What is accumulated coupon income? Bond coupon

Many investors seek to invest their money more profitably than in a bank deposit, but do not want to go into the intricacies of exchange trading. Bonds would be an ideal investment option in this case. It is these securities that, in essence, represent exchange-traded analogues of bank deposits, since they have a final maturity date and regularly paid interest - a coupon (usually either once a quarter or once every six months). In addition, they, like deposits, allow investors not to worry about sudden price changes (unlike shares) and, by the way, can also be secured and guaranteed.

It is worth considering that by investing in bank deposits, an investor a priori accepts the risk of the banking sector, which may increase from time to time. When investing in bonds, the investor himself chooses the industry and the issuer, that is, he gets the opportunity to diversify his bond portfolio much more widely. In other words, invest in the most reliable bonds of the Russian Federation (OFZ), and in various municipal securities that have extremely high reliability and at the same time increased profitability, as well as in corporate bonds of various companies, the profitability of which often exceeds the rates of bank deposits. In the process of implementing such diversification, the investor accumulates an entire portfolio of bonds, and it is not always clear what kind of return this portfolio will demonstrate.

Types of bond yields

Based on the fact that any portfolio consists of the securities included in it, it is important to understand how the yield of the bonds themselves is calculated and what it is. First of all, it should be noted that bonds can be coupon (when cash is paid periodically - interest) and discount (the paper is traded below its face value - redemption price, which is less common in practice).

The methodology for calculating coupon and discount bonds is somewhat different. The formula for calculating the yield of discount bonds is as follows:

D=(N-C)/C* 365/Dn *100, where:

D - yield of discount bond,
. N - redemption (sale) price,
. C - purchase price,
. Day - number of days until maturity.

So, for example, if we buy a discount bond for 900 rubles. (90%), the face value of which is 1000 rubles, and the paper is redeemed after a year, then we will have:

(1000-900)/900* 365/365 *100 = 11.1% return.

It is worth noting that if, for example, the repayment of such a security is not in a year, but in two years (730 days), then the yield on the security will be lower - 5.55%, since there are no intermediate payments for discounted securities.

With coupon bonds the situation is a little more complicated. Firstly, it is worth considering that a coupon bond can be purchased at a price different from the redemption price (i.e. buying it, for example, at 980 rubles (98%) with a face value of 1000 rubles, we will earn 20 rubles, or 2.04% of the invested amount) and thereby also earn money on the “body” of the bond. But in addition to the “body”, such bonds also have coupon payments, which are made at a certain periodicity, indicated in days in the “Current Trading” table as “Coupon Duration” (usually 70% - 182 days (half-year) and 30% - 91 days (quarter)). This table also shows:

Coupon sizes (in rubles) in the “Coupon size” column,
. coupon payment date in a similar column in the format dd.mm.yyyy,
. accumulated coupon income in the “NKD” column in rubles (money received by the bond holder during the holding period of the last coupon period when selling before the coupon is paid),
. “Nominal” - the amount of money paid to holders upon redemption for one security,
. “Maturity date” is the date on which the face value will be paid,
. “Demand” - the best demand price (indicated as a percentage of the face value),
. “Offer” - the best offer price (also indicated as a percentage of the face value),
. lot (number of securities in a lot 99% - 1 paper - 1 lot),
. percentage change from the previous session's close (same as in stocks),
. “Profitability”, the calculation methods of which are discussed in this article.

Table 1 Current trading with parameters for bonds

By looking at these columns, you can determine the number of coupon payments per year by dividing 365 (the number of days in a year) by the coupon duration value (for example, 182). The resulting value will be equal to two. Next, you can multiply the value of the coupon size (for example, 65 rubles) by the number of payments per year (for example, 2), thereby obtaining the total amount of money paid to us under the bond for the year (65 * 2 = 130 rubles).

To understand what kind of yield can be obtained in this case, it is necessary to correlate the money received from coupons to the purchase price of the bond - such a yield will be called the “current yield of the bond.”

Formula for calculating the yield to maturity of a bond

The current bond yield is calculated using the formula:

D = Kv/C*100, where:

Kv - the amount of coupon payments,
. C - purchase price.

That is, having bought a security for 1000 rubles. (100% of the nominal value) and having earned 130 rubles, we get a current yield equal to 13% (130/1000*100).

But it is worth considering that a bond can be purchased at a price other than its face value, held for more than one year (for example, 2 years or until maturity), and continue to receive coupon payments.

Such yield will be calculated using the formula for calculating the yield to maturity of a bond:

D = ((N-C)+Kv)/C)*365/Dn*100, where:

N - denomination (or subsequent sale price),
. C - security price,
. Kv - the amount of coupon payments for the period of ownership of the security,
. Day - number of days of holding.

That is, if you take paper for 980 rubles. (98%), a total of 130 rubles is paid per year. coupons, and the planned holding period is 730 days, it turns out: ((1000-980)+260)/980*365/730*100=14.28%.

Now, having knowledge of methods for calculating bond yields, we can talk about calculating the yield of a bond portfolio. Portfolio return is defined as the share of invested funds to the return on a given share:

Дп = ∑Sharei*Дi, where:

Dp - portfolio return,
. Sharei - the share of funds invested in the i-th security,
. Di is the profitability of the i-th share.

That is, if a portfolio consists of two bonds - with a yield to maturity of 12% and 13%, respectively (maturity period is 1 year), then it is necessary to determine the share of each security in the portfolio (if there is free cash, then their share too). Let’s say that 30% of the funds were invested in paper No. 1 with a yield to maturity of 12%, and 60% of the funds were invested in paper No. 2 with a yield to maturity of 13%. Another 10% remains in the form of cash. The formula for calculating the profitability of such a portfolio will be as follows: 0.3*12+0.6*13+0.1*0=11.4%. That is, the total return of a bond portfolio consists of the return on the shares included in this portfolio.

