How does Jiko calculate Yield to Maturity (YTM)?
When clients purchase T-bills at Jiko, the Yield to Maturity is displayed on the client's trade confirmation. YTM is calculated using the formula below: Par Value: $100 for T-bill Price: the price paid for the T-bill. Day count: the number of days in a year (365 for normal years and 366 for leap years).
When clients purchase T-bills at Jiko, the Yield to Maturity is displayed on the client's trade confirmation. YTM is calculated using the formula below:
Par Value: $100 for T-bill
Price: the price paid for the T-bill.
Day count: the number of days in a year (365 for normal years and 366 for leap years).
Days to maturity: the number of calendar days to the T-bill’s maturity, calculated from the settlement date.
For example, suppose that on Friday, November 17th, 2023, a client purchases a T-bill maturing on December 12th, 2023, at a price of $99.70 per $100 of par value. The number of days to maturity is calculated from Monday, November 20th, the next regular settlement date. Therefore, there are 21 days to maturity. This gives a YTM of ( $100 / $99.70 ) ^ ( 365 / 21 ) - 1 = 5.36%.
YTM for current holdings uses the same formula, but the price used in the calculation is the latest quote instead of the purchase price, and the days to maturity is adjusted accordingly.
Please note that this example is for illustrative purposes only, and actual results may vary. Unless otherwise stated, Jiko calculates Yield to Maturity before fees. Any fees assessed will reduce realized yield.