NPF stress testing scenarios updated
The Bank of Russia has updated its mandatory stress testing scenarios for non-governmental pension funds (NPFs).
The scenarios are aimed at assessing NPFs’ resilience in the event of potential unfavourable changes in the economic situation. The subsequent rebound involves a faster decline of OFZ yields as compared with the previous scenario. The probability of asset defaults has been updated based on the data from rating agencies. The changes in the probability of default relating to low credit quality groups are the result of a lengthy period of high interest rates.
When developing the scenarios, the Bank of Russia held preliminary consultations with the relevant committee of the self-regulatory organisation uniting NPFs regarding the composition and the paths of scenario indicators. The Bank of Russia and the self-regulatory organisation National Association of Non-State Pension Funds agreed to continue joint work on the stress testing scenarios to improve the assessment of risks inherent in NPFs’ activity.