Conclusion

The formula for calculating the return on a bond portfolio coincides with the formula for calculating the return on a portfolio in classical portfolio theory. The main difference between stock and bond portfolios in terms of determining yield is that the return of a stock is defined as the “directional vector of its price movement,” while in bonds the yield to maturity (or over the holding period) is determined.

Determination of coupon income, calculation procedure

Information on determining coupon income, calculation procedure

Definition of the term coupon income

Coupon income on corporate bonds

How to calculate coupon income

General procedure for reflecting coupon income in the tax return.

Accounting for accumulative coupon income on government securities.

Definition of the term coupon income

Coupon income is income from government savings loan coupon bonds.

Accumulated coupon income (ACI) is a part of the coupon interest income on a bond, calculated in proportion to the number of days that have passed from the date of issue of the coupon bond or the date of payment of the previous coupon income.

The formula for calculating the income tax implies the need to calculate the number of calendar days from one date to another or the duration of the period determined by two dates. Depending on the type of bond, there are several bases for calculating these indicators, for example “365/366”, when the duration of the period from date T1 to date T2 is defined as the difference in dates: T2 - T1.

The amount of accumulated coupon income can be expressed through the size of the coupon in monetary units or through the coupon rate as a percentage and denomination.

The standard formula for calculating the ACI on Russian bonds from the rate is as follows:

N - nominal

C - current coupon rate (in percent per annum)

T - number of days from the beginning of the coupon period to the current date

B - calculation base (365 days)

Accumulated coupon income is part of the coupon income calculated at the face value of the bond and in proportion to the number of days that have passed from the date of issue of the bonds or the date of payment of the previous coupon income.

Coupon income on corporate bonds

Bonds are a type of securities, the owners of which have the right, within a certain period of time, to receive from the issuer their nominal value, as well as the interest (coupon) income declared on them. When bonds are sold, coupon income is included in their sale price. The article highlights the features of tax accounting for coupon income on corporate bonds and explains the procedure for filling out income tax returns by bondholders.

According to paragraph 3 of Article 43 of the Tax Code of the Russian Federation, interest is understood as any pre-declared (established) income, including in the form of a discount, received on a debt obligation of any type, regardless of the method of its execution. That part of the interest (coupon) income, the payment of which is provided for by the terms of the security issue, and the amount is calculated in proportion to the number of days that have passed from the date of issue of the security or the date of payment of the previous coupon income to the date of the transaction (date of transfer of the security), is called accumulated interest ( coupon income (NKI). This definition is given in paragraph 4 of Article 280 of the Tax Code of the Russian Federation. The calculation of the income tax is carried out by the owners of state and municipal securities, as well as corporate bonds, the issuer of which is not the state, but organizations.

Before moving on to the issue of calculating income tax and the procedure for reflecting income on corporate bonds in the income tax return, let us dwell on the general rules for tax accounting of coupon income.

Procedure for tax accounting of interest (coupon) income

According to paragraph 6 of Article 250, interest (including coupon, discount) received on securities is recognized as non-operating income. The specifics of maintaining tax accounting for income (expenses) in the form of interest on securities are established by Article 328 of the Tax Code of the Russian Federation. Paragraph 1 of this article provides that the taxpayer, on the basis of analytical accounting of non-operating income and expenses, breaks down income (expenses) in the form of interest on various debt obligations. Income (expenses) on securities are reflected in the amount of interest due in accordance with the terms of the issue.

Bond owners take into account in analytical accounting the amount of income in the form of interest (coupon) based on the yield established for this type of bond and the validity period of these debt obligations in the reporting period.

Taxpayers using the accrual method1 determine the date of recognition of income on securities based on paragraph 6 of Article 271 of the Tax Code of the Russian Federation. If the validity period of a debt obligation (the circulation period of a security) falls on more than one reporting period, then for tax purposes the income is recognized as received and is reflected in the tax base at the end of the corresponding reporting period. When a debt obligation (sale of a security) is repaid before the end of the reporting period, income is recognized on the date of repayment of the debt obligation (sale of a security).

Interest (coupon) income received by owners of securities is taxed at a rate of 24% when calculating income tax.

How to calculate coupon income. The Tax Code, namely paragraph 7 of Article 328, sets out in detail the procedure for tax accounting of income tax on state and municipal securities traded on the organized securities market (OSM). And there are no special rules in the Code for corporate bonds. The question arises: is it possible to apply the provisions of paragraph 7 of Article 328 of the Code to account for income accrual on corporate bonds? To answer this question, let's compare these types of securities.

Government (municipal) securities and corporate bonds are very similar in terms of the rules of issue and circulation. Both for state and municipal securities and for corporate bonds, upon their issue, the coupon income must be announced in advance. This income is accrued by the issuer at a certain frequency and paid to the owners of securities according to the rules stated at the time of issue. When selling both securities, the NKD is included in the transaction price. All this gives grounds to apply to corporate bonds the same rules that are provided for in paragraph 7 of Article 328 of the Tax Code of the Russian Federation for accounting for coupon income on state and municipal securities.

Let us consider in detail how interest (coupon) income on corporate bonds is calculated by taxpayers using the accrual method.

Those who owned bonds during the reporting (tax) period must calculate interest (coupon) income on them and reflect it in tax accounting. If at the end of the reporting (tax) period the bond has not been sold, then the taxpayer is obliged to accrue on the last day of the reporting (tax) period the amount of interest income due on this security for the given period.

Interest (coupon) income on corporate bonds is calculated as follows:

or in the form of the difference between the amount of income tax calculated at the end of the reporting (tax) period in accordance with the terms of the issue, and the amount of income tax calculated at the end of the previous reporting (tax) period;

or in the form of the difference between the amount of accrued income calculated at the end of the reporting (tax) period in accordance with the terms of the issue, and the amount of accrued income paid when purchasing the security.

or by determining the amount of interest for the actual time the security is on the organization’s balance sheet.

This procedure for calculating coupon income is applied if the issuer has not made interest payments (coupon redemption) for the current reporting (tax) period.

