Mensura\c{c}\~ao da Transfer\^encia de Riqueza em Planos de Contribui\c{c}\~ao Definida com a Marca\c{c}\~ao de Ativos na Curva

Eduardo Fraga L. de Melo and Rodrigo S. Targino

Papers from arXiv.org

Abstract: The methodology for measuring financial assets in defined contribution (DC) pension plans has significant implications whether wealth transfers will occur among participants. In December 2024, a regulatory act was issued for Closed Pension Entities, allowing the use of the hold-to-maturity (HTM) measurement method of treasury bonds in DC plans. This article quantifies the financial impact on participants of adopting HTM valuation in these plans, using real data from the term structure of the real interest rates to assess the resulting wealth transfers. The analysis highlights how HTM valuation creates asymmetries in financial outcomes, benefiting some participants at the expense of others. Wealth transfers occur both during any withdrawal of funds and at the time of contributions, including portfolio reallocations that involve buying or selling bonds. Partial use of HTM or attempts to immunize outflows do not completely eliminate wealth transfers. The results reinforce that the use of mark-to-market (MTM) valuation of assets in DC plans prevents wealth transfers and, consequently, financial losses for participants. O m\'etodo de mensura\c{c}\~ao de ativos financeiros em planos de previd\^encia na modalidade de contribui\c{c}\~ao definida (CD, ou contribui\c{c}\~ao vari\'avel CV, na fase de acumula\c{c}\~ao) tem implica\c{c}\~oes significativas se haver\'a transfer\^encia de riqueza entre os participantes. Em Dez/2024 foi publicada norma para as Entidades Fechadas de Previd\^encia Complementar possibilitando o uso da marca\c{c}\~ao na curva de t\'itulos p\'ublicos federais nos planos CD e CV na fase de acumula\c{c}\~ao. Este artigo quantifica o impacto financeiro nos participantes da ado\c{c}\~ao da marca\c{c}\~ao na curva (HTM {\it Hold to Maturity}) nestes planos, utilizando dados reais da estrutura a termo da taxa de juros de cupom de IPCA para avaliar as transfer\^encias de riqueza resultantes dessa ado\c{c}\~ao. A an\'alise evidencia como a marca\c{c}\~ao na curva gera assimetrias nos resultados financeiros, beneficiando alguns participantes em detrimento de outros. As transfer\^encias de riqueza ocorrem tanto em qualquer retirada de recursos quanto tamb\'em na entrada (contribui\c{c}\~oes), inclusive realoca\c{c}\~oes da carteira que impliquem venda ou compra de t\'itulos. O uso do HTM de forma parcial ou a tentativa de imuniza\c{c}\~ao de sa\'idas n\~ao eliminam por completo transfer\^encias de riqueza. Os resultados refor\c{c}am que, para fins de cotiza\c{c}\~ao, o uso da marca\c{c}\~ao a mercado (MTM {\it Mark to Market}) de ativos em planos CD (e CV na fase de diferimento) evita transfer\^encias de riqueza e, por consequ\^encia, preju\'izos financeiros aos seus participantes.

Date: 2025-04
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