BS24122E 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/11/05/bs24122e-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 ML24144V is 3.20%. Considering the average yield premium of -0.23% and standard deviation of 0.08% in 2024 so far, the projected cut-off-yield for BS24122E would be:

Projected Cut-Off Yield = 3.20% – 0.23% = 2.97% Projected Lower Yield = 2.97% – 0.08% = 2.89% Projected Higher Yield = 2.97% + 0.08% = 3.05%

Polynomial Trendline Projection

Based on 2nd Order Polynomial Trendline Projection:

From the trendline projection chart, the projected yield is approximately at 2.62%. With standard deviation of T-bill cut-off yield at 0.29% as seen in the T-Bill Yield Premium Statistics table in 2024, the projected cut-off-yield for BS24122E would be:

Projected Cut-Off Yield = 2.62% Projected Lower Yield = 2.62% – 0.29% = 2.33% Projected Higher Yield = 2.62% + 0.29% = 2.91%

Summary

Yield Premium Projection: Projected Cut-Off Yield = 2.97%, ranging from 2.89% to 3.05%

Polynomial Trendline Projection: Projected Cut-Off Yield = 2.62%, ranging from 2.33% to 2.91%

Yield Premium Projection method gave a lower projected cut-off yield of 2.97%, and Polynomial Trendline Projection method projected a cut-off yield 2.62%. I would adopt the Yield Premium Projection of 2.97%.