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Treasury Notes are a short-term discount security redeemable at face value on maturity. Terms are generally less than six months. Treasury Notes are issued to assist with the Australian government's within-year financing task.
Treasury Notes are traded on a yield to maturity basis with the price per $100 face value calculated using the following pricing formula:
the price per $100 face value.
the number of days from the date of settlement to the maturity date.
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.
Australian Office of Financial Management,
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PARKES ACT 2600
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