NPF stress testing scenarios updated
31 March 2024
News
The Bank of Russia has updated the mandatory stress testing scenarios for non-governmental pension funds (NPFs). Compared to the previous document, the new scenarios imply a more significant rise in short-term money market rates and federal government bond yields.
The parameters of the scenarios now include the forecast exchange rate of the Chinese yuan against the ruble. In addition, the Bank of Russia has stipulated a special procedure for assessing the credit quality (default probability) of assets used to finance projects promoting Russia’s technological sovereignty and the structural adaptation of the country’s economy.
Preview photo: Natalia Mels / Shutterstock / Fotodom