To achieve this, I was updating Extended control register (register 17), POWER_MODE [14:11] field.
Writing Sleep Request command to the field (= 1011 ) the PHY would go to sleep mode (reading the register 1010 could be seen on the filed).
Also, basic conditions for sleep mode should be achieved - no WKU requests detected, no traffic (or the PHY is configured not to be influenced by those)