On December 11, 2003, the Beta company purchased for 1,040 rubles. (including NKD - 40 rubles) corporate bond issued by the Alfa issuer. The parameters of the bond issue are as follows:

par value of the bond - 1000 rubles;

coupon according to the terms of the issue - 366 rubles. per year (that is, 1 rub. for one day);

The accounting policy of the Beta company establishes that income and expenses are determined on an accrual basis, and the reporting period for tax purposes is a quarter, half a year, 9 months.

At the end of 2003, the amount of accrued income on the bond was 61 rubles. (1 ruble per 61 days from the date of bond issue - November 1, 2003 until the end of the year - December 31, 2003).

The amount of non-operating income in the form of interest (coupon) income on the bond for 2003 was calculated as follows:

61 rub. – 40 rub. = 21 rub.,

where 61 rub. - NKD, calculated from the moment the bond was issued until the end of 2003;

40 rub. - NKD paid to the seller in the purchase price of the bond.

When forming the tax base for the first quarter of 2004, the amount of non-operating income in the form of interest on the bond was calculated as follows. First, the accountant of the Beta company determined the amount of the accrued income for the period from the date of issue of the bond (November 1, 2003) to the end of the first quarter of 2004 (152 days). It amounted to 152 rubles. This amount was reduced by the amount of coupon income included in non-operating income at the end of 2003 (21 rubles) and by the amount of the income tax paid when purchasing the bond (40 rubles).

Thus, the amount of non-operating income in the form of interest on the bond for the first quarter of 2004 was:

152 rub. – 21 rub. – 40 rub. = 91 rub.

If in the current reporting (tax) period the issuer made interest payments (coupon redemptions), then the taxpayer, when forming the tax base for this period, takes into account as income the interest calculated and taken into account during such payments (redemptions), as well as the amount of income tax accrued at the end reporting (tax) period.

Income received when the issuer pays interest (coupon redemption) is accounted for as follows. At the first payment of interest (redemption of a coupon) in the reporting (tax) period, income in the form of interest is calculated as the difference between the amount of interest paid (redeemed coupon) and the amount of income tax calculated at the end of the previous tax period. For subsequent interest payments (coupon redemptions) in the reporting (tax) period, income is recognized equal to the amount of interest paid (coupon redemption).

Let's change the conditions of example 1. Let's assume that the frequency of coupon payments on the bond of the issuer "Alpha" is three months. That is, the issuer pays the bond coupon on February 1, May 1, August 1 and November 1, 2004.

In this case, the duration of the first coupon period is 92 days (from November 1, 2003, the date of issue of the bond, to February 1, 2004, the date of redemption of the first coupon). This means that the amount of NKD paid on February 1, 2004 by the issuer of the Beta organization (bond holder) is equal to 92 rubles. (1 rub. per day).

When forming the tax base for the first quarter of 2004, the Beta company (bond owner) will calculate the amount of non-operating income in the form of interest on the bond as follows:

92 rub. – 21 rub. – 40 rub. + 60 rub. = 91 rub.,

21 rub. - the amount of coupon income included in non-operating income as of December 31, 2003;

40 rub. - NKD paid to the seller in the purchase price of the bond;

60 rub. - NKD for the period from the date of redemption of the first coupon (February 1, 2004) to the end of the first quarter of 2004 (60 days).

As we can see, the amount of non-operating income in the form of coupon income on the bond for the first quarter of 2004 is the same amount in both the first and second examples. That is, the mere fact of repaying a bond coupon during the reporting (tax) period does not lead to a change in the amount of non-operating income for the given period for the bond owner.

If bonds were purchased by a taxpayer in the current tax period, then interest income is calculated according to the same rules. But instead of the amount of income tax calculated at the end of the previous tax period, the amount of income tax paid by the taxpayer to the seller of the security in the transaction price is taken into account.

On October 11, 2004, the Gamma company acquired a corporate debt security (bond) of the Delta issuer for 1,071 rubles, including NKD - 71 rubles. The bond issue date is August 1, 2004, maturity date is August 1, 2005. Coupon according to the terms of the issue - 365 rubles. per year (that is, 1 rub. per day). The coupon is paid by the issuer once every three months - November 1, 2004, February 1, May 1 and August 1, 2005.

When forming the tax base for 2004, the Gamma company calculated the amount of non-operating income in the form of interest on the bond as follows.

First, income was calculated for the period from the date of purchase of the bond (October 11, 2004) to the date of payment of the first coupon (November 1, 2004):

92 rub. – 71 rub. = 21 rub.,

where 92 rub. - this is the amount of the first coupon due on the bond for the period from the date of its issue (August 1, 2004) to the date of payment of the first coupon (November 1, 2004), that is, for 92 days;

71 rub. - this is the amount of NKD paid to the seller when purchasing a security on October 11, 2004.

Then the amount of income tax attributable to the bond from the date of payment of the first coupon to the end of the tax period was determined. It is equal to 61 rubles. (1 ruble per 61 days - from November 1 to December 31, 2004).

Consequently, the total amount of coupon income on the Delta issuer's bond for 2004 is:

61 rub. + 21 rub. = 82 rub.

If during the reporting (tax) period there was a disposal (sale, redemption) of bonds, then income in the form of interest is calculated according to the same rules. But the amount of income tax calculated at the end of the reporting (tax) period is replaced when calculating interest income by the amount of income tax calculated on the date of disposal of the bond.

On April 5, 2004, the Well company acquired the bond of the Omega issuer at a price of 1,035 rubles, including NKD - 35 rubles. The nominal value of the bond is 1000 rubles. Its issue date is March 1, 2004, maturity date is April 5, 2005. Coupon according to the terms of the issue - 365 rubles. per year (that is, 1 rub. per day). The coupon is paid by the issuer once every three months - June 1, September 1, December 1, 2004 and April 1, 2005.

The first coupon on the bond was received by the Well company in the amount of 92 rubles. (for 92 days that passed from the date of bond issue - March 1 to the date of accrual of the first coupon - June 1, 2004).

