BS24115A 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/07/30/bs24115a-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 ML24130F is 3.72%. Considering the average yield premium of -0.21% and standard deviation of 0.09% in 2024 so far, the projected cut-off-yield for BS24115A would be:

Projected Cut-Off Yield = 3.72% – 0.21% = 3.51%
Projected Lower Yield = 3.51% – 0.09% = 3.42%
Projected Higher Yield = 3.51% + 0.09% = 3.60%

Polynomial Trendline Projection

The updated Polynomial Trendline Projection chart is shown here:

From this trendline projection chart, the projected yield is approximately at 3.81%. 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 projected cut-off-yield for BS24115A would be:

Projected Cut-Off Yield = 3.81%
Projected Lower Yield = 3.81% – 0.07% = 3.74%
Projected Higher Yield = 3.81% + 0.07% = 3.88%

Summary

Yield Premium Projection:
Projected Cut-Off Yield = 3.51%, ranging from 3.42% to 3.60%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 3.81%, ranging from 3.75% to 3.88%

This round the projected yields from the 2 methods had further widened to 30 basis points. Like the previous round, there was no overlap in the projected ranges.

Continue to incline towards the Yield Premium Projection method as it reflects the latest institutional sentiments. I suspect the cut-off yield would be within 3.51% and 3.60%, perhaps about 3.56%.