BS24112W 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/06/19/bs24112w-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 ML24124F is 3.94%. Considering the average yield premium of -0.22% and standard deviation of 0.10% in 2024 so far, the projected cut-off-yield for BS24114W would be:

Projected Cut-Off Yield = 3.94% – 0.22% = 3.72%
Projected Lower Yield = 3.72% – 0.10% = 3.62%
Projected Higher Yield = 3.72% + 0.10% = 3.82%

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 0.07% (refer to the T-Bill Yield Premium Statistics table) in 2024, the projected cut-off-yield for BS24114W would be:

Projected Cut-Off Yield = 3.76%
Projected Lower Yield = 3.76% – 0.07% = 3.69%
Projected Higher Yield = 3.76% + 0.07% = 3.83%

Summary

Yield Premium Projection:
Projected Cut-Off Yield = 3.72%, ranging from 3.62% to 3.82%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 3.76%, ranging from 3.69% to 3.83%

This round both projection methods give similar yield and range. Perhaps the coming T-bill cut-off yield is going to be from 3.72% to 3.76%.