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|
|21 June 2019||2,000||AU2CLT210692|
|23 August 2019||500||AU2CLT230898|
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 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: 18 April 2019