MARK TO MARKET OR MARK TO THE CURVE? THE IMPACTS OF THE APPLICATION OF CNPC RESOLUTION 37/2020 ON PENSION FUNDS

Abstract

This paper concerns the application of legislation to account for certain assets in Closed Complementary Pension Entities, and aims to point out the forms of evaluation and accounting measurement of public securities in pension fund portfolios and analyze the impacts of the changes proposed by CNPC Resolution nº 37/2020. The methodology used was descriptive research, based on the comparative analysis of the application of mark-to-market and the use of the yield curve in three types of plans: Defined Benefit (BD), Defined Contribution (CD) and Variable Contribution (CV). The impacts on the volatility of the quotas and on the liquidity of the plans were evaluated, from the perspective of the mass of active and assisted participants. The research results indicate that the innovations imposed by CNPC 37/2020, with respect to the evaluation of securities held to maturity or marked to market, do not produce financial losses to plans, however, they engender negative impacts in terms of volatility (short-term profitability) generating image and management risks of the EFPC. The analysis of the application of the norm for the three different types of benefit plans also points out that the choice on the evaluation of the ideal curve for the assets should be delegated to the closed pension fund entity, which, considering the liquidity needs of each A better plan could opt for marking to market or marking on the curve. The conclusion was that since the application of CNPC nº 37/2020, pension funds have had difficulties in achieving the actuarial targets proposed in their profitability, to maintain benefit plans.