BS25100E 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/12/31/bs25100e-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 ML25100A is 3.24%. Considering the average yield premium of -0.22% and standard deviation of 0.08% in 2024 so far, the projected cut-off-yield for BS25100E would be:

Projected Cut-Off Yield = 3.24% – 0.22% = 3.02%
Projected Lower Yield = 3.02% – 0.08% = 2.94%
Projected Higher Yield = 3.02% + 0.08% = 3.10%

Polynomial Trendline Projection

As mentioned in my blog post 6-Month T-Bill 2024 Year End Projection Review, I'm switching back to 3rd Order Polynomial Trendline Projection:

From the trendline projection chart, the projected yield is approximately at 3.13%. 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 BS25100E would be:

Projected Cut-Off Yield = 3.13%
Projected Lower Yield = 3.13% – 0.32% = 2.81%
Projected Higher Yield = 3.13% + 0.32% = 3.45%

Summary

Yield Premium Projection:
Projected Cut-Off Yield = 3.02%, ranging from 2.94% to 3.10%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 3.13%, ranging from 2.81% to 3.45%

The projected yield range from the Yield Premium method is completely contained within the range from the Polynomial Trendline method, suggesting that both methods seem to be giving more aligned projections this round.

I'm going to take the hint by picking a projected yield between 3.02% to 3.13%, say 3.07%, for this coming T-bill issue. Let's see if it is going to happen.