BS24111X 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/06/04/bs24111x-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 ML24122A is 3.85%. Considering the average yield premium of -0.23% and standard deviation of 0.10% in 2024 so far, the projected cut-off-yield for BS24112X would be:

Projected Cut-Off Yield = 3.85% – 0.23% = 3.62%
Projected Lower Yield = 3.62% – 0.10% = 3.52%
Projected Higher Yield = 3.62% + 0.10% = 3.72%

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 BS24112X would be:

Projected Cut-Off Yield = 3.75%
Projected Lower Yield = 3.75% – 0.08% = 3.67%
Projected Higher Yield = 3.75% + 0.08% = 3.83%

Summary

Yield Premium Projection:
Projected Cut-Off Yield = 3.62%, ranging from 3.52% to 3.72%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 3.75%, ranging from 3.67% to 3.83%

The yield premium method is projecting a 2 basis-point lower projected yield range than the previous T-bill yield projection, and the trendline projection remained the same. The overlap of 3.67% to 3.72% is slightly narrower than the last round.

Taking reference from the last round, I'm going to guess that the coming T-bill cut-off yield is going to be from 3.62% to 3.67%.