Bank of Russia increases requirements for NPF stress testing

Bank of Russia has increased requirements for NPFs’ stress testing. The threshold for passing the stress test for non-governmental pension funds (NPFs) will be gradually raised from 75% to 95% by 1 January 2030. The draft ordinance, which is aimed at enhancing stress testing as the main tool to assess NPFs’ risks, has been released for public consultation.

If an NPF passes less than 95% of the tests (but no less than 75%), it will be obliged to improve its performance within the next nine months.

These changes will ensure NPFs’ financial resilience in most non-standard situations covered by the Bank of Russia’s stress scenarios and protect the money of NPFs’ clients.

In addition, the document updates the methods of assessing the value of and estimating cash flows from certain types of deposits and bonds as well as swap contracts with interest rates as an underlying asset.

The draft ordinance is the first step towards reforming NPFs’ investment activity, which includes the easing of the requirements for the composition and structure of their portfolios, coupled with the simultaneous tightening of the requirements for NPFs’ stress testing to limit risks. The Bank of Russia plans to present the draft ordinance containing new requirements for pension reserves in the near future.