BS24113N 6-Month T-Bill Auction Results vs Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/07/04/bs24113n-6-month-t-bill-auction-results-vs-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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Refer to BS24113N 6-Month T-Bill Yield Projection for the projection:

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

Polynomial Trendline Projection:
Projected Cut-Off Yield = 3.80%, ranging from 3.73% to 3.87%

Today (4 July 2024) the auction results for BS24113N was released here:
https://www.mas.gov.sg/bonds-and-bills/auctions-and-issuance-calendar/auction-t-bill?issue_code=BS24113N&issue_date=2024-07-09

BS24113N Cut-Off Yield is 3.70%, within projected yield range using Yield Premium method, but 3 basis point below the lower boundary of the Trendline Projection method. The Yield Premium method only underestimated the actual cut-off yield by 5 basis points as opposed to the first half year average of 10 basis points.

Take a look at the cut-off yield, median yield and average yield since January 2022:

The spreads between the 3 yields had widened in this T-bill issue. This is an indication of more low ballers in this tranche, pulling the average yield lower, and might have pulled down the cut-off yield a few bids lower.