Income from this operation was taken into account when calculating income tax for the first half of 2004.

The amount of interest income on the bond for the six months was calculated as follows:

30 rub. + (92 rub. – 35 rub.) = 87 rub.,

where 30 rub. - the amount of income tax calculated from the date of payment of the first coupon (June 1, 2004) until the end of the reporting period (June 30, 2004), that is, for 30 days;

92 rub. - the amount of the first coupon due to the taxpayer for the period from the date of issue of the bond (March 1, 2004) to the date of payment of the first coupon (June 1, 2004), that is, for 92 days;

The bond was sold on July 16, 2004 for 1,045 rubles, including NKD in the amount of 45 rubles accrued from the date of payment of the first coupon (June 1, 2004) until the date of sale, that is, 45 days.

When forming the tax base for income tax for 9 months of 2004, the amount of interest (coupon) income on the bond was calculated as follows:

45 rub. + (92 rub. – 35 rub.) = 102 rub.

General procedure for reflecting coupon income in the tax return. When filling out an income tax return2, interest (coupon) income received by the taxpayer on bonds is reflected in non-operating income.

First, let's look at the situation when the taxpayer, the owner of the bonds, did not sell these securities during the reporting (tax) period and did not present them for redemption to the issuer.

In the declaration for the reporting period, the amount of coupon income on corporate bonds, calculated as of the last day of the reporting period, is reflected on line 030 of sheet 02 along with the rest of the organization's non-operating income.

When filling out a declaration for the tax period, the taxpayer must provide a breakdown of the composition of non-operating income in Appendix No. 6 to sheet 02 of the declaration. Interest received by the taxpayer on corporate bonds is reflected on line 030 of this application. Then the total amount of non-operating income is calculated (line 010 of Appendix No. 6 to sheet 02), which the taxpayer transfers to line 030 of sheet 02 of the declaration.

Let's use the conditions of example 3 and see how interest (coupon) income on unsold (outstanding) bonds is reflected in the annual income tax return.

Let us recall that the amount of interest income for the period from the date of purchase of the bond (October 11, 2004) to the date of payment of the first coupon (November 1, 2004) is 21 rubles, and the amount of income tax attributable to the bond from the date of payment of the first coupon to the end of the tax period , - 61 rub. Thus, the total amount of interest income on this bond for 2004 is equal to 82 rubles.

Accounting for accumulative coupon income on government securities.

As a result of the innovation of the state's obligations under GKOs - OFZs, their owners were provided, in particular, with federal loan bonds with a fixed coupon income (OFZ - FD) with circulation periods of 4 and 5 years.

Coupon income on these bonds is accrued starting from August 19, 1998. The amount of coupon income is 30% per annum in the first year, 25 in the second, 20 in the third, 15 in the fourth, then 10% per annum (clause 2 , 3 Basic conditions for the implementation of innovation on government short-term zero-coupon bonds and federal loan bonds with constant and variable coupon income with maturities until December 31, 1999 and issued before the Statement of the Government of the Russian Federation and the Central Bank of the Russian Federation dated August 17, 1998. , approved by Order of the Government of the Russian Federation dated December 12, 1998 N 1787-r (as amended as of March 3, 1999) “On innovation in government securities”).

In addition, state savings loan bonds (OGSS) and domestic currency loan bonds (OVVZ) continue to circulate on the market, for which the right to receive coupon income is established by the conditions of their issue (clause 4 of the General Conditions for the Issue and Circulation of State Savings Loan Bonds, approved by the Resolution Government of the Russian Federation dated 08/10/1995 N 812, clause 2 of the Conditions for issuing domestic government currency bonded loans, approved by Decree of the Government of the Russian Federation dated 03/15/1993 N 222.

In this regard, it seems relevant to consider the procedure for reflecting accumulated coupon income in the accounting records of organizations.

Coupon income is a form of income on bonds as a type of securities in the form of a predetermined (fixed) or “floating” (variable) interest accrued to their nominal value after a certain period in accordance with the terms of the issue. If the specified period is shorter than the bond’s circulation period (i.e., income is accrued more than once - simultaneously with the redemption of the bond), then the right to receive it is fixed by a cut-off coupon usually included in the bond form (if it is in documentary form), traditionally called a “coupon” (from French coupon - balance, coupon, receipt). Therefore, such income is called coupon income. Accordingly, the accumulated coupon income (ACI) is “part of the coupon income in the form of a percentage of the nominal value of the bond, calculated in proportion to the number of days that have passed from the date of issue of the bonds or the date of payment of the previous coupon income, and included in the transaction price” (clause 2 of the Letter of the Ministry of Finance of Russia and the State Tax Service of Russia dated June 13, 1995 N 53 “On some issues related to the taxation of bonds with variable coupon income”).

Thus, the purchase price of government bonds with coupon income consists of two parts - the principal value and the value of the coupon income accumulated on the day of purchase. And as long as the income tax rate on government bonds differs from the general income tax rate, the income tax will have to be taken into account separately from the principal value of the bond

Currently, experts have proposed four ways to reflect non-accountable income in accounting - according to account 31 “Deferred expenses”, 58 (06) “Short-term (long-term) financial investments”, 76 “Settlements with other debtors and creditors” and 83 “Deferred income ". Let's consider which of them is more consistent with the economic nature of both the income tax paid (when purchasing a bond) and the income tax received (when paying it off or selling a bond).

If the received accrual income is non-operating income, which manifests itself when it is paid within the stipulated period without any movement of the bond itself, then the nature of the accrual paid is ambiguous:

on the one hand, this is part of the investor’s actual costs, and as such, the income tax paid should be accounted for as a debit in the securities accounts;

on the other hand, the investor’s non-operating expense associated with future income, which provides the basis for accounting for the income tax paid in the debit of account 31 “Deferred expenses” or 83 “Deferred income”;

on the third side, this is a debt (of the state or a future buyer), which will definitely be repaid, which makes it possible to take into account the income tax paid in the debit of account 76 “Settlements with other debtors and creditors”.

