Calculation of the value of a bond with accumulated coupon income. How can a holder calculate the coupon yield on a corporate bond? Coupon income and taxes

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 start 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.

The Beta company purchased on December 11, 2003 for 1040 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 income tax 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 bond issue date - 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 one 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"

Definition of the term coupon income

Coupon income for 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 is profit on government savings loan coupon bonds.

Accumulated coupon income (ACI) is part of the coupon interest benefits on a bond, calculated in proportion to the number of days that have passed from the date of monetary 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 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 rate coupon in percentage and face value.

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

N - nominal

C - current rate coupon(V percent per annum)

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

B - calculation base (365 days)

Profit coupon accumulated - 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 issue of securities 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 to receive their nominal value from the issuer within a certain period of time. price, as well as the interest (coupon) profit declared on them. When bonds are sold, coupon income is included in price their sales. 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 under percent means any pre-declared (established) profit, including in the form of a discount, received by debt obligation of any type, regardless of the method of its design. That part of the interest (coupon) profit, the payment of which is provided for by the terms emissions security, and the amount is calculated in proportion to the number of days that have passed from the date of issue securities or the date of payment of the previous coupon income before the date of completion of the contract (date of transfer securities), is called the accumulated interest (coupon) benefit (ACB). This definition is given in paragraph 4 of Article 280 of the Tax Code RF. The calculation of the income tax is carried out by the owners of state and municipal securities, as well as corporate bonds, issuer which is not a company, but a company.

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

Procedure for tax accounting of interest (coupon) profit

According to paragraph 6 of Article 250, interest (including discount) received on securities is recognized as non-operating benefits. Features of maintaining tax accounting of income (expenses) in the form of interest on securities are established by Article 328 of the Tax Code RF. Paragraph 1 of this article provides that the taxpayer, based on analytical accounting of non-operating income and costs decrypts income ( costs) in the form of percentages for different debt obligations. For securities income(expenses) are reflected in the amount of interest due in accordance with the terms of the securities issue.

Bondholders take into account in analytical accounting the amount of benefit 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 profit 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 maturity of a security) falls on more than one reporting period, then for tax purposes the profit 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, profit is recognized on the date of repayment of the debt obligation (sale of a security).

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

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 for corporate bonds in code There are no special rules. The question arises: is it possible to apply the provisions of paragraph 7 of Article 328 code for accounting for accrued income 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, when they are issued, the coupon income must be announced in advance. This profit is accrued at certain intervals issuer and is paid to the owners of securities according to the rules stated during the cash issue. When selling both securities, the tax accrual is included in the price agreements. 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 the interest (coupon) profit on corporate bonds is calculated by taxpayers using the accrual method.

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

Interest (coupon) profit 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 of securities, and the amount of income tax calculated at the end of the previous reporting (tax) period;

either in the form differences 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 balance sheet companies.

This procedure for calculating coupon income applies if you have not made interest payments (coupon redemption) for the current reporting (tax) period.

Organization“Beta” purchased on December 11, 2003 for 1040 rubles. (including NKD - 40 rubles) corporate bond issued by the issuer "Alpha". The bond issue parameters are as follows:

The nominal value of the bond is 1000 rubles;

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

The accounting policy of the Beta organization states 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 benefit in the form of interest (coupon) profit on the bond for 2003 was calculated as follows:

61 rub. - 40 rub. = 21 rub.,

where 61 rub. — NKD, calculated from the moment of monetary issue of the bond until the end of 2003;

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

When forming tax base for the first quarter of 2004, the amount of non-operating profit in the form of interest on the bond was calculated as follows. First, the accountant of the Beta organization determined the amount of income tax for the period from the date of issue of bond securities (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 benefit 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 redemption), then the taxpayer, when forming tax base for a given period, takes into account as income interest calculated and accounted for such payments (repayments), as well as the amount of income tax accrued at the end of the reporting (tax) period.

Income received when the issuer pays interest (coupon redemption) is accounted for as follows. At the first payment of interest (coupon redemption) in the reporting (tax) period, profit in the form of interest is calculated as 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, the profit is recognized as equal to the amount of interest paid (coupon redemption).

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

When forming the tax base for the first quarter of 2004, the Beta organization (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 profit 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 benefit for the given period for the bond owner.

If bonds were purchased by a taxpayer in the current tax period, then profit in the form of interest 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 is taken into account to the seller security in price concessions.

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 under the terms of the securities issue—RUB 365. 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, Gamma calculated the amount of non-operating profit in the form of interest on the bond as follows.

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

92 rub. - 71 rub. = 21 rub.,

71 rub. - this is the amount of NKD paid to the seller when purchasing a security on October 11, 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 profit 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 profit by the amount of income tax calculated on the date of disposal of the bond.

On April 5, 2004, the Well organization 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. The date of its monetary issue is March 1, 2004, the maturity date is April 5, 2005. Coupon under the terms of the securities issue—RUB 365. 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 organization in the amount of 92 rubles. (for 92 days that passed from the date of issue of the bond - March 1 to the date of accrual of the first coupon - June 1, 2004).

