Bond valuation. Bond and its types Restrictions on the issue of bonds

Bonds have a face value (face value) and a market price. The nominal price of the bond is printed on the bond itself and indicates the amount that is borrowed and repayable at the expiration of the bond loan. The nominal price is the base value for calculating the income generated by the bond. The interest on the bond is set to the face value, and the increase (decrease) in the cost of the bond for the corresponding period is calculated as the difference between the nominal price at which the bond will be redeemed and the purchase price of the bond.

Another difference is that for bonds, the par value is a very important parameter, the value of which does not change throughout the entire term of the bond issue. It is at the initially fixed value of the face value that the bonds will be redeemed at the end of their circulation period. For shares, the nominal value is a conditional value, since shares are mainly sold and bought at a price that is not tied to the face value (shares, as you know, can be issued without specifying the face value).

Bonds are an attractive investment object for buyers, and therefore a commodity for resale. From the moment of their issue until maturity, they are sold and bought at prices established in the market. The market price at the time of issue (issue price) may be below par, equal to par or higher than par. In the future, the market price of bonds is determined based on the situation prevailing in the bond market and the financial market as a whole at the time of sale, as well as the two main elements of the bond issue itself. These elements are:

The prospect of receiving the face value of the bond upon redemption (the closer the maturity date of the bond at the time of purchase, the higher its market value);

The right to a regular fixed income (the higher the income generated by the bond, the lower its market value).

The market price of bonds also depends on a number of other conditions, the most important of which is the reliability (degree of risk) of investments.

Since the denominations of different bonds can differ significantly from each other, there is often a need for a comparable measure of market prices for bonds. This indicator is the course.

The rate of a bond is the value of the market price of a bond, expressed as a percentage of its face value:

K o \u003d C p / N ∙ 100%,

where Ko - bond rate, %;

Pr - the market price of the bond, rub.;

N - nominal price of the bond, rub.

For example, if a bond with a par value of Rs. is sold for 1500 rubles, then its rate is 150.

In foreign practice, in addition to the nominal and market, another cost characteristic of bonds is used - their redemption price, at which the issuer repays the bonds upon the expiration of the loan term. The redemption price may coincide with the nominal value, or may be higher or, conversely, lower than it. Russian legislation excludes the existence of a redemption price, since the Federal Law “On the Market valuable papers» No. 39-FZ dated April 22, 1996, with subsequent amendments and additions, establishes the holder's right to receive its face value from the issuer. This means that bonds can only be redeemed (repurchased) at face value.

Bond income

Bonds, being, like other securities, an object of investment in the stock market, bring their holders a certain income.

The total return on a bond is made up of the following elements:

1. Periodically paid interest (coupon income);

2. Changes in the value of the bond for the relevant period;

3. Income from the reinvestment of interest received.

1. A bond, unlike a stock, brings the owner fixed current income. This income represents permanent annuities - annual fixed payments over a number of years. As a rule, interest on bonds is paid 1-2 times a year. Moreover, the more often interest payments are made, the more potential income the bond brings, because the received interest payments can be reinvested.

The amount of coupon income on bonds depends primarily on the reliability of the bond, in other words, on who is its issuer. The more stable the issuing company and the more reliable the bond, the lower the interest offered. In addition, there is a relationship between interest income and the maturity of a bond: the longer the maturity date, the higher the interest should be, and vice versa.

Interest (coupon) payments on bonds can be conditionally divided into three groups:

Fixed annual payments at the rate set by the issuer when issuing bonds;

Indexed annual payments. The interest index on bonds is determined by the issuer most often in accordance with the state inflation index. Indexation allows investors to receive a stable income in real terms, protected from inflationary fluctuations in the prices of basic goods and services. The interest rate on bonds can also be indexed to some amount directly related to the purpose of the loan, such as the volume of output or the price of 1 kWh for loans for energy projects. The same group of coupon payments can include interest payments that increase over time;

Paid at the same time as the principal amount of the debt.

2 . The bond may also income from changes in value bonds from purchase to sale. The difference between the purchase price of a bond (P o) and the price at which the investor sells the bond (P) is the capital gain invested by the investor in a particular bond (D = P p - P o).

This type of income is brought primarily by bonds purchased at a price below par, i.е. with a discount. Selling bonds at a discount important point for the issuer is to determine the selling price of the bond. In other words, at what price should a bond be sold today if the amount to be received in the future (nominal) and the base rate of return (refinance rate) are known. The difference between the face value and the market price is a discount and represents the income on this type of bond.

3. The last element of total income is interest income from reinvestment- is present only on the condition that the current income received in the form of interest on the bond is constantly reinvested. This type of income can be quite significant when buying long-term bonds.

The total, or total, return on bonds is usually lower than on other securities. This is primarily due to the fact that bonds are more reliable than other types of securities. Bond yields are less subject to cyclical fluctuations and are not as dependent on market conditions as, for example, stock yields.

A bond is characterized by a nominal value and a market price.

nominal value(nominal price) - the face value indicated on the bonds or announced by the issuer when placing the bonds. The face value is the base value for calculating the income generated by the bond. Bonds are redeemed at the initially fixed par value.

