Treasury Bonds

Treasury Bonds are medium to long-term debt securities that carry an annual rate of interest fixed over the life of the security, payable six monthly.

All Treasury Bonds are exempt from non-resident interest withholding tax (IWT).

Treasury Bonds outstanding Treasury Bonds on issue as at 24 June 2016
Coupon and Maturity Date of first issue Face Value
($m AUD)
Modified
Duration
ISIN Next Coupon
Payment Date*
Term Sheet — PDF Term Sheet — RTF
6.00% 15 February 2017 8 June 2004 11,828 0.62 AU300TB01208 15 August 2016 85KB 901KB
4.25% 21 July 2017 2 September 2011 18,900 1.04 AU3TB0000127 21 July 2016 85KB 901KB
5.50% 21 January 2018 24 November 2010 20,500 1.49 AU3TB0000093 21 July 2016 85KB 903KB
3.25% 21 October 2018 6 December 2013 18,100 2.23 AU3TB0000176 21 October 2016 86KB 902KB
5.25% 15 March 2019 17 January 2006 22,947 2.53 AU300TB01224 15 September 2016 85KB 901KB
2.75% 21 October 2019 18 July 2014 21,700 3.16 AU3TB0000184 21 October 2016 85KB 901KB
4.50% 15 April 2020 29 April 2009 23,397 3.50 AU3TB0000036 15 October 2016 85KB 903KB
1.75% 21 November 2020 10 April 2015 16,200 4.22 AU000XCLWAN8 21 November 2016 85KB 902KB
5.75% 15 May 2021 11 September 2007 24,399 4.32 AU0000XCLWM5 15 November 2016 84KB 903KB
5.75% 15 July 2022 7 April 2010 21,400 5.14 AU3TB0000051 15 July 2016 84KB 901KB
5.50% 21 April 2023 18 May 2011 21,300 5.80 AU3TB0000101 21 October 2016 85KB 901KB
2.75% 21 April 2024 20 June 2012 24,700 7.01 AU3TB0000143 21 October 2016 85KB 902KB
3.25% 21 April 2025 22 May 2013 26,100 7.67 AU3TB0000168 21 October 2016 85KB 902KB
4.25% 21 April 2026 12 March 2014 29,100 8.15 AU000XCLWAI8 21 October 2016 85KB 902KB
4.75% 21 April 2027 20 October 2011 25,600 8.69 AU3TB0000135 21 October 2016 85KB 901KB
2.75% 21 November 2027 20 January 2016 10,400 9.77 AU000XCLWAQ1 21 November 2016 85KB 901KB
2.25% 21 May 2028 11 May 2016 7,000 10.35 AU000XCLWAR9 21 November 2016 85KB 901KB
3.25% 21 April 2029 10 October 2012 12,000 10.52 AU3TB0000150 21 October 2016 85KB 902KB
4.50% 21 April 2033 19 November 2013 10,700 12.32 AU000XCLWAG2 21 October 2016 85KB 902KB
2.75% 21 June 2035 24 March 2015 5,550 14.69 AU000XCLWAM0 21 December 2016 365KB 903KB
3.75% 21 April 2037 15 October 2014 8,800 14.79 AU3TB0000192 21 October 2016 85KB 901KB
3.25% 21 June 2039 14 October 2015 4,000 16.31 AU000XCLWAP3 21 December 2016 85KB 903KB

This table is updated on a weekly basis.

*If the coupon interest payment date is not a business day, payment will be made on the next succeeding business day without payment of additional interest.

Quoted yields for Treasury Bonds

Are easily accessible via:

Active market makers

There is an active secondary market for Treasury Bonds. The Australian Financial Markets Association (AFMA) has published conventions that apply to trading in the over-the-counter market of long-dated debt securities such as Treasury Bonds.

Active Treasury Bond market makers are listed alphabetically below:

Market Maker  Sales Contact 
Australia and New Zealand Banking Group Ltd

+61 2 8037 0220 (Sydney)

+65 6681 8897 (Singapore)

+44 20 3229 2070 (London)

Bank of America Merrill Lynch

+61 2 9226 5294 (Sydney)

+44 20 7995 6750 (London)

BNP Paribas

+61 2 9025 5011 (Sydney)

+81 3 6377 3221 (Tokyo)

+44 20 7595 8560 (London)

Citi

+61 2 8225 6450 (Sydney)

+65 6657 2800 (Singapore)

+44 20 7986 9521 (London)

Commonwealth Bank of Australia

+61 2 9117 0020 (Sydney)

+44 20 7329 6444 (London)

Daiwa Capital Markets Europe Limited

+65 6499 6513 (Singapore)

+44 20 7597 7720 (London)

Deutsche Bank AG

+61 2 8258 1444 (Sydney)

+44 20 7547 1931 (London)

+81 3 5156 6195 (Tokyo)

Goldman Sachs

+61 2 9320 1243 (Sydney)

+44 20 7774 1906 (London)

HSBC Bank Plc

+61 2 9255 2054 (Sydney)

+44 20 7991 7662 (London)

JPMorgan Chase Bank, N.A.

+61 2 9003 7988 (Sydney)

+1 212 834 5660 (New York)

Macquarie Bank Ltd. +61 2 8232 8300 (Sydney)
National Australia Bank Ltd.

