BS24124Z 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/12/03/bs24124z-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 ML24148Z is 3.20%. Considering the average yield premium of -0.22% and standard deviation of 0.08% in 2024 so far, the projected cut-off-yield for BS24124Z would be:

Projected Cut-Off Yield = 3.20% – 0.22% = 2.98%
Projected Lower Yield = 2.98% – 0.08% = 2.90%
Projected Higher Yield = 2.98% + 0.08% = 3.06%

Polynomial Trendline Projection

Based on 2nd Order Polynomial Trendline Projection:

From the trendline projection chart, the projected yield is approximately at 2.50%. With standard deviation of T-bill cut-off yield at 0.31% as seen in the T-Bill Yield Premium Statistics table in 2024, the projected cut-off-yield for BS24124Z would be:

Projected Cut-Off Yield = 2.50%
Projected Lower Yield = 2.50% – 0.31% = 2.19%
Projected Higher Yield = 2.50% + 0.31% = 2.81%

Summary

Yield Premium Projection:
Projected Cut-Off Yield = 2.98%, ranging from 2.90% to 3.06%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 2.50%, ranging from 2.19% to 2.81%

Today MAS Bill cut-off yield dropped 6 basis points from the ML24146E issue, pulling the Yield Premium projected yield down to 2.98%. This would be my projected yield for this coming T-bill issue.