Purchase and sale of bonds is carried out at prices established in the market. Factors that shape the market price of a bond:

The situation in the financial market as a whole;

The prospect of receiving the face value of the bond upon redemption (the closer the maturity date of the bond at the time of purchase, the higher its market value);

The right to a regular fixed income (the higher the income, the higher the market value of the bond).

Bond rate- the value of the market price of the bond, expressed as a percentage of its face value:

where Ko is the bond rate;

Рр - the market price of the bond;

H is the face value of the bond.

The total return on a bond is made up of the following elements:

Periodically paid interest (coupon income) - a series of payments made at fixed time intervals for a certain number of periods (annuity);

Changes in the value of the bond for the relevant period;

Income from the reinvestment of interest received.

When evaluating bonds, it is of primary importance the concept of current (present) value, which, in general, is understood as the amount of money that an investor must pay for a financial asset so that at certain intervals this asset brings him the required amount of money. The basis for determining the current value is the discounting formula:

, (3.2)

where Po is the current value of the bond at some point in time (t=0);

Ct - periodic coupon payments on the bond;

H is the face value of the bond;

i- interest rate discounting;

n is the number of periods after which coupon payments are made.

To determine the current value of a bond, four parameters must be known:

* amount of coupon payments and face value;

* the frequency of receipt of coupon payments, determined by the value of t;

* Duration of the bond circulation period;

* interest rate i, at which cash flows are discounted.

If the bond is a discount (with a zero coupon), then the formula for calculating the present value is as follows:

. (3.3)

If coupon payments on bonds are made several times a year (m times), then the formula for calculating the present value takes the following form:

. (3.4)

The current value of bonds is a benchmark for the formation of market prices.

Bond yield. In general, profitability is a relative indicator that characterizes the income per unit of costs. Bond yields can be calculated in various ways:

Current yield;

Yield to maturity (full or final yield).

Current yield characterizes the annual (current) receipts on the bond relative to the costs incurred during its acquisition. The current yield of a bond is calculated as follows:

The current yield is the simplest characteristic bonds. Using only this indicator, it is impossible to choose the most effective bond for investing funds, since the calculation of the current yield does not reflect the change in the value of the bond over the period of its ownership.

Yield to maturity (full yield) characterizes the total income on the bond attributable to the unit of costs for its acquisition. This indicator is calculated as follows:

where n is the number of years the investor has owned the bond.

The change in the value of a bond is equal to the difference between the par value and the purchase price if the investor holds the bond to maturity. If an investor sells a bond without waiting for maturity, then the change in value is measured by the difference between the sale and purchase price of the bond.

A bond is an interest-bearing debt instrument, a security that evidences a loan has been granted by its holder. A bond is a security that certifies a loan relationship between its owner (creditor) and the person who issued it (borrower).

The current Russian legislation defines a bond as an emissive security that secures the right of its holder to receive from the issuer of the bond, within the period stipulated by it, its nominal value and the percentage of this value fixed in it or other property equivalent. Thus, a bond is a debt certificate, which includes two main elements: the obligation of the issuer to return to the bondholder at the expiration of the amount indicated on the face of the bond; the obligation of the issuer to pay the bondholder a fixed income in the form of a percentage of the face value or other property equivalent.

Fundamental properties of bonds: 1) Certificate of loan; 2) The final maturity date; 3) Seniority before the shares in the payment of% and in liquidation; 4) Do not give the right to manage; 5) Mandatory payments%.

Advantages and disadvantages of issuing bonds for the issuer

Advantages: 1) Cheaper way of borrowing compared to a bank loan. 2) Longer borrowing period compared to bank loans. 3) The possibility of attracting significant amounts of resources. 4) Flexibility of financing. 5) No need to secure bond loans with the issuer's assets. 5) Creation of a public credit history of the issuer.

Disadvantages: 1) The need for market research. 2) Possible increase in transaction costs associated with the placement and servicing of the bond issue. 3) Problems arising from the possible restructuring of the issuer's company.

Bond collateral. Such securities are issued under the pledge of specific property - land or securities owned by the issuing company. In case of non-payment of the debt and interest on it, the pledge is sold, the proceeds from which go to satisfy the claims of the bond holder. A mortgage is issued - a type of debt obligation under which the creditor, in the event of non-repayment of the debt by the borrower, receives one or another real estate (land, buildings) or financial collateral (securities of securities of other companies owned by the issuer). Covered bonds are senior bonds. Depending on the type of collateral, bonds are distinguished: 1) with collateral in the form of securities and real estate; 2) with a guarantee; 3) with a bank guarantee; 4) with a state or municipal guarantee.

Types of bonds. There is a wide variety of bonds, to describe their types, we classify bonds according to a number of features. The following classification can be proposed: 1. Depending on the issuer, bonds are distinguished 1) state, 2) municipal, 3) corporate, foreign.

2. Depending on the terms for which the loan is issued, there are: 1) bonds with a specified maturity date (short-term, medium-term, long-term); 2) bonds without a fixed maturity (perpetual, callable bonds, redeemable bonds, renewable bonds, deferred bonds).

3. Depending on the order of ownership: 1) registered (ownership rights are confirmed by entering the name in the text of the bond); 2) bearer (possession rights are confirmed by a simple presentation of the bond).

