BS24116E 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/08/13/bs24116e-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 ML24132S is 3.62%. Considering the average yield premium of -0.22% and standard deviation of 0.09% in 2024 so far, the projected cut-off-yield for BS24116E would be:

Projected Cut-Off Yield = 3.62% – 0.22% = 3.40%
Projected Lower Yield = 3.40% – 0.09% = 3.31%
Projected Higher Yield = 3.40% + 0.09% = 3.49%

Polynomial Trendline Projection

The updated Polynomial Trendline Projection chart is shown here:

From this trendline projection chart, the projected yield is approximately at 3.77%. With standard deviation of T-bill cut-off yield at 0.10% as seen in the T-Bill Yield Premium Statistics table in 2024, the projected cut-off-yield for BS24116E would be:

Projected Cut-Off Yield = 3.77%
Projected Lower Yield = 3.77% – 0.10% = 3.67%
Projected Higher Yield = 3.77% + 0.10% = 3.87%

Summary

Yield Premium Projection:
Projected Cut-Off Yield = 3.40%, ranging from 3.31% to 3.49%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 3.77%, ranging from 3.67% to 3.87%

The projected yields from the 2 methods widened even further to 37 basis points, and again no overlap in the projected ranges. I'm guessing the cut-off yield would be closer to the projected yield of the Yield Premium Projection method 3.40%.