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?