We believe there is no clear solution.

In our opinion, a preferable method of accounting is one that allows us to take into account the first and second properties of the accrual income paid (accountable accrual as part of the actual acquisition costs and as a non-operating expense), each of which, from our point of view, is in all respects more significant than the third (accountable accrual as accounts receivable), i.e. reflection of the income tax paid:

when purchasing a bond - in the subaccount of account 06 "Short-term financial investments" (for OVVZ new OFZ - FDs acquired with the intention of receiving income on them for more than a year) or 58 "Short-term financial investments" (in all other cases);

upon sale (redemption) of a bond or payment of income tax - in correspondence directly with the debit of account 80 "Profits and losses" without using sales accounts

Sources

Wikipedia.org - free encyclopedia

Yandex. Dictionaries.

Academic. ru - dictionaries and encyclopedias

Mirslovarei.com – collection of dictionaries and encyclopedias

Rnk.ru – Russian tax courier

Top-audit.ru – auditing and consulting group (ACG) "RSM Top-Audit"

Many investors resort to investing money in bonds and making a profit from this procedure in the future. The latter can be in the form of coupons, the difference in price at the time of redemption, as well as indexation. One of the most profitable is coupon income on bonds. This is not a new method of earning money, which will only improve over the years.

Coupon bonds

Bonds were and remain a type whose owners can, within a specified period, receive from the issuer their nominal value plus the interest profit indicated on them.

Many years ago, the financial market issued bonds in printed form with coupons, each of which was then exchanged for money. What is the cut-off part of a certain denomination and payment period. The coupon was cut or torn off on the day the interest on the bond was paid or the bond was redeemed by the banking institution. Hence the “coupon bond” - a type with intermediate payments from the issuer that do not affect its face value. Along with coupon bonds, there are also zero-coupon bonds, which are also called discount bonds.

Concept of coupon income

Today, the lion's share is issued not in paper, but in electronic form, which are stored in a vice digital record on the account. However, among financiers the concept of coupon income on bonds remains. These are no longer cut-off paper parts, but electronic accumulations of funds.

Having an idea of ​​what a coupon and bonds are, it is not difficult to determine that, in essence, the coupon income on bonds is a small but stable cash flow. This term means income on coupon bonds of various types of loans (state, corporate, etc.). According to bankers, this is an analogue of income from a bank deposit (or deposit).

Such income is accrued daily, but is paid after a certain period of time: once a quarter, once every six months or once a year. Funds usually arrive in the investor's account within two to three days from the date the coupon is paid.

Coupon rate

The coupon rate (or interest rate) is the annual percentage return that is calculated relative to the face value of the bond. This is the rate that the issuer pays to the owner of the bond.

For example, if we take the coupon rate in the region of 18 percent per annum, and the bond itself costs one thousand Russian rubles, then over the course of a year the owner of the security will receive a coupon income of 180 rubles.

In the Russian Federation, payments are made twice a year, therefore, from the example described above, it is clear that the owner of the bond will receive 90 rubles twice. If the paper is sold before the coupon is paid, then the money accumulated during ownership will remain in the account, since the cash flow principle works here.

In addition to the coupon rate, there are other methods of generating income on securities. If a bond with a zero rate is purchased, then in this case income is paid in the form of the difference between the cost of issuing the bond and the nominal (that is, the redemption price). Such bonds are called discount bonds because they are issued at a discount to their face value.

What is NKD?

ACI, or accumulated coupon income, is the parameter through which the process of paying interest income is carried out. In other words, the accumulated coupon income allows security holders to purchase or sell bonds on secondary markets until maturity without loss.

At its core, the accumulated coupon income is that part of the coupon income on securities, which is calculated by the number of days from the specific date when the issuer last paid the coupon until the current day.

If the owner sells the bond, then the buyer is obliged to pay him the income tax accumulated by the day of the transaction. By doing this, he compensates the seller for lost income, since the coupon is lost during the sale.

How to correctly calculate NKD

NKD is always calculated depending on the coupon. For example, when purchasing a one-year bond with a 10 percent coupon for 90 percent of the par value, the investor will receive a return to maturity of 20 percent per annum. At the end of the year, he will be paid plus 10 percent of the If the same investor decides to sell bonds for individuals (or legal entities) without waiting for the end of the period, then the NKD will be calculated from the coupon yield of only 10 percent.

So, the accumulated coupon income is always less than the size of the coupon itself. On the day when the NKD is equal to it, a coupon payment occurs by the issuer, after which a new period starts.

Coupon payment options

Coupon payment options are divided into:

• fixed permanent coupon;
• fixed variable coupon;
• floating (or indexed) coupon.

In the first case, the size of the coupon is agreed upon in advance. From the moment the bond is purchased until the expiration of the term, its value does not change. Typically, such documents are paid twice a year.

In a variable fixed coupon, the yield is not fully known. In the payment scheme, the issuer sets interest rates until a certain period, after which the size of the new coupon is determined.

Things are completely different with the third option. Here everything depends on some indicator, due to which the coupon rate is constantly changing. It may vary based on:

• foreign exchange rate;
• inflation rate;
• RUONIA rates;
• key rate of the Central Bank.

Difference between deposit and coupon income

Financial specialists often compare the income from a deposit and the coupon income on bonds. This comparison is not in favor of the first. After all, its profitability depends directly on the period for which the money is invested in the bank. However, there is no way to withdraw your funds until the period ends. Sometimes there are such offers when the invested money can be withdrawn ahead of schedule without loss of interest, but in this case the interest rate will be significantly lower than the market one.

The situation with bonds is a little different. Here you can choose real profitability with minimal risks. However, the duration of the investment does not in any way affect the interest rate. That is, you can hold funds in bonds even for one or two weeks and receive a normal income.

