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Australian Special Pricing Conventions

Pricing Feature

Treatment

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Pricing Formula

The Reserve Bank of Australia (RBA) formula is used for pricing. This formula is a special case of the ISMA formula with a slight potential adjustment for payment timing in the final coupon period.

Final Period Pricing

Priced using money market yield on actual/365 basis. If nominal redemption date falls on a non-business day, then the next good business day is used in the calculation of the number of days to maturity. This pricing convention is adopted when the bond goes ex-dividend prior to the penultimate coupon payment.

 

 

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