What will be true YTM for a GSec bought few days before Coupon Payment Date?

I see following GSec trading on CCIL

Date	    Security Description	Type  Year Of Maturity	Maturity Date   Last Traded Price(Rs.)  Wtd Avg. Yield(%)
07/10/2022  	7.68% GS 2023	     GS	        2023         15/12/2023	        100.58	                 7.15

AFAIK this bonds has 3 coupon payments remaining viz. 15/12/2022, 15/06/2023 & 15/12/2023. This bond is trading at Rs. 100.58

So the semi-annual interest payment cash flows bond holder would receive would be as follows:

Payout-Date 15/12/2022 15/06/2023 15/12/2023
Cash-Flows      3.84       3.84      103.84   = 111.52

If a investor buys this bond on 10/10/2022 and hold it till maturity, he would receive 3 interest payout Cash Flows as above.

But the YTM is 7.15% both on CCIL sheet and using YIELD function.

But in reality the total amount the bond holder would receive would be equal to Rs. 111.52. Which should translates into yield of 9.25% (approx).

So why this mismatch? I mean why the bond is trading near its FV 4 months after last coupon payout?

Is this because of Consideration Amount (which buyer of security would pay at the time of buying) would be greater than Last Traded Price (because of accrued interest portion)? In above case, what amount the buyer of security would really have to pay to seller Rs. 100.58 or (Rs. 100.58 + Accrued Interest)?

What technicality I am overlooking here?

Is it because of weighted average yield and not simple average yield which would be 9.25%.

Not sure, tried to read about weighted average yield which is totally different from simple yield. Got a new concept to read and understand.

I went to a YTM calculator and input the data as given by you. The YTM % comes to 7.16%. Just check this site.

I truly wish some expert here would clarify

It will be 100.58 as the interest flow is only on 15.12.2022, by which time, you will be the holder and the interest will come to you.

Yeah… I tried similar calculator on SEBI’s website and in Excel. Both give value around 7.15%.

No… because if the seller sold his bond, say 3 months after last coupon payment, then he/she is entitled to receive interest for a period from last coupon payment till day before Settlement Date. And this is known as Dirty Price or Consideration Amount = Clean Price + Accrued Interest.

From RBI Website…

Accrued interest is the interest calculated for the broken period from the last coupon day till a day prior to the settlement date of the trade. Since the seller of the security is holding the security for the period up to the day prior to the settlement date of the trade, he is entitled to receive the coupon for the period held. During settlement of the trade, the buyer of security will pay the accrued interest in addition to the agreed price and pays the ‘consideration amount’.

The price quoted on trading platform is usually Clean Price.

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