BS24106W 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/03/26/bs24106w-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 ML24112X is 3.99%. Considering the average yield premium of -0.27% and standard deviation of 0.11% in 2024 so far, the projected cut-off-yield for BS24106W would be:

Projected Cut-Off Yield = 3.99% – 0.27% = 3.72% Projected Lower Yield = 3.72% – 0.11% = 3.61% Projected Higher Yield = 3.72% + 0.11% = 3.83%

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 BS24106W would be:

Projected Cut-Off Yield = 3.65% Projected Lower Yield = 3.65% – 0.10% = 3.55% Projected Higher Yield = 3.65% + 0.10% = 3.75%

Summary

Yield Premium Projection: Projected Cut-Off Yield = 3.72%, ranging from 3.61% to 3.83%

Polynomial Trendline Projection: Projected Cut-Off Yield = 3.65%, ranging from 3.55% to 3.75%