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

The amount of interest benefit 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 the 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 the bond issue (March 1, 2004) to the date of payment of the first coupon (June 1, 2004), that is, for 92 days;

When forming the tax base for income tax for 9 months of 2004, the amount of interest (coupon) profit 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, the interest (coupon) profit received by the taxpayer on bonds is reflected in non-operating income.

First, we will analyze 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.

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

Let us recall that the amount of interest profit 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 the 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 benefit on this bond for 2004 is equal to 82 rubles.

Accounting for accumulative coupon income on government securities.

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

Coupon income by data bonds are 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 (clauses 2, 3 of the Main Conditions implementation innovations for 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 Russia and the Bank of Russia dated August 17, 1998, approved by the Order of the Government of the Russian Federation dated December 12, 1998 N 1787-r (as amended as of 03/03/1999) "About innovations on government securities").

In addition, government 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 securities issue (clause 4 of the General Conditions for the Issue and Circulation of State Savings Loan Bonds, approved by Decree of the Government of Russia dated 10.08.1995 N 812, clause 2 of the Conditions for the issue of domestic government currency bond loans, approved by Decree of the Government of Russia dated 15.03.1993 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 profit 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 securities issue. If the specified period is shorter than the bond’s circulation period (i.e., the profit 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 profit is called coupon profit. 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 price of the agreement” (clause 2 of the Letter of Min. Finance of the Russian Federation and the State Tax Service of the Russian Federation dated June 13, 1995 N 53 “On some issues related to the taxation of bonds with variable coupon income”).

Thus, the purchased state 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 rate tax for state income bonds will differ from the general income tax rate, income tax will need 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 borrowers” and 83 “deferred income” ". Let's consider which one 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 a non-operating gain, which is manifested 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 taken into account as a debit in the securities accounts;

on the other hand, the investor’s non-operating costs associated with future profit, which provides the basis for accounting for the income tax paid on debit accounts 31 “deferred expenses” or 83 “deferred income”;

on the third side, it is a debt ( states or a future buyer), which will definitely be repaid, which allows you to take into account the income tax paid on debit account 76 "Settlements with other debtors and borrowers".

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 income as part of the actual acquisition costs and as non-operating costs), each of which, from our point of view, is in all respects more significant than the third (accumulation income as accounts receivable), i.e. reflection of the income tax paid:

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

at sale(redemption) of a bond or payment of income tax - in correspondence directly with the debit of account 80 “profit and loss” 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"

Investor Encyclopedia. 2013 .

coupon income- Income from coupons of bonds and other coupon securities for a certain period (“coupon period”). Topics: economics EN coupon yield… Technical Translator's Guide

COUPON INCOME- (coupon yield) See: coupon. Business. Dictionary. M.: INFRA M, Ves Mir Publishing House. Graham Betts, Barry Brindley, S. Williams and others. General editor: Ph.D. Osadchaya I.M.. 1998 ... Dictionary of business terms

Accumulated Coupon Income- See accumulated coupon income Dictionary of business terms. Akademik.ru. 2001... Dictionary of business terms

Interest (coupon) income- 2.6. Interest (coupon) income is income in the form of interest accrued to the face value of bonds...

Greetings! Bonds are a unique security that can generate several types of income at once: coupons, difference in price at maturity, and even indexation.

Almost all Russian bonds provide for regular coupon payments. So, coupon income on bonds is a small but regular cash flow. Which will certainly not be superfluous in a crisis.

Have you heard the expression: “coupon clipping”? This is just about bonds and their income part. Previously, bonds were issued in paper form. And the coupon served as a cut-off part, which was exchanged for a cash premium on the bond.

Today, of course, no one cuts off coupons anymore. Most debt securities are issued electronically and exist as digital entries in accounts. But the historical name “coupon income” stuck.

The coupon rate is the annual percentage of the yield on the face value of the bond. For example, if the coupon rate is 12% per annum, and the bond costs 1,000 rubles, then the owner of the bond will receive a coupon income of 120 rubles per year. It's simple!

In Russia, coupons are usually paid twice a year. Therefore, the owner of the bond in the hypothetical example will receive 60 rubles twice. And even if you decide to sell the paper without waiting for payment, the interest accumulated during ownership will still fall into your pocket. After all, unlike a bank deposit, the mechanism works here!

Note! The coupon rate is always applied to the face value of the bond! Even if by the time of maturity the bond price falls to 500 or rises to 2,000 rubles, 6% per annum will still be charged on the nominal thousand.

Coupon payment options

Fixed permanent coupon

The coupon size as a percentage is known in advance. From the date of placement until maturity, its value does not change.

Example. Federal loan bond “OFZ-26217-PD” with a circulation period of 2121 days with a coupon of 7.5% per annum. The coupon is paid twice a year.

Fixed variable coupon

The coupon yield is only partially known in advance. In the coupon payment schedule, the issuer enters the value of the rates until a certain date. After which the size of the new coupon is determined: either it changes or remains the same.

