BS25102Z 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2025/01/27/bs25102z-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 ML25104S is 3.08%. While we now have some data points in 2025, the sample size is too small for the statistics to be meaningful. Therefore, I will continue to consider the average yield premium of -0.22% and standard deviation of 0.08% in 2024. With that, the projected cut-off-yield for BS25102Z would be:

Projected Cut-Off Yield = 3.08% – 0.22% = 2.86%
Projected Lower Yield = 2.86% – 0.08% = 2.78%
Projected Higher Yield = 2.86% + 0.08% = 2.94%

Polynomial Trendline Projection

Based on 3rd Order Polynomial Trendline Projection:

From the trendline projection chart, the projected yield is approximately at 3.11%. 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 BS25102Z would be:

Projected Cut-Off Yield = 3.11%
Projected Lower Yield = 3.11% – 0.32% = 2.79%
Projected Higher Yield = 3.11% + 0.32% = 3.43%

Summary

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%

This round the MAS Bill cut-off yield dropped 10 basis points from the ML25102F issue, pulling the lower boundary of the projected yield range of the Yield Premium Projection 1 basis point below that of the Polynomial Trendline Projection.

Considering several factors for the coming T-bill BS25102Z:

• The supply is maintained at $7.2 billions compared with the previous T-bill BS25101F.
• The institution sentiment is dropping as reflected from the lower MAS bill yield.
• The deduction date to maturity date would span across 8 months, suggesting that the CPF applicants would either have to bid for at least 3.34% or simply pull out from this round of auction since the track records for the past few months were under 3.34%.

With lesser demand from retail investors, the institution demand would likely be setting the baseline cut-off yield. So I'm going to project the cut-off yield would be between 2.86% and 2.94%, and probably at 2.89% following similar 10 basis points drop as in MAS bill.