The Bank of Russia has issued an update to its mandatory stress testing scenarios for non-governmental pension funds (NPFs). These scenarios are meant to evaluate the resilience of NPFs in the face of potentially adverse economic conditions. The latest update includes a faster decline in OFZ yields than previously anticipated, reflecting a revised outlook.
According to the update, the probability of asset defaults has been adjusted, utilizing data from rating agencies. This shift in default probability, particularly for those in low credit quality groups, reflects a prolonged period of high interest rates.
In preparation for these changes, the Bank of Russia conducted initial discussions with the relevant committee of the self-regulatory organization that represents NPFs about scenarios and indicator paths. This collaboration with the National Association of Non-State Pension Funds aims to enhance the risk assessment of NPF activities.
The Bank of Russia and the association have agreed to continue their joint efforts in refining stress testing scenarios to better assess the inherent risks in NPF operations.
