Regulatory Alerts2026-08-07
Added
HKMA Liquidity Facilities Framework: Settlement and Contingent Term Facility Collateral Haircuts
The document specifies collateral asset method haircuts for the Exchange Fund Bills and Notes Repo, Standby Liquidity Facilities, and Contingent Term Facility. It mandates a 2% annual haircut for Exchange Fund Bills and Notes, a minimum 2.5% haircut for cash and Hong Kong Government Bonds, and minimum haircuts of 3% and 7% for high-quality liquid securities and other investment grade securities, respectively. For the Contingent Term Facility, residential mortgages under the Home Ownership Scheme or Private Sector Participation Scheme require a minimum 2.5% haircut, while other acceptable loans have haircuts determined by the HKMA on a case-by-case basis.
1 Annex Settlement Facilities Collateral Assets Method Haircut Exchange Fund Bills and Notes Repo 2% per year of remaining maturity Standby Liquidity Facilities Collateral Assets Method Haircut Settlement Facilities Collateral (see above) Repo Minimum of 2.5% Cash (USD, EUR, RMB, JPY or GBP) FX Swap n/a Hong Kong Government Bonds Repo Minimum of 2.5% High quality liquid securities denominated in HKD, USD, EUR, RMB, JPY or GBP issued by governments or supranationals1 acceptable to the HKMA on a case-by-case basis Repo Minimum of 3% Other investment grade securities (as rated by major rating agencies) denominated in HKD, USD, EUR, RMB, JPY or GBP, acceptable to the HKMA on a case-by-case basis Repo Minimum of 7%
1 The HKMA may accept a wider scope of debt securities issued by supranationals as eligible collaterals on a case-by-case basis taking into account green considerations.
2 Contingent Term Facility Collateral and Resolution Facility Collateral Assets Method Haircut Standby Liquidity Facilities Collateral (see above) See above See above Residential mortgages acceptable to the HKMA (preference given to mortgage loans under the Home Ownership Scheme or the Private Sector Participation Scheme (HOS/PSPS mortgages) 2 and mortgages satisfying the purchasing criteria of The Hong Kong Mortgage Corporation Limited (HKMC)). Credit Facility Minimum of 2.5%3 Other loans of acceptable credit quality which can be effectively charged or transferred to the HKMA (e.g. via portfolio securitisation).4
Credit Facility or other appropriate method To be determined by HKMA on a case-by-case basis
2 Eligibility of HOS/PSPS mortgages is subject to the Hong Kong Housing Authority’s prior written consent to the transfer of the guaranteed loan. 3 Haircut will be applied over the book value of the portfolio of mortgages provided by the bank as collateral: HOS/PSPS mortgages at least 2.5%; HKMC compliant mortgages at least 6%; other residential mortgages at least 8%. 4 The HKMA will work with banks on a bilateral basis with a view to establishing information requirements and preparedness in respect of the use of other loan assets as collateral.