A Co-operative Bank wishes to buy 91 days Treasury bill on 22nd October, 2018 maturing on 6th December, 2018. The rate quoted by seller is ₹99.1589 per ₹100 face value. Calculate its Yield to Maturity (YTM). Assume 365 d
CS Professional · Capital Commodity and Money Market · PYQS · December 2020
A Co-operative Bank wishes to buy 91 days Treasury bill on 22nd October, 2018 maturing on 6th December, 2018. The rate quoted by seller is ₹99.1589 per ₹100 face value. Calculate its Yield to Maturity (YTM). Assume 365 days a year.
Answer & Explanation:
Answer 4(b) The YTM (Yield to Maturity) can be calculated as under: Y = (100 - P) x 365 x 100 / (P x D) Wherein Y = Discounted yield P = Price D = Days to maturity The days to maturity of Treasury bills are 45 (October - 10 days, November - 30 days and December- 5 days) Yield to Maturity (YTM) = (100 - 99.1589) x 365 x 100 / (99.1589 x 45) = 0.8411 x 365 x 100 / 4462.1505 = 30690.15 / 4462.1505 = 6.8778% ≈ 6.88%
Topics: Money Market
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