BS25110H 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2025/05/20/bs25110h-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 ML25120W is 2.28%. Considering the 2025 statistics with average yield premium of -0.12% and standard deviation of 0.05%. With that, the projected cut-off-yield for BS25110H would be:

Projected Cut-Off Yield = 2.28% – 0.12% = 2.16%
Projected Lower Yield = 2.16% – 0.05% = 2.11%
Projected Higher Yield = 2.16% + 0.05% = 2.21%

Polynomial Trendline Projection

Based on 3rd Order Polynomial Trendline Projection:

From the trendline projection chart, the projected yield is approximately at 2.69%. With standard deviation of T-bill cut-off yield at 0.28% as seen in the T-Bill Yield Premium Statistics table in 2025, the projected cut-off-yield for BS25110H would be:

Projected Cut-Off Yield = 2.69%
Projected Lower Yield = 2.69% – 0.28% = 2.41%
Projected Higher Yield = 2.69% + 0.28% = 2.97%

Summary

Yield Premium Projection:
Projected Cut-Off Yield = 2.16%, ranging from 2.11% to 2.21%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 2.69%, ranging from 2.41% to 2.97%

This round MAS Bill dropped 12 basis points from ML25118E 2.40% to ML25120W 2.28%. The supply of the coming T-Bill BS25110H increases by $100 million dollars to $7.5 billion dollars.

The bigger drop in MAS Bill yield coupled with slight increase in the T-bill supply would exert downwards pressure on the coming T-Bill cut-off yield. My projection for BS25110H cut-off yield would follow the Yield Premium Projection at 2.16%.