Treasury Notes are quoted and traded on a yield to maturity basis rather than on a price basis. This means that the price is calculated by inputting the yield into the pricing formula.

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

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

### In this formula:

\(\large P = \) 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 to maturity (per cent) divided by 100.

**Worked Example**

Consider a Treasury Note maturing on 21 February 2020, with settlement on 12 September 2019 and a yield to maturity of 1.00 per cent.

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

where:

\( f = 162\), the number of days from 12 September 2019 to 21 February 2020

\( \large i=\Large \frac{1.00}{100}= \) \( 0.01 \)

\(\Large P = \Large \frac{100}{1 + \LARGE\left( \frac{f}{365}\right) i} = \frac{100}{1 + \LARGE\left( \frac{162}{365}\right) \times 0.01} \)

\(\Large P = 99.558125580\)