BS24105X 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/03/12/bs24105x-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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Yield Premium Projection

The updated 6-Month T-Bill vs 12-Week MAS Bill Yield chart and the T-Bill Yield Premium Statistics table:

The cut-off yield of ML24110H is 3.90%. Considering the average yield premium of -0.30% and standard deviation of 0.10% in 2024 so far, the projected cut-off-yield for BS24105X would be:

Projected Cut-Off Yield = 3.90% – 0.30% = 3.60%
Projected Lower Yield = 3.60% – 0.10% = 3.50%
Projected Higher Yield = 3.60% + 0.10% = 3.70%

Polynomial Trendline Projection

The updated Polynomial Trendline Projection chart:

Based on this trendline projection method and the standard deviation of T-bill cut-off yield at 0.10% (refer to the T-Bill Yield Premium Statistics table) in 2024, the projected cut-off-yield for BS24105X would be:

Projected Cut-Off Yield = 3.60%
Projected Lower Yield = 3.60% – 0.10% = 3.50%
Projected Higher Yield = 3.60% + 0.10% = 3.70%

Summary

Yield Premium Projection:
Projected Cut-Off Yield = 3.60%, ranging from 3.50% to 3.70%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 3.60%, ranging from 3.50% to 3.70%

Interestingly, both projection methods gave the same yield and range.