The HKMA's Approach to Valuation in Resolution (VIR-1)

COP Email: HKMA E-mail Alert of 27 July 2026 (05:00 p.m. HKT)

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Title: The HKMA's Approach to Valuation in Resolution (VIR-1)

Type: COP

URL: https://brdr.hkma.gov.hk/eng/doc-ldg/docId/20260713-2-EN

Email Received: 2026-07-27 17:20

Summary Created: 2026-07-27 12:01

English Summary
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Management Summary
  • Purpose / Background: This document (VIR-1) outlines the Hong Kong Monetary Authority’s (HKMA) approach to "Valuation in Resolution" (VIR) under the Financial Institutions (Resolution) Ordinance (FIRO). It establishes a framework for mandatory valuations to ensure fair, transparent, and credible resolution processes, safeguarding market confidence while protecting creditors and shareholders.
  • One-line conclusion: AIs must maintain robust Business-As-Usual (BAU) data and modeling capabilities to support rapid, iterative valuation outputs for the HKMA during contingency planning and post-resolution.
  • Key Changes:
  • Formalization of a three-stage valuation process: Failing/Likely-to-fail (Valuation 1), Resolution Transaction (Valuation 2), and NCWOL (Valuation 3).
  • New capability requirements: AIs must be able to generate initial Valuation 1 outputs within 7 days and Valuation 2 outputs within 12 days of an HKMA request.
  • Explicit role for "Section 10 entities" (appointed by HKMA) to assist in pre-resolution valuations.
  • Clarification that NCWOL (No Creditor Worse Off) valuation must be conducted by a separate, independent valuer appointed by a Financial Secretary-designated person.
  • Requirement for iterative updates to valuations as crises evolve, reflecting real-time market volatility and potential stabilization measures.
  • Key Dates / Deadlines: The document is dated 24.07.2026. AIs are expected to maintain these capabilities in BAU; specific response timelines (T+7, T+12) apply immediately upon an HKMA request.
  • Applicability / Impact scope: All Authorized Institutions (AIs), their holding companies, and affiliated operational entities.
  • Recommended management actions:
  • Conduct a gap analysis of current data architecture against the T+7 and T+12 valuation output requirements.
  • Establish a "Data Room" protocol to ensure rapid information sharing with HKMA-appointed valuers.
  • Review and enhance model validation and governance procedures to ensure internal models are "resolution-ready."
  • Formalize internal cross-functional teams (Risk, Finance, Treasury, IT) to manage valuation data streams.
  • Perform periodic dry-run exercises to test the turnaround time for generating accounting and economic balance sheets.
Detailed Summary

1) Document overview
This Code of Practice (CoP) chapter guides Authorized Institutions (AIs) on the HKMA’s valuation expectations. It covers statutory requirements, methodologies, and the process for assessing an entity's financial position and compensation eligibility during a resolution.

2) Main requirements

  • Valuation 1 (Failing/Likely-to-fail): Determines if the entity is viable. Must follow accounting/regulatory bases and be produced within T+7 days. Focuses on solvency and capital/liquidity ratios.
  • Valuation 2 (Resolution Transaction): Informs the choice of stabilization options (e.g., bail-in, transfer). Must be based on economic values and produced within T+12 days.
  • Valuation 3 (NCWOL): Performed post-resolution by an independent valuer to check if creditors received less than they would have in a winding-up. Must disregard extraordinary government support.

3) Key changes

  • Stricter alignment with international standards for group-wide resolution.
  • Clear prohibition: The independent valuer for Valuation 3 cannot be a Section 10 entity used for pre-resolution valuations (to avoid conflict of interest).
  • Mandatory inclusion of "cost of winding-up" metrics in counterfactual assessments.

4) Important dates & transition

  • Effective date: 24.07.2026. AIs are expected to have these capabilities in place during BAU.

5) Impact and risks

  • Data/IT: Requires real-time, intra-day reporting capability for volatile balance sheet items (cash, deposits).
  • Operations: High-intensity demand for resources during "contingency planning" to support iterative model re-runs and validation.
  • Compliance: Risk of legal challenge if valuation reports (used for bail-in or transfer) are flawed or fail to justify assumptions adequately.

6) Compliance action checklist

  • Verify capacity to provide intra-day data for volatile items.
  • Ensure valuation models have comprehensive documentation/user guides.
  • Implement processes to isolate and "disregard" government support for counterfactual analysis.
  • Maintain a list of key stakeholders who can support an external valuer (Section 10 entity) at short notice.