4. According to the purposes of the bonded loan: 1) ordinary (issued to refinance the issuer's debt); 2) targeted (funds from the sale of these bonds are used to finance specific investment projects).

5. According to the method of placement 1) freely placed, 2) forcedly placed.

6. Depending on the form in which the borrowed amount is reimbursed 1) with reimbursement in cash, 2) with reimbursement in kind.

7. According to the nominal redemption method: 1) redemption by a single payment; 2) repayment for a certain period of time; 3) sequential repayment with a fixed share of the total.

8. Depending on the payments made by the issuer: 1) bonds on which only interest is paid; 2) bonds on which capital is returned at face value, but interest is not paid; 3) bonds on which interest is not paid until maturity; 4) bonds for which a fixed income and the nominal value of the bond are periodically paid when it is redeemed.

9. By the nature of circulation 1) non-convertible, 2) convertible - exchange of bonds for shares of this issuer.

10. Depending on the collateral 1) unsecured, 2) secured by collateral.

11. Depending on the degree of protection of investors' investments: 1) reliable bonds worthy of investment; 2) junk bonds of a speculative nature.

12. Periodic payment of income on bonds in the form of interest is made on coupons. A coupon is a cut coupon with a coupon (interest) rate indicated on it. According to the methods of payment of coupon income, bonds are allocated: 1) with a fixed coupon rate; 2) with a floating coupon rate; 3) with a uniformly increasing coupon rate over the years of the loan; 4) at minimum or zero coupons; 5) with payment by choice.

A bond has the following price characteristics: face value (or nominal price), issue price, redemption price, market price. The cost characteristics of bonds include: nominal price; issue price; redemption price; bond rate; market price; market value of the bond.

Nominal price - the value in monetary units, which is indicated on the bonds. Bonds, as a rule, are issued with a fairly high par value compared to other securities. The issue price is the price at which bonds are sold to their first owners. It can be equal to, less than or greater than the face value, this is determined by the type of bond and the terms of issue. The redemption price is the price paid to bondholders at the end of the loan term. In most cases, the redemption price of a bond is equal to its face value (the redemption price level is fixed at the time of issue), but may differ from the nominal price. Bond rate - the ratio of the market price of a bond to its face value, expressed as a percentage.

Market price is the market price at which bonds are sold in the secondary bond market. Although each bond has a strictly defined face price, issue price, and redemption price (the level of which is fixed when the bond is issued) of the loan, the market price of a bond in the free market can change significantly over the life of the bond - it fluctuates relative to the theoretical market value of the bond, which, according to essentially, acts as the estimated market price of the bond.

The market value of a bond is the calculated theoretical value, the most likely expected price for a possible sale at a given moment in the free market. The market value is usually calculated by a professional appraiser commissioned by the investor. The general approach to determining the theoretical (market) value of any security is as follows: in order to determine how much, in the opinion of a given investor, an appraiser should cost a security at a given point in time, it is necessary to discount all income that the owner expects to receive during the time of possession of the security.

Depending on the method of paying interest income, two types of bonds can be distinguished:

Bonds with periodic payment of interest income (coupon bonds);

Zero-coupon (or discount) bonds, the income on which is formed from the difference between the redemption price of the bond and the issue price and is paid when the bond is redeemed.

The interest on the bond is set to the face value, and the increase (decrease) in the cost of the bond for the corresponding period is calculated as the difference between the nominal price at which the bond will be redeemed and the purchase price of the bond.

The market price of bonds also depends on a number of other conditions, the most important of which is the reliability (degree of risk) of investments.

Since the denominations of different bonds can differ significantly from each other, there is often a need for a comparable measure of market prices for bonds. This indicator is the course.

The rate of a bond is the value of the market price of a bond, expressed as a percentage of its face value.

In practice, quite often, for example, when the issuer determines the parameters of the issued bonded loan, the investor chooses when buying a particular bond and the formation of optimal investment portfolios by professional market participants, there is a need to establish the financial efficiency of a bonded loan, which boils down to determining the yield of bonds.

In general, profitability is a relative indicator and represents the income per unit of costs. Distinguish between current yield and full, or final, yield of bonds. The current yield indicator characterizes the annual (current) receipts on the bond relative to the costs incurred to purchase it.

The current yield of a bond is the simplest characteristic of a bond. Using only this indicator, it is impossible to choose the most effective bond for investing funds, since another source of income is not reflected in the current yield - the change in the value of the bond over the period of its ownership. Therefore, on bonds with a zero coupon, the current yield is zero, although they bring income in the form of a discount.

Both sources of income are reflected in the indicator of the final, or full, yield, which characterizes the total income on the bond per unit of cost for the purchase of this bond per year. There are two important factors that affect bond yields. It's inflation and taxes. If the yield on the bond is 14% per year, and the inflation rate is 13%, then the real yield will be only 1%. If the inflation rate rises to 14% or more, then investors - holders of bonds with a fixed income of 14% - will have the prospect of receiving zero income or even incur losses. Therefore, under conditions of inflation, investors avoid investing in long-term bonds (although issuers are undoubtedly interested in them) in order to maintain the return on their own investments at a level commensurate with the base rate of return - the refinancing rate. Taxes reduce the yield on bonds, and hence their yield. Given all of the above, the real yield of certain bonds should be calculated after deducting taxes paid from income, taking into account inflation. These profitability indicators should be compared, choosing the most effective objects for investment.

