Mensurac\~ao da Transfer\encia de Riqueza em Planos de Contribuic\~ao Definida com a Marcac\~ao de Ativos na Curva
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 mensurac\~ao de ativos financeiros em planos de previd\encia na modalidade de contribuic\~ao definida (CD, ou contribuic\~ao vari\'avel CV, na fase de acumulac\~ao) tem implicac\~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 marcac\~ao na curva de t\'itulos p\'ublicos federais nos planos CD e CV na fase de acumulac\~ao. Este artigo quantifica o impacto financeiro nos participantes da adoc\~ao da marcac\~ao na curva (HTM 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 adoc\~ao. A an\'alise evidencia como a marcac\~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 (contribuic\~oes), inclusive realocac\~oes da carteira que impliquem venda ou compra de t\'itulos. O uso do HTM de forma parcial ou a tentativa de imunizac\~ao de sa\'idas n\~ao eliminam por completo transfer\encias de riqueza. Os resultados reforcam que, para fins de cotizac\~ao, o uso da marcac\~ao a mercado (MTM 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.
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