Treasury Notes are a short-term discount security redeemable at face value on maturity. As such this security provides the purchaser with a single payment on maturity. Terms are generally less than six months. Treasury Notes are issued to assist with the Australian government’s within-year financing task.
All Treasury Notes are exempt from non-resident interest withholding tax (IWT).
Treasury Notes on issue
|Maturity||Face Value ($m AUD)||ISIN|
|26 August 2016||3,000||AU2CLT260861|
|28 October 2016||2,000||AU2CLT281065|
|9 December 2016||1,000||AU2CLT091266|
Pricing Formula for Treasury Notes
Treasury Notes are traded on a yield to maturity basis with the price per $100 face value calculated using the following pricing formula:
|P =||the price per $100 face value.|
|f =||the number of days from the date of settlement to the maturity date.|
|i =||the annual yield (per cent) to maturity divided by 100.|
Settlement amounts are rounded to the nearest cent (0.5 cent being rounded up).
As an example of the working of the formula, the price of a Treasury Note maturing on 23 January 2015 for settlement on 22 August 2014 assuming a yield to maturity of 2.48% is calculated to be $98.964479073 per $100 face value.
In this example, f = 154 and i = 0.0248.
If the trade was for Treasury Notes with a face value of $100 million the settlement amount would be $98,964,479.07.
Last updated: 19 August 2016