BS24121A 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/10/22/bs24121a-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 ML24142W is 3.28%. Considering the average yield premium of -0.23% and standard deviation of 0.09% in 2024 so far, the projected cut-off-yield for BS24121A would be:

Projected Cut-Off Yield = 3.28% – 0.23% = 3.05%
Projected Lower Yield = 3.05% – 0.09% = 2.96%
Projected Higher Yield = 3.05% + 0.09% = 3.14%

Polynomial Trendline Projection

Based on 2nd Order Polynomial Trendline Projection:

From the trendline projection chart, the projected yield is approximately at 2.63%. With standard deviation of T-bill cut-off yield at 0.27% as seen in the T-Bill Yield Premium Statistics table in 2024, the projected cut-off-yield for BS24121A would be:

Projected Cut-Off Yield = 2.63%
Projected Lower Yield = 2.63% – 0.27% = 2.36%
Projected Higher Yield = 2.63% + 0.27% = 2.90%

Summary

Yield Premium Projection:
Projected Cut-Off Yield = 3.05%, ranging from 2.96% to 3.14%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 2.63%, ranging from 2.36% to 2.90%

MAS Bill cut-off yield eased off today to project a lower projected T-bill cut-off yield of 3.05% based on the Yield Premium Projection method. On the other hand, projected cut-off yield from Polynomial Trendline Projection method dropped further to 2.63%.

My projection for the BS24121A T-bill cut-off yield would be 3.05%, a slight drop from the last T-bill issue.