BS24120V 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/10/08/bs24120v-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 ML24140T is 3.32%. Considering the average yield premium of -0.22% and standard deviation of 0.09% in 2024 so far, the projected cut-off-yield for BS24120V would be:

Projected Cut-Off Yield = 3.32% – 0.22% = 3.10% Projected Lower Yield = 3.10% – 0.09% = 3.01% Projected Higher Yield = 3.10% + 0.09% = 3.19%

Polynomial Trendline Projection

Continuing with 2nd Order Polynomial Trendline Projection:

From the trendline projection chart, the projected yield is approximately at 2.73%. With standard deviation of T-bill cut-off yield at 0.25% as seen in the T-Bill Yield Premium Statistics table in 2024, the projected cut-off-yield for BS24120V would be:

Projected Cut-Off Yield = 2.73% Projected Lower Yield = 2.73% – 0.25% = 2.48% Projected Higher Yield = 2.73% + 0.25% = 2.98%

Summary

Yield Premium Projection: Projected Cut-Off Yield = 3.10%, ranging from 3.01% to 3.19%

Polynomial Trendline Projection: Projected Cut-Off Yield = 2.73%, ranging from 2.48% to 2.98%

MAS Bill cut-off yield rebounded today, resulting a higher projected cut-off yield of 3.10% based on the Yield Premium Projection method. On the other hand, projected cut-off yield from Polynomial Trendline Projection method dropped further to 2.73%.

I'm going with the 3.10% projected yield in the coming auction results.