Cost characteristics of the bond. Bonds tend to have a relatively high par value and are targeted at wealthy individual and institutional investors. This is one of their differences from shares, whose par value is set for a wider range of investors. If for shares the nominal value is a rather conditional value, because. Since they are bought and sold mainly at prices that are not tied to face value, then for bonds the face value is an important parameter, the value of which does not change during the entire term of the bonded loan.

1. Bond rate. From the moment bonds are issued to maturity, they are sold and bought at market prices. The market price at the time of issue may be below the face value, equal to it, or exceed the face value. In the future, the market price of bonds is determined based on the situation prevailing in the stock and financial markets, as well as depending on the two main qualities of the loan itself. Namely: a) Prospects for obtaining the nominal value of the bond when they are redeemed (the closer the maturity date at the time of purchase of the bond, the higher its market price.) b) The right to receive a regular fixed income (the higher the income generated by the bond, the higher its market price).

The market price of a bond also depends on other factors. For example, the risk of investment, the reliability of the issuing company. Since the denominations of various bonds can vary significantly, there is often a need for a comparative measurement of their market prices. Such a measure is the bond rate, which is the value of its market price, expressed as a percentage of the face value.

Ko \u003d Tsr / But * 100%, Ko - bond rate; Цр is the market price of the bond; But is the face value of the bond.

2. Discount and interest income on the bond. Bonds, like other securities, are an object of investment and bring income to their owners. The total income on the bond includes the following components: a) periodically paid interest b) change in the value of the bond for a certain period of time; c) income from the reinvestment of interest paid. Bonds provide holders with a fixed current income. It is a so-called permanent annuity, i.e. the right to receive a fixed amount of money for a number of years. Bonds typically pay interest once or twice a year. The more often they (%) are paid, the more potential income the bonds bring, since the interest received can be reinvested.

The amount of interest income on a bond depends primarily on its reliability, i.e. on the stability of the company that issued it - the issuer. The more stable the issuer and the more reliable the bond, the lower the percentage of payments on it. There is also a relationship between the maturity of a bond and the amount of interest income - the longer the circulation period of a bond, the higher the percentage of income on it. However, bonds can be zero-coupon and sold at a price below par. When buying and selling such bonds, it is required to determine the optimal price at which the bond should be sold today, if the amount of income that will be received in the future and the current rate of return in the financial market are known (the refinancing rate is taken as the basis). The process of determining this price is called discounting, and the price itself is called the present value of future income.

Cd = But/ (1+ Λ*Ps/100%), Cd is the selling price of the bond with a discount; But - face value; Λ is the number of years of repayment; Ps - the rate of loan interest.

3. Bond yield. The total return generated by bonds is generally lower than for other types of securities. This is due to the higher reliability of bonds, compared, for example, with shares.

When determining the parameters of bonded loans, choosing bonds by investors, etc. there is a need for a comparative assessment of the effectiveness of bonded loans. This assessment comes down mainly to determining the yield of bonds.

The yield of bonds is divided into current and full.

The current yield is the simplest characteristic of a bond and characterizes the amount of income received from the bond for the current period of time, usually a year.

Dt = (Pg / Tsr) * 100%, Dt - current yield, Pg - the amount of interest for the year, Tsr - market price.

The total yield of bonds. This indicator takes into account both sources of income brought by bonds and characterizes the total income on a bond per unit of cost when it is purchased.

Дп = (П+Дд) /(Цр* Λ) * 100%, Дп - total yield, Total interest income, Дд - bond discount size, Λ - number of years, Цр - market price.

There are also more complex algorithms for calculating the total return, in particular, taking into account the third factor of the total return brought by the bond. However, in any case, the rate of inflation has a significant impact on bond yields.

Bond price

In general, the current price of a bond can be represented as the value of the expected cash flow, reduced to the current moment in time. The cash flow consists of coupon payments and the face value of the bond paid at maturity. Thus, the price of a bond is the present value of the coupon payments and the lump sum of the bond's face value at maturity.

The price of a bond is determined by the formula

where FROM - coupon payments; G - required return; H is the face value of the bond; P - number of years to maturity of the bond.

If an enterprise issues a three-year bond with a nominal value of 1000 rubles. with a coupon rate of 12%, at which coupon payments are made once a year and the market interest rate for similar bonds is 15% per annum, the entity can calculate the selling price of bonds using the above formula

With a fixed coupon rate of 12%, the company will not be able to sell the bonds at face value. This is due to the fact that the market yield of similar financial instruments is 15% per annum, and the company will pay only 12% on coupons. Therefore, investors will not agree to purchase bonds at face value, the company will have to reduce the price, and when it reaches the equilibrium level of 931.5 rubles. for the bond, then the transaction of purchase and sale of the bond will be completed. If the company wants to save on coupon payments (for example, set them at 8% per annum), then it will have to further reduce the sale price in order for investors to purchase bonds.

