To begin with, if you need to find out the accumulated coupon yield for the current date, you can always look at it on the website of the Moscow Exchange moex.com or on the website of the Interfax agency rusbond.ru
It should not be surprising that the NKD values on the Moscow Exchange website and the NKD values on the Interfax agency website differ from each other. This is due to the trading regime on the Moscow Exchange. Federal loan bonds are traded in the T + mode, that is, with settlements carried over to the next trading day. Therefore, the NKD on the website of the exchange for OFZ is always greater than the value on the website of the Interfax agency.
Important afterword
The calculation method presented in the article is not suitable for all bonds. The number of days of the coupon period can be calculated in different bases. Recently I came across a manual with a methodology for calculating bond yields and accumulated coupon yield on the Moscow Exchange website. I don’t remember in which of the sections of the exchange portal I found it, so I’m posting it here for free download.
In the archive offered for download, in addition to the methodology, I have attached an Excel file with the construction of charts for stocks. Here is a link for download: Methodology for calculating ACI and profitability download
Your opinions and personal experiences in the field of bonds will be welcome when you share them in the comments to this article. I will also be glad to questions and will try to find answers to them, or maybe they are already known to me - ask questions in the comments to the article, do not hesitate, I will answer everyone.
That's all for today, my dear readers.
Bond calculator Is a great tool for investors who use bonds in their work. With its help, you can calculate your financial result from bond ownership both in nominal and in percentage terms. In this case, the calculator takes into account taxes and broker commissions, that is, you can immediately estimate your "net" income.
The calculator can also compare different bonds with each other to make it easier for you to make the best choice. And also calculate the price at which you need to buy the bond in order to get the desired yield. All you need is to enter the initial data.
Appearance:
The calculator consists of several blocks:
- Income
- Expenses
- Coupons and depreciation
- Payment Schedule
- Financial results
- Profitability
The yellow fields are for data entry. All calculations take place on their basis.
How does the calculator work?
The calculator is a MS Excel file. In it you will find the calculator itself, detailed user instructions and examples. To calculate the profitability, you need to enter the initial data in the yellow cells, it takes no more than 2 minutes of time (it is recommended to take the data from the Rusbonds.ru website):
- purchase costs (face value, price, date, NKD, number of securities);
- income from sale / redemption (date, price, NKD);
- coupon yields (dates and bond coupon or face depreciation).
Calculations occur automatically as the cells are filled.
You can purchase four versions of the calculator to choose from: Lite, Full, Max and Ultra.
To order, enter in the payment form the price for the selected version of the calculator (the Ultra version is selected by default), the type of payment (Yandex wallet, bank card) and click the Transfer button, enter your email address. The calculator will be sent to your email within 24 hours.
One of the options for making a profit is to act as a lender. And if the state acts as the debtor, then this investment option is definitely worth considering. OFZ revenues will exceed bank interest, while the reliability of investments is higher than bank deposits.
What is the return on investment for OFZ
Abbreviation stands for federal loan bonds, they are issued by the state, and any person who bought them acts as a creditor. The yield on OFZ depends on a number of factors, including the expiration date, more on this below.
Of the advantages of this investment method, we note:
- high reliability - only the state's default will prevent the fulfillment of debt obligations. The probability of this is low, but banks are closed annually and there is no guarantee that your bank will not suddenly turn out to be bankrupt, it will be difficult to return the money;
- profitability is higher than bank interest;
- in addition to coupon payments, the investor can receive income from the sale of bonds during their expiration. If they trade at a price higher than at the time of purchase, then the difference will be your additional profit. Income from investing in government bonds can exceed 20% per annum with a successful combination of circumstances;
- low entry threshold - the par value of the bond is 1000 rubles, everyone can allocate this amount.
There are risks, but they are insignificant and are associated only with the likely default of the state. There are simply no other reasons for default on debt obligations, and there is you are guaranteed to receive income from OFZ 2 times a year(most often coupons are paid once every six months).
