BS25102Z 6-Month T-Bill Auction Results vs Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2025/01/28/bs25102z-6-month-t-bill-auction-results-vs-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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Refer to BS25102Z 6-Month T-Bill Yield Projection for the projection:

Yield Premium Projection:
Projected Cut-Off Yield = 2.86%, ranging from 2.78% to 2.94%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 3.11%, ranging from 2.79% to 3.43%

Today (28 January 2025) the auction results for BS25102Z was released here:
https://www.mas.gov.sg/bonds-and-bills/auctions-and-issuance-calendar/auction-t-bill?issue_code=BS25102Z&issue_date=2025-02-04

BS25102Z Cut-Off Yield is 3.04%, 5 basis points above previous T-bill issue BS25101F, and 15 basis points above my projected yield 2.89%.

How wrong were I to think that the T-bill yield would follow a 10 basis points drop as in yesterday MAS bill auction results. I went back to look through the reasoning in arriving at my projection. I think I had underestimated the impact of the lesser retail demand, which implies potential for higher yield.

Let's take a look at the chart of T-bill cut-off yield, median yield and average yield:

We noticed that the 3 yields for this T-bill issue BS25102Z was narrowing compared with the previous issue BS25101F. Perhaps it was due to lower demand from retail investors that there were less lowballers in this auction, hence lifting the cut-off yield.

At least a pleasant surprise as we are stepping into Chinese New Year!