BS24107N 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/04/09/bs24107n-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.

__

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 ML24114N is 3.88%. Considering the average yield premium of -0.26% and standard deviation of 0.11% in 2024 so far, the projected cut-off-yield for BS24107N would be:

Projected Cut-Off Yield = 3.88% – 0.26% = 3.62%
Projected Lower Yield = 3.62% – 0.11% = 3.51%
Projected Higher Yield = 3.62% + 0.11% = 3.73%

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 0.09% (refer to the T-Bill Yield Premium Statistics table) in 2024, the projected cut-off-yield for BS24107N would be:

Projected Cut-Off Yield = 3.66%
Projected Lower Yield = 3.66% – 0.09% = 3.57%
Projected Higher Yield = 3.66% + 0.09% = 3.75%

Summary

Yield Premium Projection:
Projected Cut-Off Yield = 3.62%, ranging from 3.51% to 3.73%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 3.66%, ranging from 3.57% to 3.75%