Coupon payments can be made several times during the year: quarterly or semi-annually (see Chapter 2). If payments are made several times a year, then the above formula is somewhat modified and looks like this:

where T - number of coupon payments during the year.

Consider the previous example of a three-year bond with the same parameters, but coupon payments are made twice a year. In this case, the price of the bond is:

According to these bonds, the enterprise will make six coupon payments of 60 rubles each during the period of their validity. every. As we can see, the price of the bond with semi-annual coupon payments is higher and amounts to 939.1 rubles. This is due to the fact that coupon payments are made not at the end of each year, but half-yearly. The investor gets cash which he can use for his needs. Therefore, for earlier receipts of funds, he is willing to pay a higher amount for the bond.

Due to the fact that transactions with securities are carried out constantly, bonds are sold (purchased) during the entire period of their circulation. The day of the transaction in most cases does not coincide with the beginning of the coupon period. The bond can be purchased on any day of the current coupon period. Therefore, when determining the price of a bond, it should be taken into account that not an integer, but a fractional number of coupon periods remains before the maturity date, and the seller of the bond must be reimbursed for the accumulated coupon income. In this case, the price of the bond, at which the coupon income is paid once a year, is determined by the formula

where FROM - the amount of coupon payments; G - yield to maturity (discount rate); P - the number of years to maturity of the bond; i- ordinal number of the year from the current date; H is the face value of the bond; k- share of the coupon period from the date of purchase of the bond to the date of its end;

where t- the number of days from the moment of the transaction to the date of payment of the next coupon.

Example. Determine the price of a bond with a par value of 1000 rubles, at which a coupon income of 10% is paid annually. Discount rate - 15%. The bond was purchased on the 60th day of the coupon period. There are 2 years and 305 days left until maturity.

Solution. To find the price of a bond, we calculate the fraction of the coupon period from the date of purchase to the date of coupon payments:

Thus, the investor will receive the income on the first coupon in 305 days from the date of purchase of the bond, which is 0.84 of the duration of the coupon period. The second coupon will be received in 1.84 years and the third - in 2.84 years from the date of purchase.

In this case, the bond price can be calculated as follows:

If coupon payments are made several times during the year, then the above formula is somewhat modified. Instead of the number of full years, it is necessary to take the number of coupon payments. In this case, the fractional part of the coupon period is determined taking into account the number of days in the coupon period. If the number of coupon payments per year T, then in the formula for determining the price of a bond, the indicators i And P are multiplied by T, and the value k is determined by the formula

where t- the number of days from the date of the transaction to the date of the next coupon payments; T - number of days in the coupon period.

When borrowing for a short period of time, enterprises sometimes resort to the issuance of non-counon bonds, which are sold to investors at a discount but at a price below par. A zero-counon bond can be thought of as a special case of a coupon bond, except that all coupons are zero. Therefore, the price of a zero-coupon bond is calculated by the formula

A distinctive feature of zero-coupon bonds, as mentioned above, is a short circulation period (up to a year). In this case n> which in the formula shows the number of years to maturity, is obtained as a fractional value. In order not to raise to a fractional power, in practice a simplified formula for calculating the cost of zero-coupon bonds is widely used:

where t- the number of days until the maturity of the bond; G - market annual return.

Example. Determine the price of a zero-coupon bond with a face value of 1000 rubles, which is issued by a company with a circulation period of 182 days. The market interest rate for bonds of the same type is 15% per annum. Under these conditions, the price of the bond

Bonds have a face value (face value) and a market price. The nominal price of the bond is printed on the bond itself and indicates the amount that is borrowed and repayable at the expiration of the bond loan. Rated price is the base value for calculating the income generated by the bond. The interest on the bond is set to the face value, and the increase (decrease) in the cost of the bond for the corresponding period is calculated as the difference between the nominal price at which the bond will be redeemed and the purchase price of the bond.

As a rule, bonds are issued with a high nominal price. They are aimed at wealthy investors, both individual and institutional. In this they differ from shares, the nominal value of which is set by the issuer with the expectation that they will be acquired by the broadest layers of investors. For bonds, the nominal value is a very important parameter, the value of which does not change throughout the entire term of the bond issue. It is at the initially fixed value of the face value that the bonds will be redeemed at the end of their circulation period.

The market price of bonds also depends on a number of other conditions, the most important of which is the reliability (degree of risk) of investments.

Since the denominations y of different bonds can differ significantly from each other, there is often a need for a comparable measure of market prices for bonds. This indicator is the course.

Bond rate is the value of the market price of a bond, expressed as a percentage of its face value:

K 0 \u003d (C r / N) * 100%,

where K 0 - bond rate,%;

C - market price of the bond, rub.;

N - nominal price of the bond, rub.

In foreign practice, in addition to the nominal and market, another cost characteristic of bonds is used - their redemption price, at which the issuer repays the bonds upon the expiration of the loan term. The redemption price may coincide with the nominal value, and may be higher or, conversely, lower than it. Russian legislation excludes the existence of a redemption price, since the Federal Law on the Securities Market dated April 22, 1996, LF 39-FZ, with subsequent amendments and additions, establishes the right of the holder to receive its face value from the issuer1. This means that bonds can only be redeemed (repurchased) at face value.