7) Appendices/attachments summary

  • Figure 1 (Valuation Table): Summarizes the three valuation types, their legal basis, and timing.
  • Figure 2 (Timeline): Illustrates the iterative nature of the VIR process across contingency, stabilization, and restructuring phases.
中文摘要
快速切換摘要區塊
管理層摘要
  • 目的/背景： 本文件為香港《金融機構（處置機制）條例》（FIRO）下的實務守則（Code of Practice），旨在釐清香港金融管理局（金管局）在處置（Resolution）過程中的估值（Valuation in Resolution, VIR）方法、程序及要求，以確保處置決策的透明度、公平性及穩健性。
  • 一句話結論： 認可機構（AI）必須具備在壓力環境下，於短時間內提供精準資產負債數據及建模能力，以支援金管局進行處置前估值（Valuation 1 & 2）及協助獨立評估人進行事後估值（Valuation 3）。
  • 關鍵變更：
  1. 明確了「處置三階段估值」框架： Failing-or-likely-to-fail (Valuation 1)、Resolution Transaction (Valuation 2)、NCWOL (Valuation 3)。
  2. 設定具體時效門檻： AI 需具備於金管局要求後 7 天內（T+7）提供 Valuation 1 基礎數據，12 天內（T+12）提供 Valuation 2 基礎數據的能力。
  3. 強調 NCWOL（無債權人受損）防禦機制的獨立性，明確了獨立評估人的委任條件及其與處置前評估人的隔離要求。
  4. 引入了「受讓方」觀點的估值方法，針對重組與資產轉移場景的要求更為具體。
  • 重要日期 / 截止日： 本文件生效日期為 2026 年 7 月 24 日。
  • 適用對象 / 影響範圍： 所有認可機構（AI）、其控股公司及受處置規管的關聯營運實體。
  • 管理層建議行動：
  1. 確保相關資料庫（Data Room）與報表系統能隨時應對處置情境的數據提取要求。
  2. 審視並驗證內部估值模型（Model Validation），確保其能被外部評估人（Section 10 Entity）驗證或採用。
  3. 建立處置專用的治理流程與溝通機制，以應對處置期間與評估人之間的高頻互動。
  4. 檢討現有資本與流動性報告機制，確保其符合「T+7/T+12」的時效要求。
  5. 評估業務與資產組合的變現價值與處置對應調整，以預判 NCWOL 賠償風險。
詳細摘要
  1. 文檔概述： 本指引解釋了 FIRO 第 196 條下的處置估值要求。它非窮盡式清單，主要針對處置過程中的三種關鍵估值，並輔助 AI 建立「處置估值能力」（VIR capabilities）。
  1. 主要要求：
  • Valuation 1（處置前，判定是否失敗）： 基於會計與監管數據，評估是否滿足進入處置的門檻（是否失去償付能力/監管資本不足）。
  • Valuation 2（處置前，交易估值）： 基於經濟基礎，決定穩定化工具（如債權人自救 Bail-in、資產轉移）的應用範圍與具體條款。
  • Valuation 3（處置後，NCWOL）： 獨立評估人評估債權人/股東在處置下的待遇是否優於清盤情況，決定是否賠償。
  1. 關鍵變更/程序細節：
  • 時效門檻： AI 需確保在 T+7（Valuation 1）與 T+12（Valuation 2）天內產出初步數據。
  • 隔離機制： 為保證公正，擔任 Valuation 1/2 的 Section 10 實體，不能在 5 年內擔任同一處置個案的獨立評估人。
  • 模型採用： 原則上優先採用 AI 現有的估值模型，但評估人會進行「重新執行測試（Re-performance testing）」，若認為不準確，評估人將改用自有模型。
  1. 重要日期與過渡安排：
  • 文件正式生效日期： 2026 年 7 月 24 日。相關 AI 應即時開始對接此標準進行能力建設。
  1. 對機構的影響與風險：
  • 營運/IT： 需維持即時更新的資產負債表及關鍵指標，特別是流動性與倉位變動。
  • 數據： 須具備處理「處置假設」下的數據調整能力，而非僅限於平常業務（BAU）的報告。
  1. 合規動作清單（checklist）：
  • [ ] 檢查是否已具備 T+7/T+12 的數據產出能力。
  • [ ] 確保處置相關數據資產（包含模型設計、用戶手冊）已備妥並存於數據室。
  • [ ] 執行模型審核，確保關鍵假設（如抵押品估值、現金流折現）符合監管對「處置情境」的預期。
  • [ ] 針對跨國業務，明確總部與分支機構間的數據共享與法律障礙。
  1. 附件/附錄摘要：
  • 本文檔內含多處對 FIRO 其他篇章（如 RA-2、VIR-2）的引用及概念說明。
  • 圖表（Figure 1, 2）清晰勾勒了估值工作在處置時間軸上的分配，其中 Figure 1 重點說明了三種估值的目的與適用基礎；Figure 2 則詳細說明了從 contingency 到 post-resolution 的流程節點，未引入新的合規門檻，僅作為實務程序視覺化說明。