NPF stress testing scenarios updated
The updated version makes it possible to assess the resilience of non-governmental pension funds (NPFs) in case of the risk scenario, which assumes faster inflation in advanced economies and increased volatility in foreign securities markets. These factors may affect the Russian securities market as well.
The scenarios assume a period of tight monetary policy in Russia, after which price growth rates are expected to slow down and government bond yields – to recover.
In its updated scenarios, the regulator also explains how to calculate the future value of bonds, payments on which depend on the level of the key rate. The updates were prepared jointly with the self-regulatory organisation of NPFs in order to improve model-based assessments.
NPFs will begin to apply the updated stress testing scenarios from 30 September 2026. The Bank of Russia has published them in advance. This enhances the quality of risk assessment by market participants and makes the regulator’s actions more predictable.