Bond income

Bonds, being, like other securities, an object of investment in the stock market, bring their holders a certain income.

The total return on a bond is made up of the following elements:

Periodically paid interest (coupon income);

Changes in the value of the bond for the relevant period;

income from the reinvestment of interest received.

Let's take a look at each of these elements of income separately.

A bond, unlike a stock, brings the owner a fixed current income. This income is permanent annuities annual fixed payments over a number of years. As a rule, interest on bonds is paid 1-2 times a year. Moreover, the more often interest payments are made, the more potential income the bond brings, because the received interest payments can be reinvested.

The amount of coupon income on bonds depends, first of all, on the reliability of the bond, in other words, on who is its issuer. The more stable the issuing company and the more reliable the bond, the lower the interest offered. In addition, there is a relationship between interest income and the maturity of a bond: the longer the maturity date, the higher the interest should be, and vice versa.

Interest (coupon) payments on bonds can be conditionally divided into three groups:

· fixed annual payments at the rate set by the issuer when issuing bonds;

indexed annual payments. The interest index for bonds is determined by the issuer most often in accordance with the state inflation index. Indexation allows investors to receive a stable income in real terms, protected from inflationary fluctuations in the prices of basic goods and services. The interest rate on bonds can also be indexed to some amount directly related to the purpose of the loan, such as the volume of output or the price of 1 kWh for loans for energy projects. The same group of coupon payments can include interest payments that increase over time;

· Paid simultaneously with the principal amount of the debt.

A bond may also generate income as a result of the change in the value of the bond from the moment it is bought to the time it is sold. The difference between the purchase price of a bond (P o) and the price at which the investor sells the bond (P 1) is the capital gain invested by the investor in a particular bond (D = P 1 - P o).

This type of income is brought primarily by bonds purchased at a price below par, i.е. with a discount. When selling bonds at a discount, an important point for the issuer is to determine the selling price of the bond. In other words, at what price should a bond be sold today if the amount to be received in the future (nominal) and the base rate of return (refinance rate) are known.

The calculation of this price is called discounting, and the price itself is the present value of a future amount of money.

Discounting is carried out according to the formula

Cod \u003d N * (1 / 1 + t c) * 100%,

where C od - the sale price of the bond with a discount, rub.;

N - nominal price of the bond, rub.;

t is the number of years after which the bond will be redeemed;

c - loan interest rate (or refinancing rate), %.

The difference (C N - C od) is a discount and represents the income on this type of bond.

The last element of total return, the return on reinvestment of interest received, is present only on the condition that the current income received in the form of interest on the bond is constantly reinvested. This type of income can be quite significant when buying long-term bonds.

Bond yield

In general terms profitability is a relative indicator and represents the income per unit of costs. Distinguish the current yield and the total, or ultimate, yield of the bonds.

The current yield indicator characterizes the annual (current) receipts on the bond relative to the costs incurred for its purchase. The current yield of a bond is calculated using the formula

D x \u003d (S / C 0) * 100%,

where D x - the current yield of the bond,%;

C 0 - the price of the bond at which it was purchased, rub.

To make an investment decision - to leave this bond or sell and invest in other securities - the yield of the bond must be compared with the yield of other instruments at the moment. To do this, determine the current market yield as the ratio of interest income to the current market price of the bond:

D xp \u003d (S / C p) * 100%,

where D xp - the current market yield of the bond,%;

C - the amount of interest paid per year, rubles;

Pr – the current market price of the bond, rub.

The current yield of a bond is the simplest characteristic of a bond. Using only this indicator, it is impossible to choose the most effective bond for investing funds, since another source of income is not reflected in the current yield - the change in the value of the bond over the period of its ownership. Therefore, for bonds with a zero coupon, the current yield is zero, although they bring income in the form of a treble.

Both sources of income are reflected in the indicator final, or full, profitability, which characterizes the total income on the bond per unit of costs for the purchase of this bond per year. The indicator of final profitability is determined by the formula

D xk \u003d (Σ B i + (C pr - C pok)) / C pok * T,

where D xk - the final yield of the bond,%;

B - coupon payments for the year, rub.;

C pr - sale price, rub.;

Ppk - purchase price, rub.;

T - the number of years the bonds were held by the investor

There are two important factors that affect bond yields. It's inflation and taxes. If the yield on the bond is 14°/o per year, and the inflation rate is 13%, then the real yield will be only 1%. If the inflation rate rises to 14% or more, then investors - holders of bonds with a fixed income of 14% - will have the prospect of receiving zero income or even incur losses. Therefore, in conditions of inflation, investors avoid investing in long-term bonds (although issuers are undoubtedly interested in them) in order to maintain the return on their own investments at a level commensurate with the base rate of return - the refinancing rate.

Taxes reduce the yield on bonds, and hence their yield. Considering all of the above, the real yield of certain bonds should be calculated after deducting from the income having paid taxes, taking into account inflation. These profitability indicators should be compared, choosing the most effective objects for investment.

