Regulatory Alerts2023-05-03
Instructions for Filling Out the Supervisory Report on Asset Liquidity and Liability Coverage of the Mandatory Pension Fund
The Croatian Financial Services Supervisory Agency (Hanfa) issued these instructions to standardize the submission of supervisory reports on asset liquidity and liability coverage by pension companies managing mandatory pension funds. The document mandates that submitters calculate liquidity ratios using current market data, conservative estimation methods, and six distinct stress scenarios (S0–S5) to assess the realizability of assets over one- and three-year horizons. It replaces the December 2022 guidelines by specifying precise valuation adjustments for contributions, debt and equity securities, derivatives, and fund costs, while requiring independent scenario analysis to ensure accurate future liability coverage.
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