Treasury Notes

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

Treasury Notes on issue as at 17 November 2017
Maturity Face Value ($m AUD) ISIN
8 December 2017 2,500 AU2CLT081275
23 February 2018 2,000 AU2CLT230286

Information Memorandum

The Information Memorandum for Treasury Notes [PDF 565KB | RTF 1.013MB] provides detailed information concerning these securities including the terms and conditions of their issue.

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:

This formula solves for the price of $100 face value of a Treasury note using the yield to maturity, the settlement date and the maturity date. If you require further assistance please contact the Domestic Markets desk on + 61 2 9551 8313.

Where:

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).

Worked Example

As an example of the working of the formula, the price of a Treasury Note maturing on 23 February 2018  for settlement on 27 October 2017 assuming a yield to maturity of 1.70% is calculated to be $99.44880839 per $100 face value.

In this example, f = 119 and i = 0.0170

If the trade was for Treasury Notes with a face value of $100 million the settlement amount would be $99,448,808.39.

Last updated: 17 November 2017