Bond Market

Bonds are securities that are not equity, but debt. This means that by buying bonds, the investor does not become the owner of the company, but turns into its creditor. Bonds are securities that are a special form of loan. The issuer, that is, the organization that issued the bonds, in return for the money received, undertakes to buy back the bonds at par value after a certain period of time and pay a certain percentage for the use of these funds.

Purchasing a bond is similar in meaning to providing a loan. The difference lies in the fact that, firstly, in the case of buying a bond, there are not one, but many creditors, and, secondly, a bond can be sold without waiting for the expiration of its circulation period. Having bought a bond with a maturity (that is, the period when the issuer buys them back) one year, the investor will be able, for example, to sell it in a month, a day, and even on the day of purchase. Issuing a bond is a profitable operation for both the investor and the issuer. Indeed, in this case, the intermediary is eliminated - the bank, which receives the difference between the rate of attracting funds from the population and the rate of issuing loans to enterprises. As a result, an investor can place his funds at a rate higher than in a bank, and the company receives a loan cheaper than a bank loan. If a bank accepts funds from the population at 17% per annum, and issues loans at 25% per annum, then an enterprise can issue bonds at 20-22% per annum with benefits for itself and for the investor.

Most of the Russian bond market is occupied by government bonds. Their reputation was seriously tarnished after the crisis in August 1998. Pyramid of GKOs (government short-term bonds) built to cover the deficit state budget collapsed, undermining investor confidence in government securities. It took almost two years for the state to restore its reliability as a borrower. Since the volume of this market has become much smaller after the crisis, and the state no longer makes such large-scale borrowings in the domestic market, the existing issues of government bonds are quite reliable for investors. It is no coincidence that the yield on government securities is the lowest among Russian bonds. Government bonds on the market are mainly represented by the so-called federal loan bonds (OFZ), which are coupon bonds with a maturity of several months to five years, depending on the issue.

Sub-federal bonds are bonds that are issued by the executive bodies of the subjects of the federation and local governments. Simply put, these are bonds that are issued by regions. The most famous among such bonds are St. Petersburg bonds, Moscow bonds, Orenburg bonds. Since it is believed that regional bonds are more risky than government bonds, the yield on them should be higher. For example, the yield on St. Petersburg bonds ranges from 17 to 18% per annum, depending on the maturity. However, it should be said that, unlike government bonds, the servicing of St. Petersburg bonds did not stop even during the August crisis, and since their volume is not so large, the government of St. Petersburg consistently fulfills its obligations. The Saratov region issued only two series of bonds in 1995 and 1996, and after that it no longer entered the market with its securities.

Corporate bonds are a relatively new segment for the Russian bond market. Prior to the 1998 crisis, government bonds took away all the money of Russian investors and did not allow companies and banks to borrow money on the bond market at an acceptable yield. After the crisis, the government bond market shrank and gradually the largest Russian companies began to occupy the empty niche. First, such companies as Gazprom, Lukoil, TNK, RAO UES entered the market with their bonds. Then, already in 2000, the list was replenished with bonds of Vneshtorgbank, Magnitogorsk Iron and Steel Works, MGTS, Alrosa and other companies. All new companies announce the issuance of bonds. In order to attract investors to their bonds, these companies offer higher yields than government bonds and use various tricks, such as pegging bond prices to a currency or early redemption of bonds at a certain price. Not surprisingly, this market is constantly expanding and attracting new investors.

Now not only a large bank or an investment company, but also any citizen can buy bonds by entering into a brokerage agreement with a company operating in the bond market.

From the point of view of investors, the main problem the bond market - a relatively low yield. It was designated by Yury Golban, an analyst for the fixed income market of Sobinbank OJSC: “In recent years, the yield of already traded bonds has been falling, coupons for new placements have been reduced. If you look at the ruble yields of Gazprom bonds, then the papers placed in 2002-2005 had a coupon rate of 7.5%, while those placed in 2006 already had 6.79%. Decline in yield reflects reduced risk Russian economy and improving its efficiency, which was reflected in the upgrade of Russia's sovereign ratings by the world's leading rating agencies.

However, now the situation is gradually changing. In the current conditions, it has become more difficult to place securities even with an increased coupon. Of course, rising inflation is another reason for investors to demand a higher rate. New placements are likely to be held at a higher yield than before the crisis and with shorter puts. However, this state of affairs leads to a decrease in the activity of issuers. In recent months, it has been impossible to get money on pre-crisis coupons, and current yield levels for many issuers are very high.

The main factor in the growth of profitability is the global problems with liquidity, they can continue for quite a long time: it is not worth waiting for a cardinal overcoming of the liquidity crisis until the end of the year. Undoubtedly, the measures taken by the state (expanding the Lombard list of the Central Bank of the Russian Federation, reducing the reserve requirements for commercial banks, interventions in the OFZ market) are bearing fruit. Nevertheless, it should be taken into account that any improvement in the market situation will be limited by a large volume of placements pending in anticipation of the “window”. A large number of people willing to climb into the opening “window” will push yields up. Improvement is possible after the new year, when worries about inflation indicators will fade into the background, and a significant increase in budget spending in the run-up to the elections is possible.

