NPF stress testing scenarios updated
The Bank of Russia has updated the stress testing scenarios for non-governmental pension funds (NPFs). They will apply from 31 March 2026.
The new scenarios will enable assessing NPFs’ resilience in case of adverse economic developments and the securities market’s response to them. The scenarios assume that, subsequently, government bond yields will recover gradually and inflation will return to the target.
The updated scenarios also include assumptions to forecast the value of yuan-denominated bonds and changes in prices for bullions that NPFs are allowed to buy for pension reserves.
Taking into account the results of the consultations with the self-regulatory organisation of NPFs, the updated scenarios factor in a longer period of heightened credit risks.
From September 2025, the Bank of Russia publishes stress testing scenarios in advance. This enhances the quality of risk assessment by market participants and makes the regulator’s actions more predictable.