Briefing on the results of regular AQR and supervisory stress testing in 2023

On February 22, 2024, the Agency held a briefing for the media and financial market experts on the results of regular AQR and supervisory stress testing in 2023.

Regular AQR (Asset Quality Review) is an annual remote check, the main task of which is to identify the real quality of assets, losses, additional provisions and capital adequacy of banks. Supervisory stress testing (NST) is a regulatory tool aimed at assessing the financial stability of banks in a crisis. The stress testing methodology includes an assessment of credit and market risks, including currency risk, as well as changes in net interest and non-interest income of banks.

Together with SREP and regular AQR tools, stress testing is a comprehensive approach to analyzing the financial stability of banks and assessing the capital adequacy of banks to absorb current and potential risks.

Since 2022, regular AQR and NST are conducted according to an expanded list of banks. In 2022, 10 banks were included in the assessment perimeter, and in 2023 – 11 banks, whose assets accounted for 84% of the assets of the banking sector. The loan portfolio of 11 banks represented 85% of the loan portfolio of the banking sector.

The regular AQR and the 2023 NST confirmed the overall financial stability of the banks.

According to the AQR 2023 assessment, the capital adequacy level for 11 banks is 15.1%, which is significantly higher than the regulatory minimum (7.5%).

According to the results of the NST 2023, the aggregate capital adequacy (k1) of participating banks in the stress scenario changed from 15.1% at the beginning of 2023 to a minimum value of 13.9% on the horizon of the NST.

Thus, the capital adequacy of participating banks in a stressful scenario remained at a level above the required regulatory standards.

In March 2024, the Agency will begin the next cycle of regular AQR, the results of which are expected to be received in September this year. Further, the results of the AQR will be used to conduct the NST in the period from September 2024 to January 2025.

From 2024, the results of the regular AQR, along with the results of the SREP, will be taken into account when setting individual capital allowances for banks in whose activities uncovered risks and shortcomings have been identified.

 

The Agency's External Communications Division:

+7 (727) 2371089, press@finreg.kz