BS25101F 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2025/01/14/bs25101f-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 ML25102F is 3.18%. Considering the average yield premium of -0.22% and standard deviation of 0.08% in 2024 so far, the projected cut-off-yield for BS25101F would be:

Projected Cut-Off Yield = 3.18% – 0.22% = 2.96%

Projected Lower Yield = 2.96% – 0.08% = 2.88%

Projected Higher Yield = 2.96% + 0.08% = 3.04%

Polynomial Trendline Projection

Based on 3rd Order Polynomial Trendline Projection:

From the trendline projection chart, the projected yield is approximately at 3.12%. 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 BS25101F would be:

Projected Cut-Off Yield = 3.12%

Projected Lower Yield = 3.12% – 0.32% = 2.80%

Projected Higher Yield = 3.12% + 0.32% = 3.44%

Summary

Yield Premium Projection:

Projected Cut-Off Yield = 2.96%, ranging from 2.88% to 3.04%

Polynomial Trendline Projection:

Projected Cut-Off Yield = 3.12%, ranging from 2.80% to 3.44%

Similar to last T-bill projection, this round the projected yield range from the Yield Premium method is also completely contained within the range from the Polynomial Trendline method. This is a sign of both methods converging in projection.

Again, I'm going to pick a projected yield between 2.96% and 3.12%, but closer to the lower value. My guess for the projected yield for BS25101F would be 3.02%.