Example. “Sberbank-17-bob” with a circulation period of 1826 days. The coupon is paid every six months. Initially, the coupon was fixed at 10% per annum (for the first coupon period).

At the end of the first half of the year, a note appeared in the “Coupons” section (website http://www.rusbonds.ru): “The rate of coupons 2-4 is equal to the rate of the 1st coupon.” This means that for the next three coupon periods (second, third and fourth) the rate is fixed at 10% per annum.

After April 8, 2018 (end date of the fourth period), the coupon size of the BO-17 series will be revised again.

Floating (indexed) coupon

In such bonds, the coupon rate is constantly changing because it is tied to some indicator.

The coupon rate may depend on:

Dollar exchange rate
Consumer Price Index (Inflation Rate)
Central Bank key rate
RUONIA bets

Example No. 1. "AHML-13-ob" with a circulation period of 3153 days (since August 27, 2009). The coupon is paid twice a year. On the Rusbonds website we are looking for AHML-13-ob bonds. and go to the “Coupons” section.

The note says: “The coupon size is equal to the refinancing rate one business day before the end of the coupon period and a premium of 2.5%, but not more than 20%.” The calculation formula is tied to the refinancing rate - the higher it is, the higher the coupon yield.

In the column “Rate % per annum” we see how the coupon size has changed since mid-2010. In certain coupon periods, AHML bondholders received 12.5% and even 13.25%. And during periods of lower refinancing rates, bond yields fell to 10.25-10.75% per annum.

Example No. 2. "RZD-10-bob" with a circulation period of 5460 days. The coupon is paid twice a year. The note to the “Coupons” section states that the rate of 2-30 coupons (that is, from the second to the thirtieth period) is calculated as the annual inflation rate plus 1% per annum.

In the section “Rate % per annum” we see that in different coupon periods the size of coupons was different: from 7.5% (in 2014) to 17.4% (at the end of 2015).

Coupon income and taxes

The bond holder pays personal income tax in the amount of 13% of:

Coupon amounts
Positive difference between purchase and sale prices

Coupons for federal loan bonds and municipal bonds (unlike securities of the same Gazprom or Sberbank) are exempt from taxation. Plus(!) you can save on taxes using an IIS. If you buy a bond and do not sell it within three years, you are entitled to a 13% tax deduction.

Which coupon should I choose?

The bond market is conventionally divided into two large segments: low-risk and high-risk bonds. The first include OFZs and municipal bonds. The second category includes corporate bonds of companies of the second and third echelons. The category of the issuer is determined using. Now I will not go into detail about how exactly this happens, perhaps in the future I will make a separate article on this subject...

The best option is to make up several types of bonds. For example: short-term bonds for current savings, corporate bonds with high yield for 2-3 years and Eurobonds for protection against currency risks.

What bonds do you invest in? Subscribe to updates and share links to the latest posts with your friends on social networks!

P.S. By the way, for those who like to tickle their nerves, there is a very high-risk strategy - "Junk Bonds"(literally - Junk bonds). But I'll tell you about it another time.

The material uses slides from the Moscow Exchange presentation.

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.

After the coupon payment date arrives, Vitaly will receive them in full from the issuer, and thereby return the amount of profit due from owning the asset paid to the seller.

Vova urgently needed money, so he needs to sell his asset four months before payment for securities at par value, increased by two months' cash accrual. Vova will receive his profit from investing for these two months not from the issuer, but from the buyer.

How can you find out the parameter value?

Taking into account the amount of accumulated income when purchasing a bond is very important, since it increases the price of the selected financial instrument (that is, you will need to add this amount to the price that you see in the book of quotes on the stock exchange).

You can find out the amount of accumulated coupon income in the trading terminal in a special column of the same name, or on specialized sites, for example, RusBonds in the general information section:

You can also independently calculate using the formula, for which you will need to know the denomination of a specific security (N), the size of the coupon in percentage (S) and the date of the last payments on it (the number of days elapsed after payments - T): N * S/100 * T /365.

Let’s say, with a face value of 2 thousand rubles, 12% yield and 30 days after payments made, the required amount will be: 2000 * (12/100) * 30/365 = 19.73 rubles.

Also, keep in mind that this amount increases every day until payments to investors are made according to the schedule.

What's the outcome

The indicator we have considered makes the bond a liquid financial instrument on the debt markets and allows it to be sold at any time at a fair price for all parties to the transaction.

Having even a small amount of money, you can invest it profitably for any period not specified in advance and at a good interest rate, which will be much more effective than a bank deposit, the profitability of which directly depends on the size of the deposit and the term of investment.

Source: "ruslantrader.ru"

NKD on bonds - what is it and what is the essence

Accumulated Coupon Income or Accumulated Coupon Income is a parameter with the help of which the mechanism for paying interest income is implemented in bonds, i.e. The presence of an NKD makes it possible to buy and sell bonds on the secondary market before the maturity date without losing coupon income.