+61 2 9295 1166 (Sydney)

+44 20 7726 2747 (London)

Nomura

+61 2 8062 8607 (Sydney)

+44 20 7103 0020 (London)

Royal Bank of Canada

+61 2 9033 3222 (Sydney)

+852 2848 1324 (Hong Kong)

TD Securities

+65 6500 8042 (Singapore)

+44 20 7628 4334 (London)

UBS AG

+61 2 9324 2222 (Sydney)

+44 20 7567 3645 (London)

Westpac Banking Corp

+61 2 8204 2711 (Sydney)

+65 6309 3877 (Singapore)

+44 20 7621 7620 (London)

+1 212 551 1806 (New York)

Forthcoming tenders

The AOFM holds tenders for Treasury Bonds on a regular basis. Currently, tenders for the issue of Treasury Bonds are normally held each Wednesday and Friday. For further details, please see Forthcoming AOFM Tenders. To receive tender announcements and results via email, you may subscribe to the AOFM email service.

Information Memorandum

The Information Memorandum for Treasury Bonds [PDF 665KB | RTF 1.171MB] provides detailed information concerning these securities including the terms and conditions of their issue.

Pricing Formulae

Similar to most fixed income securities trading in Australia, Treasury Bonds are both quoted and traded on a yield to maturity basis rather than on a price basis. This means the price is calculated after agreeing on the yield to maturity. The price is calculated by inputting the yield to maturity into the appropriate pricing formulae.

The price per $100 face value is calculated using the following pricing formulae:

(a) Basic formula: Pricing_formulae-2 (1)
(b) Ex interest bonds: This formula solves for the price of $100 face value of a fixed interest security that has entered its ex interest period using the yield to maturity, the coupon interest rate, the maturity date, the next interest payment date and the settlement date. If you require further assistance please contact the Domestic Markets desk on +61 2 9551 8313. (2)
(c) Near-maturing bonds (between the record date for the second last coupon and the record date for the final coupon):
This formula solves for the price of $100 face value of a near maturing bond (between the record date for the second last coupon and the record date for the final coupon) using the yield to maturity, the coupon interest rate, the maturity date and the settlement date. If you require further assistance please contact the Domestic Markets desk on +61 2 9551 8313. (3)
(d) Near-maturing bonds (between the record date for the final coupon and maturity of the bond):
This formula solves for the price of $100 face value of a near maturing bond (between the record date for the final coupon and maturity of the bond) using the yield to maturity, the coupon interest rate, the maturity date and the settlement date. If you require further assistance please contact the Domestic Markets desk on +61 2 9551 8313. (4)

In these formulae:

P = the price per $100 face value. P is rounded to three decimal places in formulae (1) and (2), and unrounded in formulae (3) and (4).
v = This formula solves for v, which is an input into formulae 1 and 2 above. V is derived using the yield to maturity of the fixed coupon security, and is equal to one divided by one plus i.
i = the annual percentage yield to maturity divided by 200 in formulae (1) and (2), or the
annual percentage yield to maturity divided by 100 in formula (3)
f = the number of days from the date of settlement to the next interest payment date in
formulae (1) and (2) or to the maturity date in formula (3). In formula (3), if the
maturity date falls on a non-business day, the next good business day (defined as a
day, not being a Saturday or Sunday, on which banks are open for business in
Melbourne or Sydney) is used in the calculation of f.
d = the number of days in the half year ending on the next interest payment date
g = the half-yearly rate of coupon payment per $100 face value
n = the term in half years from the next interest-payment date to maturity
 Pricing_Formulae_0-3 Annuity2

Settlement amounts are rounded to the nearest cent (0.5 cent being rounded up).

Working Example

As an example of the working of the basic formula, the price of the 5.75% 15 July 2022 Treasury Bond, assuming a yield to maturity of 5.855% per annum and settlement date of 10 May 2010, is calculated to be $100.912.

In this example, i = 0.029275 (i.e. 5.855 divided by 200), f = 66, d = 181, g = 2.875 (i.e. half of 5.75) and n = 24.

If the trade was for Treasury Bonds with a face value of $50,000,000 the settlement amount would be $50,456,000.00.

Ex-Interest Treasury Bonds

The ex-interest period for Treasury Bonds is seven calendar days. With ex-interest Treasury Bonds the next coupon payment is not payable to a purchaser of the bonds. In this case, calculation of an ex-interest price is effected by the removal of the ‘1′ from the term Pricing_formulae-7in formula (1), thereby adjusting for the fact that the purchaser will not receive a coupon payment at the next interest payment date.

Near-Maturing Treasury Bonds

When a Treasury Bond goes ex-interest for the second last time it is treated as a special case. In this case formula (3) applies up until the record date for the final interest payment and formula (4) applies from the time the bond goes ex-interest for the final time. There may be a slight discontinuity in the progress of the price of the bond around the time the bond goes ex-interest for the second last time but market participants can, if they wish, allow for this in their trading.

Where the maturity date coincides with a weekend or public holiday, the commonly accepted practice is to price near-maturing Treasury Bonds according to the actual date the principal and final interest are paid (and not the nominal maturity date).

Last updated: 24 June 2016