Practical part

Calculation of the value of securities of KAMAZ OJSC

Valuation of securities is the determination of the market value of equity securities (ordinary and preferred shares), debt securities (bonds and bills), derivative securities (options, futures) issued by government bodies, financial institutions(exchanges, banks), enterprises and organizations.

The peculiarity of the evaluation of securities is that a security is a special form of existence of capital and at the same time is a commodity circulating on the stock market. But a security is not a material commodity and its value is determined by the value of the rights it gives to its owner. So, for the owner of shares, this is the right to participate in management, receive dividends, receive part of the property of the company during its liquidation, etc., for the owner of the bill, this is the transfer, receipt of income, redemption.

The value of a security is the monetary equivalent of its certain investment qualities and management capabilities, depending on the specific goals and methods of evaluation. Different types of value of securities are necessary for carrying out different financial transactions.

Classification of types of value of securities:

The nominal price of a security is the share of authorized capital per share.

Book value is the net asset value per share outstanding.

The liquidation value is the amount of money paid per share upon liquidation of the company.

Issue price. It is announced by the issuer and is valid during the placement period (primary market price).

Market price (market value) - secondary market price

Valuation of shares is a necessary step in order to secure your investment. A fundamental analysis of the situation on the stock market allows the investor to avoid mistakes in the face of constant fluctuations in their prices. This can be achieved only after the assessment of the market value of the shares.

When assessing the value of shares, the market value of a share is understood as the most probable price at which this object can be alienated on the open market in a competitive environment, when the parties to the transaction act reasonably, having all the necessary information, and the value of the transaction price does not affect any or.

The basis for the evaluation of shares is the determination of their value as a financial instrument that can bring profit to its owner. Methods for generating profit include receiving dividends and increasing the value of shares associated with improving the financial performance of the company, expanding its business and increasing the value of assets.

Indicators of evaluation of shares of a joint-stock company:

Issuer performance indicators

Analytical indicators of investment qualities of securities

We will evaluate the activities of OAO TFK KAMAZ according to the following indicators:

1. Return on equity

2. Securing securities with the property of the enterprise

3. Earnings per share

4. Return of financial capital

5. "Financial leverage"

6. Share of net profit

7. Turnover size

8. Production efficiency. Status of net and balance sheet profit.

Section 1. Determination of the structure of securities of KAMAZ OJSC

Table 1 – Structure of securities of KAMAZ OJSC

Ordinary share (ordinare, common share) - in total, such shares make up the majority of the share capital of the company. Their owners have the right to receive dividends, to participate in general meetings and in the management of the company. Upon liquidation of a joint-stock company, they have the right to receive the invested funds at a nominal price, but only after satisfying the interests of holders of bonds and preferred shares.

Preferred share - a share that gives its owner a privileged right to receive dividends, but does not give him the right to vote at a shareholders' meeting (unless otherwise provided in the company's charter).

A bond (bond) is a debt obligation with a fixed percentage, one of the instruments by which corporations and the state mobilize financial resources in the stock markets.

The total nominal value of corporate bonds is long-term liabilities.

The authorized capital (fund) of a joint-stock company occupies a special position among the company's own funds. First, the statutory fund reflects the right of shareholders to conduct their own (independent) entrepreneurial activities, enshrined in the charter of a joint-stock company. Secondly, it is the starting or initial (in the case of a new joint-stock company) amount of capital, which gives impetus to the further activities of the company. Over time, in case of successful work, the profit received by the company may exceed the amount of the authorized capital by several times, however, even then the authorized capital will remain the most stable liability item.

Authorized capital of OJSC KAMAZ as of 31.12.2007 is 43,883,457 million rubles. ( authorized capital+ additional capital + reserves).

Share structure:

· Ordinary shares – 85%;

· Preferred shares – 15%.

The cost of preferred shares is 5-30 rubles.

The amount raised by the issuer as a result of the placement of bonds according to the balance sheet as of December 31, 2007, is 10,156,672 million rubles. (long term duties)

The nominal value of one bond is 1-1,000,000 rubles.

Section 2 Analysis financial reporting KAMAZ OJSC as of December 31, 2007

Analysis of financial statements is the process by which we evaluate the past and current financial position, as well as the performance of an organization. Financial (accounting) reporting is the information base of financial analysis, because the financial analysis in the classical sense, this is the analysis of financial reporting data. It is becoming increasingly important in making managerial decisions, when rational and logical arguments are required to justify them.

Intangible assets are part of the organization's property, which is an identifiable, non-monetary asset that does not have physical form used in the production or presentation of goods or services, for leasing to other parties, or for administrative purposes.

Intangible assets of KAMAZ OJSC - 2,519,991 million rubles.

Table 2 – Structure of assets of KAMAZ OJSC

Non-current assets (long-term) - a set of property values of an enterprise that repeatedly participate in the process of its economic activity and transfer the used value to products in parts (all types of assets with a use period of more than 1 year)

Non-current assets of KAMAZ OJSC as of December 31, 2007. – 41,944,974 million rubles.

Working capital - capital involved and fully spent during one production cycle. Working capital includes:

· material working capital;

· cash;

· short-term financial investments;

funds in current settlements.

The amount of working capital (current assets) of KAMAZ OJSC is 24,964,951 million rubles.

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