The Central Bank included the growth and fall of the yuan against the ruble in stress test scenarios for non-state pension funds

The Bank of Russia has updated the scenarios for mandatory stress testing of non-state pension funds (NPFs). Now the list includes a sharp change in the exchange rate of the Chinese yuan to the ruble. In stress tests for non-state pension funds registered quarterly growth of the yuan to ruble exchange rate in the range of 1.23–14.59%, as well as its decrease from 0.17% to 3.3%.

“The scenario parameters are supplemented with a forecast of the Chinese yuan to ruble exchange rate. There is also a special procedure for determining the group of credit quality (probability of default) of assets aimed at financing projects of technological sovereignty and structural adaptation of the Russian economy,” it is reported on website Central Bank.

Yuan/ruble pair (CNY/RUB) with a turnover of 37.36 trillion rubles. was the most popular instrument on the Moscow Exchange foreign exchange market in 2023. In early March, the Central Bank reported a “systematic undervaluation” of the yuan on the foreign exchange market in Russia. Deputy Prime Minister Alexander Novak saidthat Russia sells about 40% of oil and gas in rubles, another 40% in yuan.

Stress tests check the stability of the functioning of non-state pension funds under a negative economic scenario. As stated on the regulator’s website, the tests check the financial position in conditions of a “serious, but at the same time probable shock.” The Central Bank uses the results of stress tests to develop anti-crisis measures and macroprudential policy.

Last fall, stress tests of Russian credit institutions showed “quite good” results, the Central Bank reported. In general, the regulator noted, Russian banks are able to withstand the most conservative scenario. It was emphasized that only a few players may experience difficulties with capital adequacy. In this case, the Central Bank is working on a plan to restore financial stability.

About trading for yuan – in the material “Chinese banks caused problems”.

Anastasia Larina