Accumulated Coupon Income is a part of the coupon income on a bond, which is calculated based on the number of days from the date when the issuer last paid a coupon until the current day.

To make the concept of income tax clearer, let's consider this parameter from the point of view of the buyer and the seller.

From the buyer's side

Imagine that you want to buy a bond. You open the quote book and look at the prices, let's say the bond you are interested in is trading at 100% of the par value (bond prices are always expressed as a percentage of the par value).

You decide to buy this bond, but to buy it, you will have to pay not 100%, i.e. not the price you see in the glass, but 100%+NKD, why? Because the person who sells it to you does so in the middle of the coupon period.

In other words, the previous owner held the bond for 2 months, during which he accumulated coupon income. The issuer pays the coupon for the security you have chosen once every six months, i.e. you, as a buyer, compensate your counterparty for the income that he has accumulated over 2 months, and when the full coupon period ends (i.e. in another 4 months), the issuer will pay you the coupon in full for 6 months.

Thus, you will compensate for the 2 months of NKD that you paid when purchasing the bond, plus you will receive income for 4 months during which you held the bond.

From the seller's side

Imagine that you have had a bond in your portfolio for 5 months, but you decide to sell it. However, there is still 1 month left until the end of the coupon period (i.e., until the day the issuer pays the coupon on the bond), but you need the money urgently. It turns out that you are selling the bond ahead of schedule, without waiting for the end of the coupon period.

How will you generate income? And you will receive income at the expense of the buyer who will buy this bond from you, because your counterparty (or the buyer of your bond) will pay you the price of the bond, for example, 100% plus NKD for the 5 months during which you held this security.

How is it calculated

NKD is always calculated based on the coupon. For example, if an investor buys a one-year bond with a 10% coupon for 90% of the par value, then in fact he has a simple yield to maturity of 20% per annum (because at the end of the year he will receive a 10% coupon plus 10% income from the exchange rate difference, because bought at 90%, and repayment will take place at 100%).

But if the investor sells the bond without waiting for maturity, then the NKD will be calculated based on the coupon yield of 10%, and not on the yield to maturity of 20%.

The opposite is also true: if the coupon on a bond is 20% of the par value, and the paper was purchased for 110%, then the simple yield to maturity will be equal to 10% (+20% coupon -10% difference in price), however, with an early sale, the income tax will be calculated based on a coupon yield of 20%, rather than a yield to maturity of 10%.

Thus, the NKD is always less than the coupon. On the day when the ACI equals the coupon, a coupon payment will occur from the issuer, after which the ACI will be reset to zero and will be calculated again from the new coupon period.

How to find out the size of the income tax before buying a bond

The size of the tax accreditation can be found out in two ways: the first is to look at the RusBonds website in the “General Information” section in the Questionnaire for the issue of the security you are interested in.

Second, look in the QUIK trading terminal; the necessary information will be reflected in the “NKD” column.

QUIK trading terminal

Taxes

The tax agent for income in the form of a coupon is the issuer, i.e. coupon payments are transferred to the investor's account already cleared of tax.

If you bought a bond at the beginning of the coupon period and decided not to wait for the coupon to be paid by the issuer, but sold it to someone else (i.e., in fact, this new owner of the bond transferred the NKD to you), in this case the tax on the NKD is withheld broker.

Deposits and interest VS bonds and NKD

The profitability of a bank deposit directly depends on the period for which you “lock” your money; the shorter the period, the lower the profitability. There are, of course, deposits for which money can be withdrawn early, but the interest rate will be significantly lower than the market rate.

In bonds, the situation is different, you have the opportunity to choose an acceptable return (market, so that the risks are minimal, or even higher), while the investment period will not in any way affect the interest rate.

In other words, you can keep money in bonds for only 2 weeks, and get the return at the market level. A bank deposit for two weeks will give a return at best two times lower than the market one, or even less. Such an advantage in bonds is possible precisely due to the presence of a non-accountable deposit, which allows you to sell securities ahead of schedule without losing interest income.

Source: "stock-list.ru"

Is the NKD mechanism for bonds fair?

Last year was very successful for Russian bonds. Debt securities have shown the highest returns in the last 10 years! In my opinion, in 2016-2017, bonds are one of the most attractive assets for investment. Bonds are reliable and affordable, and their yield is higher than average deposit rates.

But the list of their advantages does not end there. For example, a bond can be sold at any time without losing the coupon yield accrued up to that moment. NKD on bonds is an excellent way to fix the yield of a security at any time, and not just on the coupon payment day.

But bank deposits do not provide such an opportunity! If you withdraw your deposit ahead of schedule, you lose all accrued interest. As a “consolation”, the bank will pay you a symbolic demand rate: 0.01% per annum.

In Russia, most bonds are of the coupon (interest) type. The income on them is set by the issuer in advance in the form of a percentage of the nominal value. The coupon size is known even before the bonds are sold! 99% of bonds traded in Russia practice periodic coupon payments. Interest is accrued to the investor once every six months or once a quarter.