A bank deposit, on the contrary, will bring a return several times lower than the market rate in a couple of weeks. Thus, the advantage is on the side of bonds, where the main role is played not by the coupon rate, but by the accumulated coupon income. It is he who allows the holder of a security to sell it before the end of the term without losing interest income.

Which coupon is better to choose?

Experts conditionally divide the securities market into two huge sectors: high-risk bonds and low-risk ones. In Russia, for example, the latter usually include federal and subfederal ones. And high-risk ones include corporate ones, issued by second- and third-tier companies. The category of the issuer can be easily calculated using the ratings of international agencies. But the most serious risk is considered to be the risk of default in a country or in a specific company. Therefore, before purchasing bonds, you should definitely evaluate its reliability and liquidity.

What would you like to achieve? investing in bonds? Save money and get extra income? Saving for an important goal? Or maybe you dream about how to gain financial freedom with the help of these investments? Whatever your goal, it pays to understand the return your bonds provide and be able to tell a good investment from a bad one. There are several principles for assessing income, knowledge of which will help with this.

What types of income do bonds have?

Bond yield- this is the amount of income as a percentage received by an investor from investing in a debt security. Interest income according to them, it is formed from two sources. On the one hand, fixed coupon bonds, like deposits, have interest rate, which is charged on the face value. On the other hand, have bonds, like stocks, have a price, which may change depending on market factors and the situation in the company. True, changes in the price of bonds are less significant than those of stocks.

Total bond yield includes coupon yield and takes into account its acquisition price. In practice, different profitability estimates are used for different purposes. Some of them only show coupon yield, others additionally take into account purchase price, still others show return on investment depending on tenure- before sale on the market or before redemption by the issuer who issued the bond.

To make the right investment decisions, you need to understand what types of bond returns there are and what they show. There are three types of returns, the management of which turns an ordinary investor into a successful rentier. These are the current yield on interest on coupons, the yield on sale and the yield on securities to maturity.

What does the coupon rate indicate?

Coupon rate is the base percentage of the bond's face value, also called coupon yield . The issuer announces this rate in advance and periodically pays it on time. Coupon period for most Russian bonds - six months or a quarter. An important nuance is that the coupon yield on the bond is accrued daily, and the investor will not lose it even if he sells the paper ahead of schedule.

If a bond purchase and sale transaction occurs within the coupon period, then the buyer pays the seller the amount of interest accumulated from the date of the last coupon payments. The amount of this interest is called accumulated coupon income(NKD) and added to current market price of the bond. At the end of the coupon period, the buyer will receive the coupon in its entirety and thus compensate for its expenses associated with the compensation of the accrued income to the previous owner of the bond.

Exchange bond quotes from many brokers show the so-called net bond price, excluding NKD. However, when an investor orders a purchase, the NCD will be added to the net price, and the bond may suddenly be worth more than expected.

When comparing bond quotes in trading systems, online stores and applications of different brokers, find out what price they indicate: net or with accrued income. After this, estimate the final costs of purchasing from a particular brokerage company, taking into account all costs, and find out how much money will be written off from your account if you purchase securities.

Coupon yield

As the accumulated coupon yield (ACY) increases, the value of the bond increases. After the coupon is paid, the cost is reduced by the amount of the NKD.

NKD- accumulated coupon income
WITH(coupon) - the amount of coupon payments for the year, in rubles
t(time) - number of days from the beginning of the coupon period

Example: the investor bought a bond with a par value of 1000 rubles with a semi-annual coupon rate of 8% per year, which means a payment of 80 rubles per year, the transaction took place on the 90th day of the coupon period. His additional payment to the previous owner: NKD = 80 * 90 / 365 = 19.7 ₽

Is the coupon yield the investor's interest?

Not really. Every coupon period the investor receives a certain amount of interest in relation to face value bonds to the account that he indicated when concluding an agreement with the broker. However, the real interest that an investor receives on invested funds depends on bond purchase prices.

If the purchase price was higher or lower than face value, then profitability will differ from the base coupon rate set by the issuer in relation to the face value of the bond. The easiest way to evaluate real investment income- correlate the coupon rate with the purchase price of the bond using the current yield formula.

From the presented calculations using this formula it is clear that profitability and price are related to each other by inverse proportionality. An investor receives a lower yield to maturity than the coupon when purchasing a bond for more than par.

C.Y.
C g (coupon) - coupon payments for the year, in rubles
P(price) - purchase price of the bond

Example: the investor bought a bond with a par value of 1000 rubles at a net price of 1050 rubles or 105% of the par value and a coupon rate of 8%, that is, 80 rubles per year. Current yield: CY = (80 / 1050) * 100% = 7.6% per annum.

Yields fell - prices rose. I'm not kidding?

This is true. However, for novice investors who do not clearly understand the difference between return to sale And yield to maturity, this is often a difficult moment. If we consider bonds as a portfolio of investment assets, then its profitability for sale in the event of a rise in price, like that of stocks, will, of course, increase. But the bond yield to maturity will change differently.

The whole point is that a bond is a debt obligation, which can be compared with a deposit. In both cases, when purchasing a bond or placing money on deposit, the investor actually acquires the right to a stream of payments with a certain yield to maturity.

As you know, interest rates on deposits rise for new depositors when money depreciates due to inflation. Also, the yield to maturity of a bond always rises when its price falls. The opposite is also true: the yield to maturity falls when the price rises.

Beginners who evaluate the benefits of bonds based on comparisons with stocks may come to another erroneous conclusion. For example: when the price of a bond has increased, say, to 105% and has become more than the face value, then it is not profitable to buy it, because when the principal debt is repaid, only 100% will be returned.

In fact, it is not the price that is important, but bond yield- a key parameter for assessing its attractiveness. Market participants, when bidding for a bond, agree only on its yield. Bond price is a derived parameter from profitability. In effect, it adjusts the fixed coupon rate to the rate of return that the buyer and seller have agreed upon.

See how the yield and price of a bond are related in the video of the Khan Academy, an educational project created with money from Google and the Bill and Melinda Gates Foundation.

