BS24125S 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/12/17/bs24125s-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 ML24150V is 3.19%. Considering the average yield premium of -0.22% and standard deviation of 0.08% in 2024 so far, the projected cut-off-yield for BS24125S would be:

Projected Cut-Off Yield = 3.19% – 0.22% = 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 2.47%. With standard deviation of T-bill cut-off yield at 0.32% as seen in the T-Bill Yield Premium Statistics table in 2024, the projected cut-off-yield for BS24125S would be:

Projected Cut-Off Yield = 2.47%
Projected Lower Yield = 2.47% – 0.32% = 2.15%
Projected Higher Yield = 2.47% + 0.32% = 2.79%

Summary

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

Polynomial Trendline Projection:
Projected Cut-Off Yield = 2.47%, ranging from 2.15% to 2.79%

Today MAS Bill cut-off yield only dropped 1 basis point from the ML24148Z issue, pulling the Yield Premium projected yield down also by 1 basis point to 2.97%. The projected yield from the Polynomial Trendline Projection is 50 basis points below at 2.47%, way too far below the last T-bill cut-off yield.

Hence, I would pick 2.97% as my projected yield for this coming T-bill issue.