What if you decide to sell the bond not on the coupon payment day, but within the coupon period? Do you lose the interest accrued up to this point, as in the case of early closure of a bank deposit?

No! Thanks to the NKD, you will receive the entire amount of accumulated coupon income by the time the bond is sold, accurate to one day.

What is NKD

NKD stands for “accumulated coupon income.” How is NKD measured? In monetary units (usually rubles). The fact is that owning a bond provides the investor with daily income in the form of a coupon. But in fact, he receives money “in hand” once a quarter or once every six months.

What if the bond is sold a couple of months before the coupon payment? How to take into account that “piece” of income that so far exists only on paper? The mechanism for transferring accumulated income from the buyer to the seller is implemented using the tax accrual.

Why is this needed:

The bond can be sold on any day of the coupon period at a fair price. Without the NKD, all transactions would have to be tied to the dates of coupon payments. Which would seriously reduce the liquidity of the bond market.
The NKD allows you to sell and buy bonds at a fair price (for both the seller and the buyer).

Unlike a bank deposit, early sale of a bond will not lead to the loss of income accumulated up to that point.

For the buyer

Vasily enters the terminal and sees that federal loan bonds (OFZ) are being sold for 100% of their face value: 1000 rubles. To buy OFZ, he will have to pay 1000 rubles + NKD on the date of purchase.

Thus, Vasya compensates for the loss of coupon income for Petya, who decided to sell his OFZs in the middle of the six-month coupon period. As soon as the next coupon payment date arrives, Vasya will receive coupon income for the full six months from the issuer.

For the seller

Petya sells the Gazprom bond at par two months after the last coupon payment. Maybe you needed money urgently, or found a more profitable asset for investment. There are four months left until the next coupon payment – and Petya doesn’t want to wait that long.

He sells the bond early for par value plus two months' cash advance. In fact, he will receive coupon income not at the expense of the issuer of the security, but at the expense of the buyer of the bond.

How is NKD calculated?

On the RusBonds website, the accumulated coupon income for each bond is displayed as a separate line in the “General Information” section. If you trade bonds through the terminal, then information about the cash flow is displayed in the column of the same name:

NKD = N*(C/100)*T/B,

where N is the par value of the bond in rubles;
C – coupon rate in percent per annum;
T – number of days from the date of accrual of the last coupon to the current date;
B – calculation base (usually taken to be 365 days).

Let’s take, for example, the AHML 10ob bond with a maturity date of November 15, 2018. The current nominal value is 500 rubles, the coupon is 8.12% per annum. The last coupon payment was made on September 20, 2016. The bond is sold on October 15.

We calculate the amount of accumulated coupon income for 25 days (this is how much has passed since the last coupon accrual).

NKD = 500*(8.12/100)*25/365 = 2.78 rubles.

In other words, if other conditions remain unchanged, on October 15, the AHML 10ob bond will be sold at a price of 502.78 rubles.

Every day its price will increase by the amount of the “daily” NKD. At some point, coupon income will be accrued on the bond (according to the schedule) and the income tax will be “reset to zero”. From the next day the calculation will begin again.

Let's summarize

The NKD allows you to sell bonds on the market at any time without losing the profitability accumulated up to that time. It is the NKD that makes the bond a more liquid instrument than a bank deposit. The deposit rate directly depends on the deposit term: the longer the term, the higher the profitability. To get the maximum interest, you need to “freeze” the funds in your bank account for 2-3 years.

Bonds also make it possible to fix the size of the coupon at the time of purchase of the security. But at the same time, you do not need to wait 2-3 years before maturity - you can sell the bond at any time, receiving from the buyer all the coupon income accrued up to that moment.

Source: "capitalgains.ru"

Accumulated coupon income

As a rule, bond quotes are indicated without taking into account the income that has accumulated on the coupon while the bond is in circulation. The longer a bond is in circulation and the closer the coupon payment date, the higher the price of the bond. The figure shows the change in bond price during the period between coupon payments:

The figure shows, as an example, data on the dynamics of changes in income on a coupon bond.

The par value of the bond is 1000 rubles. The coupon income was declared by the issuer in the amount of 200 rubles, i.e. coupon rate 20%. The coupon period is 92 days, and the investor wants to sell the bond on the 60th day of the coupon period.

When calculating coupon income, the following rule is accepted: every day the coupon income increases by the same amount.

In our example, the daily increase in coupon income is 2.17 rubles. (200/92). During circulation, the coupon income increases evenly, and at the end of the coupon period, the owner of the bond will receive a coupon income in the amount of 200 rubles.

If the owner of the bond sells it on the 60th day, he will demand that he be paid not only the cost of the bond, but also the income tax, which is calculated by the formula:

where C is the amount of coupon payments;
T - duration of the coupon period;
r - the number of days from the beginning of the coupon period to the day of the transaction.

In our case, the NKD will be:

In this regard, the transaction price consists of the cost of the bond and the accumulated coupon income. If in the example under consideration at the time of the transaction the market value of the bond (Robl) is 990 rubles, then the transaction price will be set at (990 + 130.43) = 1120.43 rubles.

