Treasury Notes are traded on a yield to maturity basis with the price per \( $100 \) face value calculated using the following pricing formula:

$$\Large P = \frac{100}{1 + \left(\frac{f}{365}\right) i}$$

Where:

\( \large P = \) |
the price per \( $100 \) face value. |

\( \large f = \) |
the number of days from the date of settlement to the maturity date. |

\( \large i = \) |
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 \( $99,448,808.39 \).