BS24113N 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/07/02/bs24113n-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 ML24126S is 3.87%. Considering the average yield premium of -0.22% and standard deviation of 0.10% in 2024 so far, the projected cut-off-yield for BS24113N would be:

Projected Cut-Off Yield = 3.87% – 0.22% = 3.65%
Projected Lower Yield = 3.65% – 0.10% = 3.55%
Projected Higher Yield = 3.65% + 0.10% = 3.75%

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 BS24113N would be:

Projected Cut-Off Yield = 3.80%
Projected Lower Yield = 3.80% – 0.07% = 3.73%
Projected Higher Yield = 3.80% + 0.07% = 3.87%

Summary

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%

Unlike the previous T-bill issue, this time the projected yields from the 2 methods are quite far apart. Considering the MAS Bill reflects the institutions' sentiment today, the Yield Premium method probably carries more weight.

Coupled with the method generally underestimates the actual cut-off yield by 0.10% on average in the first half of this year (refers to the blog post 6-Month T-Bill Mid Year Projection Review in 2024), I am guessing the coming T-bill cut-off yield would be around 3.75%.