BS24114V 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/07/16/bs24114v-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 ML24128T is 3.80%. Considering the average yield premium of -0.21% and standard deviation of 0.09% in 2024 so far, the projected cut-off-yield for BS24114V would be:

Projected Cut-Off Yield = 3.80% – 0.21% = 3.59%
Projected Lower Yield = 3.59% – 0.09% = 3.50%
Projected Higher Yield = 3.59% + 0.09% = 3.68%

Polynomial Trendline Projection

The updated Polynomial Trendline Projection chart is shown here:

From this trendline projection chart, the projected yield is approximately at 3.82%. With standard deviation of T-bill cut-off yield at 0.07% as seen in the T-Bill Yield Premium Statistics table in 2024, the cut-off-yield projection for BS24114V would be:

Projected Cut-Off Yield = 3.82%
Projected Lower Yield = 3.82% – 0.07% = 3.75%
Projected Higher Yield = 3.82% + 0.07% = 3.89%

Summary

Yield Premium Projection:
Projected Cut-Off Yield = 3.59%, ranging from 3.50% to 3.68%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 3.82%, ranging from 3.75% to 3.89%

This round the difference between the projected yields from the 2 methods is 23 basis points, wider than the 15 basis points in the previous T-bill issue. The projected ranges didn't even overlap.

I'm going to incline more towards the Yield Premium Projection method, because it reflects the latest institutional sentiment. I'm guessing that the cut-off yield would be in the upper projected range of 3.59% to 3.68%, probably closer to the upper boundary of 3.68%.