 特定「相關流動性事件」（relevant liquidity events）須立即通知 HKMA，包括未能維持最低比率（除非符合特定豁免條款）、採取或將採取行動以動用 HQLA 等。
  • 違反 BLR 的流動性事件，HKMA 可能會發出通知要求 AI 採取補救行動。
  • 內部目標與限額：
  • AI 應設定內部目標，並考慮流動性風險狀況及設立緩衝區。
  • 內部目標須由董事會（或委員會）至少每年審查和批准，並記錄在流動性風險管理政策中。
  • 監管方法：
  • HKMA 採用風險為本的監管方法，通過場外分析（監察報告 MA(BS)1E, MA(BS)26, MA(BS)22, MA(BS)23, MA(BS)18 等）和現場檢查來評估 AI 的流動性狀況和風險管理系統。
  • 監管結果會納入 AI 的 CAMEL 評級和資本要求評估。
  • 流動性披露：
  • AI 須根據《銀行（披露）規則》（BDR）披露流動性相關資訊，包括流動性風險管理方法、業務模式、組織結構等（標準披露模板 LIQA）。
  • 每季披露其流動性狀況，以適用的法定流動性比率表示（標準披露模板 LIQ1, LIQ2）。
  1. 關鍵變更（對比既有要求/舊政策）
  • 本文件為 LM-1 V.5，取代 V.4 版本（2024 年 12 月 13 日）。具體變更細節未在本摘要內容中詳細說明，但文件更新通常意味著對現有指引的修訂、澄清或補充。
  • 引入了關於加密資產暴露在 LCR、LMR、NSFR 和 CFR 下的處理指引（Annex 3）。
  • 對 RMBS（住宅抵押貸款支持證券）在 LCR、LMR 和 NSFR 中的處理提供了更詳細的審批標準和指引（Annex 2）。
  • 擴展了關於「無擔保資產」（free from encumbrances）的解釋和應用，涵蓋 LCR、LMR 和 NSFR（Annex 1）。
  1. 重要日期與過渡安排（含實施/生效/截止）
  • 文件生效日期： 2025 年 12 月 19 日 (V.5 發布日期)。
  • LCR 實施： 2015 年 1 月 1 日起。
  • NSFR 實施： 2018 年 1 月 1 日起。
  • CFR 實施：
  • 2018 年： 最低 50%（平均每月）。
  • 2019 年 1 月 1 日起： 最低 75%（平均每月）。
  1. 對機構的影響與風險（營運/合規/IT/資料/報告）
  • 合規風險： 未能遵守法定流動性比率要求、通知義務或披露標準，可能導致監管處罰、聲譽損害，甚至影響其授權資格。
  • 營運影響： 需要調整資產負債表管理，確保 LCR、LMR、NSFR 和 CFR 的目標達成，可能影響資金成本和盈利能力。
  • IT 系統影響： 需要確保 IT 系統能夠支持 LCR、LMR、NSFR、CFR 的複雜計算、數據提取和報告。
  • 數據管理影響： 需要高質量、準確的數據來支持所有流動性相關的報告和分析，特別是對於加密資產等新類型的資產。
  • 報告負擔： 定期提交多項流動性相關報告，需要持續投入資源以確保準確性和及時性。
  1. 合規動作清單（checklist）
  • [ ] 審閱 LM-1 V.5 文件，理解所有相關要求。
  • [ ] 評估 LCR、LMR、NSFR、CFR 的計算和報告是否符合最新指引。
  • [ ] 檢查 HQLA、可變現資產、穩定資金及核心資金的定義和分類是否準確。
  • [ ] 確認流動性事件的識別和通知流程是否符合規定。
  • [ ] 審查內部流動性風險管理政策和程序，確保其與文件一致。
  • [ ] 設定並審查法定流動性比率的內部目標，確保有充足緩衝。
  • [ ] 驗證 IT 系統能否準確生成所有要求的流動性報告（MA(BS)1E, MA(BS)26 等）。
  • [ ] 確保加密資產暴露得到妥善處理，並符合 Annex 3 指引。
  • [ ] 確保 RMBS 的處理符合 Annex 2 的審批要求。
  • [ ] 驗證流動性披露是否符合 BDR 和文件要求。
  • [ ] 確保員工對最新流動性監管要求有充分理解和培訓。
  1. 附件/附錄摘要（如有；每項 1-3 句；總量 <= 20%）
  • Annex 1：資產「無擔保」的處理
  • 詳細說明 LCR、LMR 和 NSFR 下，資產被視為「無擔保」（free from encumbrances）的條件，特別是涉及抵押、質押或用於特定費用的資產。
  • 提供在動用流動性設施時，資產被質押的優先級順序指引。
  • Annex 2：RMBS 的處理
  • 闡述 RMBS 作為 LCR 下的 2B 類資產或 LMR 下的可變現資產的認可條件。
  • 申請認可需符合嚴格標準，包括發行人、基礎資產、市場流通性、歷史表現、抵押價值比率及監管要求，並需要 HKMA 的批准。
  • Annex 3：加密資產暴露的處理
  • 提供加密資產在 LCR 和 NSFR 下的處理指引，區分「第一類 a」加密資產（如代幣化傳統資產）及其他類型。
  • 詳細說明代幣化資產的資產端和負債端處理方式，以及穩定幣和「其他加密資產」的相關考量。