BS24123F 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/11/19/bs24123f-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 ML24146E is 3.26%. Considering the average yield premium of -0.23% and standard deviation of 0.08% in 2024 so far, the projected cut-off-yield for BS24123F would be:

Projected Cut-Off Yield = 3.26% – 0.23% = 3.03%
Projected Lower Yield = 3.03% – 0.08% = 2.95%
Projected Higher Yield = 3.03% + 0.08% = 3.11%

Polynomial Trendline Projection

Based on 2nd Order Polynomial Trendline Projection:

From the trendline projection chart, the projected yield is approximately at 2.56%. With standard deviation of T-bill cut-off yield at 0.30% as seen in the T-Bill Yield Premium Statistics table in 2024, the projected cut-off-yield for BS24123F would be:

Projected Cut-Off Yield = 2.56%
Projected Lower Yield = 2.56% – 0.30% = 2.26%
Projected Higher Yield = 2.56% + 0.30% = 2.86%

Summary

Yield Premium Projection:
Projected Cut-Off Yield = 3.03%, ranging from 2.95% to 3.11%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 2.56%, ranging from 2.26% to 2.86%

Yield Premium Projection method projected cut-off yield went up 6 basis points from the previous T-bill projection to 3.03%. On the other hand, Polynomial Trendline Projection method projected cut-off yield dipped 6 basis points to 2.56%. I would go with 3.03% projection for this coming T-bill.