The Central Bank of Russia has updated its mandatory stress testing scenarios for non-governmental pension funds (NPFs) to assess their resilience under potential adverse changes in economic conditions. The revised scenarios incorporate a rebound phase featuring a faster decline in OFZ yields than in the previous scenario. The Bank has also updated asset default probabilities using rating agency data, with changes for low credit quality groups linked to a prolonged period of high interest rates. Scenario development included preliminary consultations with the relevant committee of the self-regulatory organisation uniting NPFs. The Central Bank of Russia and the National Association of Non-State Pension Funds agreed to continue joint work on the scenarios to improve the assessment of risks inherent in NPFs’ activity.
Central Bank of Russia 2025-03-31
Central Bank of Russia updates mandatory stress testing scenarios for non-governmental pension funds
The Central Bank of Russia has revised its stress testing scenarios for non-governmental pension funds to evaluate their resilience to adverse economic conditions. Updates include a rebound phase with a faster decline in OFZ yields and revised asset default probabilities based on rating agency data. The Bank will continue collaborating with the National Association of Non-State Pension Funds to enhance risk assessment.