An example of calculating the effectiveness of investing in bonds:
- Suppose you decide to buy bonds with an expiration date in 2023 - OFZ 46022. They promise to pay 8.13% per year. At the moment, they are being sold cheaper than face value (89.497% of face value). Investment amount - 100,000 rubles;
- per year, the investor would receive income from the bonds of the loan at the level of 8.13 x 100,000/100 = 8130 rubles if the transaction was made at a bond cost of 1000 rubles. Let's adjust the amount of profit taking into account the lower cost of bonds at the time of purchase 8130/89497 х 100% = 9.08%;
- one more nuance - the government would repay these bonds at a price of 1,000 rubles apiece, which would give additional income in the amount of (1,000-894.97) / 1,000 x 100% = 10.5%. If we recalculate the additional interest per year, we get 10.5 / 6 = 1.75%;
- total real income per year would not be 8.13%, but 9.08 + 1.75 = 10.83%.
Shown is not the most profitable investment option. If desired, OFZ income can be increased by about 2 times.
How to get the most out of your bond investment
Any individual in the Russian Federation can use the law on investment accounts, which was adopted in 2015. An investor who has invested an amount of up to 400,000 rubles for a period of 3 years or more has the right to take advantage of the tax deduction, i.e. the state will return you 13% of the investment, as a result, the income on federal loans will grow significantly.
If we use the previous example, in addition to 10.83% per year, the investor will receive + 13% of the investment amount in the form of a tax deduction, i.e. 52,000 rubles per year. Total annual OFZ yields will be 10.83 + 13 = 23.83%, the bank will never offer this.
As for the classification, bonds can be divided according to the type of payments:
- with fixed payments - dividends are paid every 6 months until the bonds are redeemed;
- with variable payment - the amount of payment is being linked to a floating interest rate;
- with a fixed coupon payment - the volume of OFZ income changes, but the limits of changes are specified in advance.
There are also differences in the method of redemption of the par value:
- OFZ-AD - the redemption of the par value is made in installments at regular intervals (amortization of the par value);
- OFZ-IN - face indexation, this type is more profitable due to the fact that the income on OFZ of this type is higher than inflation by about 2.5%.
The issue of choosing securities for investment is especially acute - a lot of securities are issued, the interest rates on them differ greatly, and the expiration date can vary from a couple of months to 10-15 years. Even now, you can buy papers with an expiration date around 2034. We we recommend taking into work options with OFZ income at the level of 8-10% and be sure to use the opportunity to receive a tax deduction.
Here's a short list of the most attractive investment options for 2017 and beyond. As a criterion, we select the OFZ income and the tolerable payment terms, i.e. we will not pay attention to securities for which maturity after 2030.
29011-PC - with a variable coupon, there were no defaults, the last issue will be in December 2017, the payout percentages can be seen in the screenshot. Maturity date - 2020;
29012-PC - Also variable coupon payments, maturity set for 2022. The last placement will take place in December 2018;
24019-PC - Variable coupon payout last December 2018 with redemption in 2019. Investors receive about 10% of the invested amount annually as OFZ income;
46014-AD - debt amortization option, can be considered as a short-term investment, repayment will take place in 2018, in recent years, the yield has dropped to 7%.
OFZ 26204-PD, letters ПД indicate constant coupon yield. This investment will also generate a profit of 7.5% per year. The expiration date is 2019.
| OFZ 26204-PD issue maturity March 2018 | ||||
| Number | Coupon expiration | Coupon term | Percentage per year | Ruble rate per region |
| 1 | 22.09.2011 | 183 | 7.5% | 37.60 |
| 2 | 22.03.2012 | 182 | 37.40 | |
| 3 | 20.09.2012 | |||
| 4 | 21.03.2013 | |||
| 5 | 19.09.2013 | |||
| 6 | 20.03.2014 | |||
| 7 | 18.09.2014 | |||
| 8 | 19.03.2015 | |||
| 9 | 17.09.2015 | |||
| 10 | 17.03.2016 | |||
| 11 | 15.09.2016 | |||
| 12 | 16.03.2017 | |||
| 13 | 14.09.2017 | |||
| 14 | 15.03.2018 | |||
A more detailed list can be found on specialized sites, for example, at rusbonds.ru, rbc.ru. From ourselves, we will only add that you need to pay attention not only to income from government loans, but also to such parameters as the reliability of the issuer, the maturity date.
The current yield on a bond is the ratio of the recurring payments to the purchase price of the bond. Since coupon bonds are usually traded at a price higher than par, the current yield will be below the coupon rate for this bond. If the bond is trading at a price below par, then the situation will be reversed. Accordingly, using a financial calculator, having determined the current yield of a bond, you will get an idea of what yield in% per annum you can count on this bond.
