Discricionariedade e escolhas de premissas nos planos de previdência complementar fechados

This study investigates whether defined benefit (DB) plans and variable contribution (VC) plans of Brazilian closed supplementary pension funds (CSPF) present indications of discretion in the assumptions used in actuarial evaluations. Even though discretionary behavior by managers has been widely analyzed by the literature, the subject of DB and VC plans has been explored very little, mainly from a regulatory point of view. This study contributes in terms of research regarding the Brazilian supplementary pension fund market by providing evidence of possible discretionary actions by managers in terms of the assumptions used in DB and VC plans. The findings offer elements that the National Council on Supplementary Pensions (CNPC) can use to revise or create more rigorous parameters that limit the use of assumptions as instruments of deliberate alterations regarding the solvency of these plans. This work features econometric models elaborated based on panel and multinomial logit data, in order to verify whether the assumptions of DB and VC plans for companies traded in the Brazilian stock market are influenced by four groups of explanatory variables. It evaluates whether a given actuarial assumption can be managed to compensate the behavior of another actuarial assumption; whether some characteristics of plans and the sponsoring companies can motivate interference in the selection of assumptions; and whether increments in the Special System for Settlement and Custody (Sistema Especial de Liquidação e de Custódia – SELIC) rate are linked to assumption choices which reduce the mathematical provisions. The results indicate that it is not possible to discard that the assumptions used in DB and VC plans are the subject of discretionary actions made by managers. There is evidence that assumptions regarding real interest rates, the benefit capacity factors and overall mortality tables are being managed to alter the solvency situation of these plans to a greater or lesser extent.