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In a newsletter, it said that it would also assess the robustness of pensions administration and schemes’ cyber security measures.
According to the watchdog, its surveys come in addition to its regular investigations into investments, governance, and business models.
DNB said it wanted to get an insight into pension funds’ frameworks for establishing costs as well as their arrangements with their asset and fiduciary managers.
It is also interested in how scheme boards factor in asset management costs to their investment decisions.
The regulator made clear that its focus for mortgage investments would be on managing and estimating risk, including liquidity and credit risk as well as the risk of mortgages being paid off early.
Pension funds must also show whether they are sufficiently familiar with the different ways of management, such as an investment fund and a collective mandate, the regulator said.
DNB will also assess whether the interests of pension funds and providers are aligned.
DNB explained that it wanted to gain an insight into how pension funds pay attention to digitalisation and IT risks as well as – in case of consolidation – transformation risk in their administration.