Total: Current bond yield: enter data% per annum.
Bond yield to maturity
The bond's yield to maturity calculator is the interest rate at a discount rate that equates the declared coupon flow to the current market value of the bond. This indicator is calculated on the condition that you intend to hold bonds until their maturity. The more expensive you bought the bond, the lower the yield to maturity.
Total: Bond yield to maturity: enter data% per annum.
Bond yield to sale
The bond-to-sell yield calculator is the interest rate at a discount rate that equates the declared coupon flow to the current market value of the bond. The more expensive you bought the bond, the lower the yield to sale.
Total: Bond yield to sale: enter data% per annum.
Current bond price
The financial calculator of the present (current, fair) value of a bond is an estimate of how much a bond should cost at the present (or current) moment, the parameters of which are known.
Total: Current bond price: Enter the details of rubles.
The amount of the coupon yield on the bond
The calculator allows you to calculate the amount of coupon payment per 1 bond, which you can count on, saving it until the date of coupon payment.
Total: The amount of the coupon yield on the bond: Enter the details of rubles.
Accumulated coupon yield
The calculator allows you to calculate the amount of accumulated coupon yield for a given date per 1 bond, i.e. the amount that will have to be paid when buying 1 bond on a given date.
Total: Accumulated coupon yield: Enter the details of rubles.
Advantages
The main advantages of a bonded loan:
- investment of large funds without the threat of interference of bondholders in the management of the organization;
- attraction of funds from private investors (population) and legal entities for a sufficiently long period and possibly on more favorable terms than shares and other securities;
V difference from stock, which represents the equity capital of a joint stock company, the bond is a representative of the borrowed capital. Shares are issued only by joint-stock companies, bonds - by any commercial organizations and the state.
Bond par- the amount of money indicated on the security, which the issuer borrows and promises to pay at the end of a certain maturity and on certain conditions of the interest rate.
By timing- there are urgent and unlimited.
Views
Government bonds- securities issued to cover the budget deficit on behalf of the state or local authorities, but necessarily guaranteed by the government.
The state establishes also. issue rate - the price at which bonds are sold to banks. The market price is the price at which people buy and sell in the market for loans.
Corporate bonds- securities issued by corporations (legal entities) to invest in their activities. Typically, they are long-term debt instruments with maturities over one year.
Coupon bonds- securities containing cut-off coupons, on which, after a specified period, interest income is accrued and paid.
Many investors seek to invest their money more profitably than in a bank deposit, but at the same time they do not want to go into the intricacies of exchange trading. Bonds will be the ideal investment option in this case. It is these securities, in their essence, that represent exchange-traded analogs of bank deposits, since they have an end date of maturity and a regularly paid interest - a coupon (as a rule, either once a quarter or once every six months). In addition, they, like deposits, allow investors not to worry about sharp price changes (unlike stocks) and, by the way, can also be secured and guaranteed.
It should be borne in mind that by investing in bank deposits, an investor a priori accepts the risk of the banking sector, which may increase from time to time. When investing in bonds, the investor himself chooses the industry and the issuer, that is, he gets the opportunity to diversify his bond portfolio much more widely. In other words, invest in the most reliable bonds of the Russian Federation (OFZ), and in various municipal securities with extremely high reliability and at the same time increased yield, as well as in corporate bonds of various companies, the yield of which often exceeds the rates of bank deposits. In the process of such diversification, the investor is gaining a whole portfolio of bonds, and it is not always clear what kind of return this portfolio will demonstrate.
Types of bond yields
Based on the fact that any portfolio consists of securities included in it, it is important to understand how the yield of the bonds themselves is calculated and what it is. First of all, it should be noted that bonds are coupon (when money is paid on a regular basis - interest) and discount (securities are traded cheaper than their face value - redemption prices, in practice they are less common).
The methodology for calculating coupon and discount bonds is somewhat different. The formula for calculating the yield on discount bonds is as follows:
D = (N-C) / C * 365 / Dn * 100, where:
D - the yield of the discount bond,
... Н - redemption (sale) price,
... C - purchase price,
... Days is the number of days to maturity.
So, for example, if we buy a discount bond for 900 rubles. (90%), the face value of which is 1000 rubles, and in a year the paper is redeemed, then we will have:
(1000-900) / 900 * 365/365 * 100 = 11.1% yield.