Thus, the seller of the bond receives the NKD through the transaction price. At the end of the coupon period, the new owner of the bond will receive a coupon income of 200 rubles. on the day of coupon payments.

When purchasing bonds, you should also take into account such a factor as the “ex-dividend” date, which determines the recipient of the coupon income.

In many countries, the rule is that the income from a bond goes to whoever held the bond on the “ex-dividend” date. The need to introduce such a date is due to the fact that it takes a certain time to calculate and transfer coupon income to bondholders.

Therefore, as a rule, a few days before the set date for payment of income, the composition of bondholders is fixed, who receive the interest due on the bonds. The date of registration of bond owners is called the “ex-dividend” date.

The period from the date of record of bondholders to the date of coupon payments is called the “ex-dividend” period. When quoting bonds that are in the “ex-dividend” period, special marks are made so that stock market participants can navigate price dynamics.

In the UK, for example, when quoting such bonds, the sign xd is placed, meaning that the buyer of the bond will not receive coupon income on it. If a bond is held before the “ex-dividend” date, then its quotation indicates the “net” price of the bond without taking into account the accumulated coupon income. In this case, the buyer pays the seller the net price of the bond and the accumulated coupon income.

If the bond is in the “ex-dividend” period, then the quotes published in information publications take into account the full coupon income that the seller of the bond will receive on the day of coupon payments.

In order to determine the transaction price, from the specified quote it is necessary to subtract the interest due to the buyer for the period from the date of purchase of the bond to the date of coupon payments, and the interest on the coupon that the former owner will receive on the day of coupon payments.

For example, a bond with a face value of 100 f.s., which pays 9% per annum semi-annually, is sold in the “ex-dividend” period 21 days before the next coupon payment. The bond quote is 111.156% of the face value.

The transaction price is determined as follows:

where Рxd are bond quotes in the “ex-dividend” period;
C - coupon income;
Ti is the number of days from the date of purchase of the bond to the date of coupon payments.

In our example, the transaction price per bond will be:

From the bond quotation, the coupon income of 4.49 pounds sterling, which will be received by the seller of the bond on the day of coupon payments, and interest in the amount of 0.52 pounds sterling, due to the buyer who purchased the bond 21 days before the payment of the coupon income, are deducted .

Source: studme.org

Formula for calculating accumulated coupon income

NKD is a value measured in monetary units and characterizing that part of the coupon income that has been “accumulated” since the beginning of the current coupon period. Bond coupons are paid periodically, usually once a quarter, six months or a year. Accordingly, after the next coupon is paid and a new coupon period begins, the coupon begins to “accumulate”.

The importance of calculating this indicator is due to the fact that in most bond markets they are traded on the so-called. “net price”, which does not include the income tax (there are truths and exceptions). Thus, in order to get the full price that the buyer of the bond will pay to the seller (it is also called the “dirty” price), it is necessary to add the NKD to the net price.

Calculated using the following formula:

For example, if the size of the next coupon on a bond is $50, the start date of the coupon period is 01.04, the end date of the coupon period (coupon payment) is 01.10, then at the time of 01.09 the income tax will be 50*153/183=41.80

The amount of accumulated coupon income can also be expressed not through the size of the coupon in monetary units, but through the coupon rate as a percentage (usually these are the formulas given in issuer prospectuses).

Then the NKD formula will have the following form:

Source: "cbonds.ru/glossary"

Yield on federal loan bonds (OFZ)

Lending to the state to generate income is a good idea for making money. Its instrument is federal loan bonds. Not only the International Monetary Fund, but also individuals can lend money to Russia at interest and, importantly, return it at any day. Even during the crisis, the current OFZ yield is 9-10%.

Another argument in favor of these securities is their maximum independence from any unfavorable factors.

The rate is determined in advance and does not change. There is also no problem that exists for bank deposits - the risk of license revocation. In 2015, more than 100 Russian banks were closed.

The main advantages of the federal loan bond market:

Availability – a minimum lot of 1,000 rubles can be purchased by any investor.
Guaranteed coupon income - unlike the owner of shares, whose profit is unstable, the holder of the OFZ regularly receives a coupon (its size and payment period are agreed upon in advance). The coupon yield can be reinvested.
Liquidity. Possibility to return the invested funds at any day (unlike a bank deposit). The paper can be sold before its maturity date.
By selling OFZs before the next coupon is paid, the owner receives the accumulated coupon income.
The value of securities changes. Therefore, the yield on federal loan bonds can be increased by resale at a favorable price.
No taxation of coupon income.

Of course, there are risks of owning OFZs - this is the risk of default. In a fatal economic situation, when the state cannot service its debt, the issuer - the Ministry of Finance - may undertake restructuring: the OFZ income will be paid to you in new bonds.

