BS24103H 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/02/14/bs24103h-6-month-t-bill-yield-projection/

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

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I wrote about the Projection of 6-Month T-Bills Cut-Off Yield in 2024 last month. Let's try to use the 2 methods to project the cut-off yield for the upcoming BS24103H 6-month T-bill with auction date on 15 February 2024.

MAS Bills to T-Bills Projection

Here is the 6-Month T-Bill vs 12-Week MAS Bill Yield Chart and the T-Bill Yield Premium Statistics Table updated with the latest 6-Month T-bill BS24102S auction results:

This method of projection is based on the immediately preceding ML24106X 12-week MAS Bill auctioned today (14 February 2024): https://www.mas.gov.sg/bonds-and-bills/auctions-and-issuance-calendar/auction-mas-bill?issue_code=ML24106X&issue_date=2024-02-16

The cut-off yield of ML24106X is 3.94%. Considering the average yield premium of -0.36% and standard deviation of 0.05% in 2024 so far, the projected cut-off-yield for BS24103H would be:

Projected Cut-Off Yield = 3.94% - 0.36% = 3.62%

Projected Lower Yield = 3.62% - 0.05% = 3.57%

Projected Higher Yield = 3.62% + 0.05% = 3.67%

3rd Order Polynomial Trendline Projection

The Polynomial Trendline Projection chart updated with the latest 6-Month T-bill BS24102S auction results:

Based on this trendline projection method and the standard deviation of T-bill cut-off yield at 0.11% (refer to the T-Bill Yield Premium Statistics table) in 2024, the projected cut-off-yield for BS24103H would be:

Projected Cut-Off Yield = 3.60%

Projected Lower Yield = 3.60% - 0.11% = 3.49%

Projected Higher Yield = 3.60% + 0.11% = 3.71%