What will be the yield when selling the bond?

The current yield shows the ratio of coupon payments to the market price of the bond. This indicator does not take into account the investor's income from changes in its price upon redemption or sale. To evaluate the financial result, you need to calculate a simple return, which includes a discount or premium to the nominal value when purchasing:

Y(yield) - simple yield to maturity/put
C.Y.(current yield) - current yield, from the coupon
N
P(price) - purchase price
t(time) - time from purchase to redemption/sale
365/t- multiplier for converting price changes into percentage per annum.

Example 1: an investor purchased a two-year bond with a par value of RUB 1,000 at a price of RUB 1,050 with a coupon rate of 8% per annum and a current coupon yield of 7.6%. Simple yield to maturity: Y 1 = 7.6% + ((1000-1050)/1050) * 365/730 * 100% = 5.2% per annum

Example 2: The issuer's rating was increased 90 days after purchasing the bond, after which the price of the security rose to 1,070 rubles, so the investor decided to sell it. In the formula, let's replace the par value of the bond with its sale price, and the maturity date with the holding period. We get simple return on sale: Y 2 7.6% + ((1070-1050)/1050) * 365/90 *100% = 15.3% per annum

Example 3: The buyer of a bond sold by a previous investor paid 1,070 rubles for it - more than it cost 90 days ago. Since the price of the bond has increased, the simple yield to maturity for the new investor will no longer be 5.2%, but less: Y 3 = 7.5% + ((1000-1070)/1070) * 365/640 * 100% = 3 .7% per annum

In our example, the bond price increased by 1.9% over 90 days. In terms of annual yield, this already amounted to a serious increase in interest payments on the coupon - 7.72% per annum. With a relatively small change in price, bonds over a short period of time can show a sharp jump in profit for the investor.

After selling the bond, the investor may not receive the same 1.9% return for every three months within a year. Nevertheless, profitability converted into annual percentages, is an important indicator characterizing current cash flow investor. With its help, you can make a decision on early sale of a bond.

Let's consider the opposite situation: as yields rise, the price of the bond decreases slightly. In this case, the investor may receive a loss upon early sale. However, the current yield from coupon payments, as can be seen in the above formula, will most likely cover this loss, and then the investor will still be in the black.

The lowest risk of losing invested funds during early sale is bonds of reliable companies with a short period until maturity or redemption under an offer. Strong fluctuations in them can be observed, as a rule, only during periods of economic crisis. However, their exchange rate recovers fairly quickly as the economic situation improves or the maturity date approaches.

Transactions with safer bonds mean lower risks for the investor, but also yield to maturity or offer they will be discussed below. This is a general rule for the relationship between risk and return, which also applies when buying and selling bonds.

How to get the maximum benefit from a sale?

So, as the price rises, the bond's yield falls. Therefore, to get the maximum benefit from rising prices When selling early, you need to choose bonds whose yield may decrease the most. Such dynamics, as a rule, are shown by securities of issuers that have the potential to improve their financial position and increase credit ratings.

Large changes in yield and price can also be shown by bonds with long term to maturity. In other words, long bonds are more volatile. The thing is that long bonds generate a larger cash flow for investors, which has a greater impact on price changes. How this happens is easiest to illustrate using the same deposits as an example.

Suppose an investor a year ago deposited money at a rate of 10% per annum for three years. And now the bank accepts money for new deposits at 8%. If our depositor could assign the deposit, like a bond, to another investor, then the buyer would have to pay the difference of 2% for each remaining year of the deposit agreement. The additional payment in this case would be 2 g * 2% = 4% on top of the amount of money in the deposit. For a bond purchased under the same conditions, the price would increase to approximately 104% of the par value. The longer the term, the higher the additional payment for the bond.

Thus, the investor will receive more profit from the sale of bonds if he chooses long papers with fixed coupon when rates in the economy decrease. If interest rates, on the contrary, rise, then holding long bonds becomes unprofitable. In this case, it is better to pay attention to securities with a fixed coupon that have short maturity, or bonds with floating rate .

What is the effective yield to maturity?

Effective yield to maturity- this is the investor’s total income from investments in bonds, taking into account the reinvestment of coupons at the rate of the initial investment. To estimate the full yield to maturity of a bond or its redemption under an offer, use the standard investment indicator - cash flow internal rate of return. She shows average annual return on investment taking into account payments to the investor over different periods of time. In other words, this return on investment in bonds.

You can independently calculate the estimated effective profitability using a simplified formula. The calculation error will be tenths of a percent. The exact yield will be slightly higher if the purchase price exceeded the par value, and slightly less if it was below the par value.

YTM OR (Yield to maturity) - yield to maturity, approximate
C g (coupon) - the amount of coupon payments for the year, in rubles
P(price) - current market price of the bond
N(nominal) - bond face value
t(time) - years to maturity

Example 1: the investor purchased a two-year bond with a par value of 1000 at a price of 1050 rubles with a coupon rate of 8% per annum. Estimated effective yield to maturity: YTM 1 = ((1000 – 1050)/(730/365) + 80) / (1000 + 1050) / 2 * 100% = 5.4% per annum

Example 2: the issuer's rating was increased 90 days after purchasing the bond, and its price increased to 1,070 rubles, after which the investor decided to sell the bond. In the formula, let's replace the par value of the bond with its sale price, and the maturity date with the holding period. Let's get the approximate effective yield for sale (horizon yield): HY 2 = ((1070 – 1050)/(90/365) + 80) / (1000 + 1050) / 2 * 100% = 15.7% per annum

Example 3: The buyer of a bond sold by a previous investor paid 1,070 rubles for it - more than it cost 90 days ago. Since the price of the bond has increased, the effective yield to maturity for the new investor will no longer be 5.4%, but less: YTM 3 = ((1000 – 1070)/(640/365) + 80) / (1000 + 1050) / 2 * 100% = 3.9% per annum

The easiest way to find out the effective yield to maturity for a specific bond is to use bond calculator on the website Rusbonds.ru. An accurate calculation of effective profitability can also be obtained using financial calculator or Excel programs through the special function “ internal rate of return"and its varieties (XIRR). These calculators will calculate the rate effective yield according to the formula below. It is calculated approximately using the method of automatic selection of numbers.

