Analysis of 6-Month T-Bill BS22125T Auction Results

This Opinion post first appeared in my blog here:

https://pwlcm.wordpress.com/2022/12/21/analysis-of-6-month-t-bill-bs22125t-auction-results/

Disclaimer: This post is just for educational sharing purposes. Please do your own due diligence on any products mentioned in this post.

__

Auction Results

• Total Amount Allotted = S$4.4 billion
• Total Amount Applied = S$11.8 billion
• Total Non-Competitive Amount Allotted = S$1.6 billion
• % of Non-Competitive Amount Allotted = 100%
• Total Non-Competitive Amount Applied = S$1.6 billion
• Total Competitive Amount Applied = 11.8 – 1.6 = S$10.2 billion
• Total Competitive Amount Allotted = 4.4 – 1.6 = S$2.8 billion
• Cut-off Yield = 4.28% p.a.
• Median Yield = 4% p.a.
• Average Yield = 3.76% p.a.

Compare BS22125T with BS22124H

Let’s compare the auction results of BS22125T with the previous T-bill (refer to Analysis of 6-Month T-Bill BS22124H Auction Results) as follows:

• Total amount allotted dropped from S$4.6 billion to S$4.4 billion.
• Total amount applied increased from S$9.3 billion to S$11.8 billion.
• Total non-competitive amount applied increased from S$1.2 billion to S$1.6 billion.
• % of non-competitive amount allotted remained at 100%.
• Total competitive amount applied increased from S$8.1 billion to S$10.2 billion.
• Total competitive amount allotted dropped from S$3.4 billion to S$2.8 billion.
• Cut-off yield dropped from 4.4% to 4.28%.
• Median yield increased from 3.85% to 4%.
• Average yield increased from 3.73% to 3.76%.

Observations

• Overall supply dropped while demand increased.
• Non-competitive applications increased, but not over-subscribed.
• Competitive applications increased, and yet allotment dropped.
• Both median and average yields increased.
• Cut-off yield dropped from 2022 high achieved in the previous T-bill issue.

MAS Bills to T-Bills Projection

Let’s continue to update the MAS Bills to T-Bills Projection table with the latest yields (refer to “Projection of T-Bills Cut-Off Yield“):

I have added another set of statistical metrics based on yield delta data starting from the BS22119T T-bill issue when the delta began turning into negative value. This represents the recent 3 months trend.

Linear Trendline Projection

An update on the Linear Trendline Projection chart with the latest yield (refer to “Projection of T-Bills Cut-Off Yield“):

The cut-off yield dipped below the trendline for the latest T-bill issue.

Auction Trend

An update on the auction data of T-bills in 2022:

With the previous T-bill cut-off yield making 2022 high of 4.4%, the relatively high yield attracted T-bill investors back to the game, resulting in higher bid-to-cover ratio. And yet, less people went for non-competitive bids, hence the non-competitive bidders received full allotment.

With more competitive bidders over less allotment amount, the cut-off yield had dropped. However, competitive bidding showed signs of rationality with both median and average yields increasing.

Summary

• No over-subscription in non-competitive applications, hence 100% allotment.
• Competitive bidding is getting more rational with higher median and average bids.
• Rising demand met with lower supply results in lower cut-off yield.