BS24109A 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/05/07/bs24109a-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 are shown below:

The cut-off yield of ML24118F is 3.88%. Considering the average yield premium of -0.24% and standard deviation of 0.10% in 2024 so far, the projected cut-off-yield for BS24109A would be:

Projected Cut-Off Yield = 3.88% – 0.24% = 3.64%
Projected Lower Yield = 3.64% – 0.10% = 3.54%
Projected Higher Yield = 3.64% + 0.10% = 3.74%

Polynomial Trendline Projection

The updated Polynomial Trendline Projection chart is shown here:

Based on this trendline projection method and the standard deviation of T-bill cut-off yield at 0.08% (refer to the T-Bill Yield Premium Statistics table) in 2024, the projected cut-off-yield for BS24109A would be:

Projected Cut-Off Yield = 3.74%
Projected Lower Yield = 3.74% – 0.08% = 3.66%
Projected Higher Yield = 3.74% + 0.08% = 3.82%

Summary

Yield Premium Projection:
Projected Cut-Off Yield = 3.64%, ranging from 3.54% to 3.74%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 3.74%, ranging from 3.66% to 3.82%

The yield premium method is offering a lower projected yield range than the trendline method. The overlap is from 3.66% to 3.74%. We are likely to see this coming T-bill cut-off yield to be lower than the previous 3.74%.