Avaliação do impacto de alterações na marcação de papéis de renda fixa para um fundo de pensão mineiro

Abstract

Pension funds move billion reais annually and its assets are responsible for a significant portion of the Gross Domestic Product in Brazil. The fixed income represents the highest percentage of the portfolio of investment practiced by these funds due to the low risk, good return and availability for negotiation, especially when it comes to government bonds. Such securities, to be booked registered, follow the CGPC Resolution Nº 4/2002, which establishes the classification in securities held for trading or in period of maturity. Thus, this paper wants to answer a question about the impact of the change in public fixed income securities, assessed through changes in the yield curve and market to market or both, in a Minas Gerais Brazilian pension fund. With the application of this method, it was possible to analyze the feasibility of the change in the market pricing of titles, especially with regard to suitability for actuarial liabilities, representing the obligations of the entity with the participants. The results indicated that changes in the market of securities, when booked registered for on the yield curve for when marked to market, have had a positive impact on the Heritage plan, improving the coverage of the liability. However, it should be noted the legal criteria for changes in markup the risks of market types.