It is worth noting that if, for example, the maturity of such a security is not in a year, but in two years (730 days), then the yield of the security will already be lower - 5.55%, since there are no interim payments on discount securities.
The situation with coupon bonds is a little more complicated. First, it is worth considering that a coupon bond can be purchased at a price different from the redemption price (i.e. buying it, for example, at 980 rubles (98%) with a face value of 1000 rubles, we will earn 20 rubles, or 2.04% of the invested amount) and thus also earn on the "body" of the bond. But in addition to the "body", in such bonds there are also coupon payments, which are made with a certain period, indicated in days in the table "Current trading" as "Coupon duration" (as a rule, 70% - 182 days (half a year) and 30% - 91 days (quarter)). Also in this table are given:
Coupon sizes (in rubles) in the "Coupon size" column,
... date of coupon payment in a similar column in the format dd.mm.yyyy,
... accumulated coupon yield in the column "NKD" in rubles (money received by the bondholder during the holding period of the last coupon period when selling before coupon payment),
... "Face value" - the amount of money paid to holders upon redemption for one security,
... "Maturity date" - the date on which the denomination will be paid,
... "Demand" - the best bid price (indicated in% of the face value),
... "Offer" - the best offer price (also indicated in% of the nominal value),
... lot (number of securities in a lot 99% - 1 paper - 1 lot),
... percentage of change from the close of the previous session (the same as in stocks),
... "Profitability", the calculation methods of which are discussed in this article.
Table 1 Current trading with parameters for bonds
Looking at these columns, you can determine the number of coupon payments per year by dividing 365 (the number of days in a year) by the value of the coupon duration (for example, 182). The resulting value will be two. Next, you can multiply the value of the coupon size (for example, 65 rubles) by the number of payments per year (for example, 2), thereby obtaining the total amount of money paid to us on the bond per year (65 * 2 = 130 rubles).
To understand what yield can be obtained in this case, it is necessary to correlate the money received on coupons to the purchase price of the bond - this yield will be called the "current bond yield".
Formula for calculating the yield to maturity of a bond
The calculation of the current yield of bonds is made according to the formula:
D = Kv / C * 100, where:
Кв - the size of coupon payments,
... C is the purchase price.
That is, by buying a security for 1000 rubles. (100% of the par) and having earned 130 rubles, we get the current profitability equal to 13% (130/1000 * 100).
But it is worth considering that a bond can be bought at a different price than par, and held for more than one year (for example, 2 years or until maturity), and continue to receive coupon payments.
The calculation of such a yield will be made according to the formula for calculating the yield to maturity of the bond:
D = ((N-C) + Kv) / C) * 365 / Dn * 100, where:
H - face value (or the price of the subsequent sale),
... C - the price of the paper,
... Кв - the sum of coupon payments for the period of possession of the security,
... Days - the number of days of holding.
That is, if you take paper at 980 rubles. (98%), a total of 130 rubles are paid per year. coupons, and the planned holding period is 730 days, you get: ((1000-980) +260) / 980 * 365/730 * 100 = 14.28%.
Now, having knowledge of the methods for calculating the yield of bonds, we can talk about calculating the yield of a bond portfolio. Portfolio profitability is defined as the share of invested funds for the profitability of a given share:
Дп = ∑Parti * Дi, where:
Дп - portfolio profitability,
... Share i - the share of funds invested in the i-th security,
... Di is the profitability of the i-th share.
That is, if the portfolio consists of two bonds - with a yield to maturity of 12% and 13%, respectively (the maturity period is 1 year), then it is necessary to determine the share of each security in the portfolio (if there is free cash, then their share too). Let's say that 30% of cash was invested in paper # 1 with a yield to maturity of 12%, and 60% of cash was invested in paper # 2 with a yield to maturity of 13%. Another 10% remained in the form of cash. The formula for calculating the return on such a portfolio will be as follows: 0.3 * 12 + 0.6 * 13 + 0.1 * 0 = 11.4%. That is, the total return on a bond portfolio is made up of the returns on the shares included in this portfolio.
Output
The formula for calculating the return on a bond portfolio is the same as the formula for calculating the return on a portfolio in the classical portfolio theory. The main difference between portfolios of stocks and bonds from the point of view of determining the yield is that the yield of a stock is defined as "the vector of the direction of its price movement", and in bonds the yield to maturity (or for the holding period) is determined.
