• ACRA’s Kazakhstan Financial Stress Index (ACRA SFSI KZ) reacted noticeably to the situation in the economy and financial sphere in 2022. In June and July, the Index exceeded its 2015–2016 values and then declined slightly.

  • Currency risk manifests itself most noticeably in both the currency imbalance and potential triggers associated with this risk. In ACRA’s opinion, this is mainly due to the debt liabilities of the country’s financial and corporate sectors.


Main manifestations of financial stress

The ACRA SFSI KZ Kazakh structural financial stress index grew substantially in June and July 2022 and then declined somewhat, but was again heightened in October. The Index’s performance reflected the intensification of the currency imbalance indicator amid relative stability of the liquidity imbalance indicator.

ACRA notes that the Index was influenced by the effect of interest rates at which liquidity was provided in the market in H2 2022, and by the volatility of the tenge exchange rate in Q2 and Q3. Taking these trends into account, as of October 2022, the ACRA SFSI KZ showed a relatively high level of financial stress.

The Index did not perform in this way in 2020–2021 due to lower volatility of the tenge, less significant spreads of market interbank rates to the base interest rate, and a much more moderate range of changes to the base interest rate by the National Bank of the Republic of Kazakhstan (NBK).

Figure 1. ACRA’s Kazakhstan Financial Stress Index

Sources: Kazakh national agencies, ACRA


The currency imbalance that formed under the influence of both the financial and corporate sectors was the key factor that determined the performance of the ACRA SFSI KZ in 2022. The influence of these sectors was the strongest because there was a positive balance of net assets of the public sector and the population due to coverage of assets.

In the non-financial sector, the deficit was caused by short-term debt liabilities, which over the past few months have peaked (in tenge).


In 2022, there have not been any significant changes in terms of the formation of the liquidity imbalance — it stabilized after the peak recorded in summer 2021. For the most part, the liquidity imbalance is affected by the situation in the financial sector, where short-term liabilities have exceeded the volume of assets, including due to interest expenses. This was due to both the growth of the depository base and monetary conditions in the economy.

This trend is likely to continue in 2023, when the financial and corporate sectors will collectively keep the liquidity imbalance at a stable level with a less pronounced contribution to the Index’s structure compared to the currency imbalance.

potential of trigger events

Key financial stress materialization risks

Normalized triggers associated with the currency risk are now at their maximums since late 2015, when the growth of trigger potential was induced by the change in the country’s currency regime. Note that before 2022, the dynamics of this type of triggers were rather stable.

Calculations show that triggers associated with refinancing risk equal 0.14, with the historic maximum at 0.75. This is a moderate value that evidences low probability of materialization of the refinancing risk event.

Given these trends, the key role will be played by events associated with the potential materialization of currency risk. ACRA will monitor and comment on the dynamics of these triggers.

Figure 2. Balance of liquidity by sector

Sources: NBK, ACRA

Figure 3. Currency imbalance by sector

Sources: Kazakh national agencies, ACRA

appendix. what does the ACRA SFSI KZ show and what are its components?

For more details, see the Structural Financial Stress Index (ACRA SFSI) Calculation Methodology.

The ACRA Financial Stress Index for Kazakhstan (ACRA SFSI KZ) assesses the proximity of the country’s financial system to a crisis. Linking different sectors of the economy, the financial system can contribute to the spread of defaults (regardless of the reasons) in some markets to other markets. Large-scale financial crises can lead to disruptions in the real sector of the economy (initially, due to local liquidity crises), which determines their importance.

The ACRA SFSI KZ is based on structural imbalances of the financial system. The Index aggregates information on the financial condition of economic agents and assesses their vulnerability to specific types of risk.

The financial condition of economic agents is studied on the basis of the maturity and currency structure of assets and liabilities at the sector level (financial companies, non-financial companies, the population, and the government). Imbalances in assets and liabilities by maturity and currency can cause a systemic risk when trigger events occur; in case of large imbalances, even weak triggers can result in a systemic crisis. On the contrary, powerful trigger events are not so significant when imbalances are small. The ACRA SFSI KZ includes trigger events such as manifestations of instability in the foreign exchange market and the interbank loan market. The first can impact expectations on the value of foreign exchange cash flows, the second — on the availability of short-term funding.

The Index analyzes two types of imbalances: liquidity imbalance and currency imbalance. The liquidity imbalance indicator evaluates the amount of additional funds required by economic agents in the coming year in order to fully repay short-term debt and pay interest on debt obligations. The currency imbalance indicator evaluates the total demand of various sectors of the economy for foreign currency, not secured by the flow of foreign currency debt assets, expected foreign currency operating income, or cash reserves. In contrast to the liquidity imbalance, the currency imbalance indicator includes both short-term and long-term assets and liabilities.

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Zhannur Ashigali
Director, Project Manager for Central Asian Cooperation, Sovereign and Regional Ratings Group
+7 (495) 139 03 02
Svetlana Panicheva
Head of External Communications
+7 (495) 139 04 80, ext. 169
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