What is the current yield

Let's calculate the income using the example of rates on bonds existing in 2016. For example, the nominal value of the OFZ is 1000 rubles. Price – 100% of face value. The coupon is 8.6% and is paid once a year. That is, the holder will receive 86 rubles per year. Dividing the annual income by the price of the OFZ at the moment, we get the yield: 86/1000 * 100% = 8% - this is a simple coupon yield on a federal loan bond.

Using an example from life, let’s calculate what the real return will be if you invest money in federal loan bonds.

For example, we take OFZ 26207, traded in 2016. The standard denomination is 1,000 rubles. Repayment date – 02/03/2027. The price as of January 21, 2016 is equal to 84.3% of the face value, that is, 843 rubles. The minimum price that day was 82.85%.

The coupon is equal to 40.64 rubles. (4.064%). The frequency of coupon payments is 2 times a year.

Let's calculate: The amount received by the OFZ holder per year will be 81.28 rubles. (coupon 40.64 is paid twice a year 40.64*2 = 81.28).

At par, this yield will be 8.128% per annum (81.28/1000*100%). The calculations did not take into account one important point. In fact, the OFZ was purchased not at a par value of 1000 rubles, but at 843 rubles.

OFZ 26207 was purchased for 843 rubles. (84.3% of face value). (On the same day, some investors bought it at 82.85%). And the government of the Russian Federation, if we hold the paper until 02/03/2027, will repay it to us in 1000 rubles. (1000 - 843)/1000*100% = 15.7% to the main yield. Unfortunately, we will receive this income only after 11 years.

Let's calculate the above yield relative to one year; in 2016, there are still 11 years until the OFZ redemption: 15%/11 = 1.43% per annum.

Accordingly, the annual yield of our federal loan bond was 9.64% + 1.43% = 11.07% per annum.

By the end of May 2016, the same bond was trading closer to 100%. On May 17, 2016, ITinvest clients sold OFZ 26207 at 96.85% (the maximum price that day was 97.46%).

Accordingly, for each bond purchased at the beginning of the year, they earned 125.5 rubles. This is 14.89% for four months without taking into account coupon yield.

OFZ rates allow these securities to be good instruments for long-term cash investments. Liquidity and daily coupon income make trading possible. You can track the cost of federal loan bonds online using the free SmartX program. It also shows the number of transactions, quotes for previous periods, maturity, etc.

Source: "itinvest.ru"

Bond yield and coupon payments

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 of securities, the owners of which 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 a coupon? This is a cut-off part of a security of a certain denomination and maturity date. 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 of security 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 of securities are 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 bond issuer pays to the bondholder. 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? The accumulated coupon income (ACI) is the parameter by 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 calculate correctly

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 exchange rate difference. If the same investor decides to sell bonds for individuals (or legal entities) without waiting for the end of the period, then the income tax will be calculated from a 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 bonds into two huge sectors:

High risk. These 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.
Low risk. In Russia, for example, these usually include federal and municipal bonds, as well as subfederal ones.

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.

- certifying the loan relationship between the creditor - the owner of the bond and the debtor - the issuer of the bond.

The bond certifies the deposit by its owner of funds and confirms the obligation to reimburse him the face value of the bond within a predetermined period with the payment of a fixed percentage.

TO main parameters of the bond include: nominal price, redemption price if it differs from nominal, rate of return and interest payment terms. The moment of interest payment is stipulated in the terms of the issue and can be made once a year, semi-annually or quarterly.

Methods of paying income on a bond

In world practice, several methods are used to pay income on bonds, including:

establishing a fixed interest payment;
application of stepped interest rates;
use of a floating interest rate;
indexing the nominal value of the bond;
sale of bonds at a discount (discount) against their nominal price;
carrying out winning loans.

Establishing a fixed interest payment is the most common and simplest form of payment of income on bonds.

Using stepped interest rate several dates are set after which bondholders can either redeem them or leave them until the next date. In each subsequent period the interest rate increases.

The interest rate on bonds can be floating, i.e. changing regularly (every six months, etc.) in accordance with the dynamics of the central bank discount rate or the level of profitability placed through auction sales.

In some countries, as an anti-inflationary measure, issue of bonds with a face value indexed to growth .

Some bonds do not pay interest. Their owners earn income by purchasing these discounted bonds(discount against face value), and repay at face value.

Bond income may be paid in the form of winnings, which go to their individual owners based on the results of regularly held draws.

Bond rate

Bonds, being the object of purchase and sale on , have a market price, which at the time of issue may be equal to the par value, as well as lower or higher than it. Market prices differ significantly from each other, therefore, to achieve their comparability, it is calculated bond rate. The bond rate is the purchase price of one bond per 100 monetary units of par value. The bond rate depends on the average loan market interest rate existing at the moment, the maturity date, the degree of reliability of the issuer and a number of other factors.

The exchange rate is calculated using the formula:

R k— bond rate;
R- market price;
N— nominal price of the bond.

Bond yield

The yield of a bond is characterized by a number of parameters that depend on the conditions proposed by the issuer. So, for example, for bonds that mature at the end of the period for which they are issued, the yield is measured:

coupon yield;
current profitability;
full profitability.

