Actuarial interest rates

Actuarial interest rates

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Actuarial interest rates for the evaluation of pension obligations

In the following, we present the current actuarial interest rates for the measurement in accordance with HGB and IFRS (IAS 19) accounting standards.

Extrapolation for actuarial interest rates for the trade balance

Book reserves for pension obligations in the trade balance should be discounted using the average market interest rate for the past 10 financial years corresponding to their remaining term. There is no objection if a remaining term of 15 years is selected for pension book reserves across the board.

The difference in evaluation using the 7-year average interest rate should be reported in the notes or in the balance sheet and influences the distribution prohibition (see section 253 HGB). Under the assumption of a constant interest rate level in the future, the extrapolation for a remaining term of 15 years below is:

Balance sheet date10-year average7-year average

(Date: October 31, 2020)

Deviating from this, other book reserves are discounted at the market interest rate corresponding to their remaining term, which results from the 7-year average. We are happy to provide you with our forecast for other remaining durations. 

On request, we also prepare evaluations with different assumptions on capital market development (trend continuation, trend reversal etc.).

Actuarial interest rates in accordance with IFRS.

As at September 30 2020, we propose the actuarial interest rates below in accordance with IAS 19.

Duration (years)131926

Derivation of IFRS interest at TPC

Data basis

The IFRS interest rates are determined using the indices provided by IHS Markit as at the end of the month and the Svensson approach for parameters published by the Bundesbank.

In accordance with IAS 19.78, high quality corporate bonds should be used for measurement in the respective currency, whereby the choice of corporate bonds with an AA rating, such as the “iBoxx EUR corporates AA” used here, is generally recognized. 

Derivation of the yield curve

To determine the yield curve, the yield curve for listed federal securities (“zero bonds”) is initially determined according to the Svensson approach based on the parameters published by the Bundesbank.

Spreads are then calculated, which are determined according to the respective common data points of the indices provided for corporate bonds and the yield curve for federal securities. 

The final yield curve is determined by adding the spread for the respective remaining term to the yield curve of the Bundesbank, whereby the spread is kept constant from a term of 10 years.


  • Evaluation of pension obligations due to IAS 19
  • Transfer of pension obligations at mergers & acquisitions

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