Taxa de Desconto na Gestão de Ativos e Passivos Previdenciários

Abstract

This paper aims to discuss two approaches for calculating discount rates for pension liabilities. To do so, real data on the assets and liabilities' composition of a pension fund were used to gauge the discount rates according to each approach. In the first approach, the liabilities are discounted at the assets' returns rate, while in the second approach, as preconized in the literature, they are discounted at the rate of return of a hypothetical portfolio with matched cash flows. In general, the second approach yields lower discount rates and larger liabilities in almost R$ 2 million accumulated over fifteen years. This result brings important implications to the asset and liabilities management in Pension Funds with their potential effects in the under of overvaluation of pension plan's liabilities.