Coupon yield

Coupon yield- the rate of interest that is indicated on the security and which the issuer undertakes to pay for each coupon. Coupon payments can be made quarterly, semiannually or annually.

For example, bonds have a coupon yield of 11.75% per annum. The par value of the bond is 1.0 thousand rubles. There are two coupons for each year. This means that the bond will bring a semi-annual profit of 58.75 rubles. (1.0 . 0.1175 . 0.50), and for the year - 117.5 rubles.

Current yield

Current yield (C.Y.) bonds with a fixed coupon rate - defined as the ratio of the periodic payment to the purchase price.

Current yield characterizes the annual interest paid on invested capital, i.e. for the amount paid at the time of purchasing the bond. Current profitability is determined by the formula:

For example, if the coupon yield is 11.75% and the bond rate is 95.0, then its current yield will be:

At the same time, the current yield does not take into account changes in the price of the bond during its storage, i.e. another source of income.

The current yield of the bonds being sold changes in accordance with changes in their prices on the market. However, from the moment of purchase it becomes a constant (fixed) value, since the coupon rate remains unchanged. It is easy to see that the current yield of a bond purchased at a discount will be higher than the coupon, and that of a bond purchased at a premium will be lower.

The current yield indicator does not take into account the exchange rate difference between the purchase and redemption prices. Therefore, it is not suitable for comparing the performance of operations of operations with different initial conditions. Yield to maturity is used as a measure of the overall performance of a bond investment.

Yield to maturity

The yield to maturity (YTM) is the interest rate in the discount factor that equates the present value of the bond's payment stream with its market price.

Let's look at some of the most important properties of this indicator. It essentially represents the internal return on an investment (IRR). However, the real bond yield to maturity will be equal to YTM only if the following conditions are met:

It is obvious that, regardless of the investor’s wishes, the second condition is quite difficult to fulfill in practice.

The table shows the results of calculating the yield to maturity of a bond purchased at the time of issue at a par value of 1000 with maturity in 20 years and a coupon rate of 8%, paid once a year, at different reinvestment rates.

Dependence of yield to maturity on the reinvestment rate

From the above calculations it follows that there is a direct relationship between the yield to maturity and the coupon income reinvestment rate. With a decrease, the value will also decrease, and with an increase, the value will also increase.

Total return

Total return takes into account all sources of income. In a number of economic publications, the indicator of total profitability is called room rate. By determining the placement rate in the form of an annual compound or simple interest rate, one can judge the effectiveness of the purchased security.

The accrual of interest at the placement rate on the purchase price gives income equivalent to the income actually received on it for the entire period of circulation of this bond until its redemption. The placement rate is a calculated value and does not appear explicitly on the securities market.

When determining the yield of a bond, the purchase price (market price) is taken into account, which itself depends on a number of factors. The buyer of a bond, at the time of its acquisition, expects to receive income in the form of a series of fixed payments in the form of fixed interest, which are made throughout the entire period of its circulation, as well as reimbursement of its face value at the end of this period.

Therefore, if the payments received annually from bonds are placed on a bank deposit or invested in some other way and begin to generate annual interest income, then the value of the bond will be equal to the sum of two terms - the modern value of its annuities (a series of annual interest payments) and the modern value of its face value :

(9.3)

In the case where a bond provides for interest payments semi-annually or quarterly, the market value of the bond is calculated using the formulas:

Example. For a bond with a nominal value of 10.0 thousand rubles. for 10 years (the period until its repayment) interest payments in the amount of 1.0 thousand rubles will be paid annually at the end of the year. (g= 10%), which can be deposited in a bank at 11% per annum. Let's determine the bond price at different interest rates.

The market price of the bond according to formula (9.3) will be:

All about car tuning

Calculation of the value of a bond with accumulated coupon income. How can a holder calculate the coupon yield on a corporate bond? Coupon income and taxes

Determination of coupon income, calculation procedure

Information on determining coupon income, calculation procedure

Coupon payment options

Fixed permanent coupon

Fixed variable coupon

Floating (indexed) coupon

Coupon income and taxes

Which coupon should I choose?

What is accumulated coupon income on bonds

Essence and main functions

What does this indicator mean for the buyer and seller?

How can you find out the parameter value?

What's the outcome

NKD on bonds - what is it and what is the essence

From the buyer's side

From the seller's side

How is it calculated

How to find out the size of the income tax before buying a bond

Taxes

Deposits and interest VS bonds and NKD

Is the NKD mechanism for bonds fair?

What is NKD

For the buyer

For the seller

How is NKD calculated?

Let's summarize

Accumulated coupon income

Formula for calculating accumulated coupon income

Yield on federal loan bonds (OFZ)

What is the current yield

Bond yield and coupon payments

Concept of coupon income

Coupon rate

How to calculate correctly

Coupon payment options

Difference between deposit and coupon income

Which coupon is better to choose?

Methods of paying income on a bond

Bond rate

Bond yield

Coupon yield

Current yield

Yield to maturity

Total return