How to find out the yield of a bond, watch the video from the Higher School of Economics with Professor Nikolai Berzon.

The most important!

✔ The key parameter of a bond is its yield, the price is a derived parameter from the yield.

✔ When a bond's yield falls, its price rises. And vice versa: when yields rise, the price of the bond falls.

✔ You can compare comparable things. For example, the net price without taking into account the accrued income is with the net price of the bond, and the full price with the accrual income is with the full price. This comparison will help you make a decision when choosing a broker.

✔ Short one- and two-year bonds are more stable and less dependent on market fluctuations: investors can wait for the maturity date or repurchase by the issuer under an offer.

✔ Long bonds with a fixed coupon allow you to earn more by selling them when rates in the economy drop.

✔ A successful rentier can receive three types of income from bonds: from coupon payments, from changes in the market price upon sale, or from reimbursement of the face value upon redemption.

An intelligible dictionary of terms and definitions of the bond market. A reference base for Russian investors, depositors and rentiers.

Discount Bond- discount to the face value of the bond. A bond whose price is below par is said to be selling at a discount. This occurs if the seller and buyer of the bond have agreed on a higher rate of return than the coupon set by the issuer.

Coupon yield of bonds- this is the annual interest rate that the issuer pays for the use of borrowed funds raised from investors through the issue of securities. Coupon income is accrued daily and calculated at a rate based on the face value of the bond. The coupon rate can be constant, fixed or floating.

Bond coupon period- the period of time after which investors receive interest accrued on the face value of the security. The coupon period of most Russian bonds is a quarter or half a year, less often - a month or a year.

Bond Premium- an increase to the face value of the bond. A bond whose price is higher than its face value is said to sell at a premium. This occurs if the seller and buyer of the bond have agreed on a lower rate of return than the coupon set by the issuer.

Simple yield to maturity/offer- calculated as the sum of the current yield from the coupon and the yield from the discount or premium to the face value of the bond, as a percentage per annum. Simple yield shows an investor the return on an investment without reinvesting coupons.

Simple return to sale- calculated as the sum of the current yield from the coupon and the yield from the discount or premium to the sale price of the bond, as a percentage per annum. Since this yield depends on the price of the bond at sale, it can differ greatly from the yield to maturity.

Current yield, from coupon- is calculated by dividing the annual cash flow from coupons by the market price of the bond. If you use the purchase price of the bond, the resulting figure will show the investor the annual return on his cash flow from coupons on the investment.

Full bond price- the sum of the market price of the bond as a percentage of the nominal value and the accumulated coupon income (ACI). This is the price an investor will pay when purchasing the paper. The investor compensates for the costs of paying the NKD at the end of the coupon period, when he receives the coupon in full.

Bond price net- the market price of the bond as a percentage of the nominal value without taking into account the accumulated coupon income. It is this price that the investor sees in the trading terminal; it is used to calculate the return received by the investor on the invested funds.

Effective yield to maturity/put- average annual return on initial investments in bonds, taking into account all payments to the investor over different periods of time, redemption of par value and income from reinvestment of coupons at the rate of initial investments. To calculate profitability, the investment formula for the rate of internal return on cash flow is used.

Effective return on sale- average annual return on initial investments in bonds, taking into account all payments to the investor over different periods of time, proceeds from sales and income from reinvestment of coupons at the initial investment rate. The effective yield on sale shows the return on investment in bonds for a certain period.

Let's assume that you have some amount to invest.

A long and painful selection process, for example, eventually led you to two almost final investment options: a bank deposit or bonds.

The bank, for its part, promises a stable interest rate on the deposit, which, however, strongly depends on the period for which you agree to forget about your finances.

Bonds, in turn, attract you with coupon income, not simple, but accumulated.

So, is ADC on bonds a plus or a minus?

This term remains from the times when bonds did not have the electronic form of a digital record on an account, which is accepted now, but a paper one - with cut-off parts giving the right to periodic receipt of income.

How to “accumulate” this income and not lose it - read the article and make your own decision.

What is accumulated coupon income on bonds

The income tax on bonds is the amount of profit collected, but not yet paid to the owner, from owning this security.

Essence and main functions

The concept of income tax depends on factors such as the size of the coupon and the frequency of payments made on it. The coupon size is the amount paid to the investor at a predetermined period, usually once a quarter or every six months.

Let's look at a clear example: the cost of a specific security is 2 thousand rubles, the yield on it is 12% per annum, and settlements are made with holders once every six months. Accordingly, the investor will be paid 120 rubles every six months (2000*(12/2)%).

But there are cases when the owner needs to sell a security without waiting for the coupon to be settled, and in order to take into account a piece of unpaid profit that exists only in the document, they use the accumulated income, which is included in the value of the asset. This indicator is measured in rubles, and its size increases every day after the payment of coupon income.

So, the NKD allows:

• Sell ​​an asset at any time, without being tied to the date of payments made, thereby maintaining high liquidity of such financial instruments in debt markets.
• Sell ​​and buy bonds at a fair price for both the seller and the buyer.
• Save the collected interest upon early sale, thereby making such an investment more profitable compared to a bank deposit (where early withdrawal of funds is not always possible, and if possible, then with the loss of all interest received, or, with a short-term investment, very low accruals are assumed ).

What does this indicator mean for the buyer and seller?

Let's consider two illustrative situations. Let’s say Vitaly saw in the terminal that bonds were being sold with a face value of 1 thousand rubles. To purchase them, he will need to pay the nominal value + non-refundable income (taking into account the date of purchase). With this, Vitaly compensates for losses on interest payments to Vova, who decided to sell his assets ahead of schedule.