BS25112X 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2025/06/17/bs25112x-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 ML25124E is 2.09%. 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 BS25112X would be:

Projected Cut-Off Yield = 2.09% – 0.12% = 1.97%
Projected Lower Yield = 1.97% – 0.05% = 1.92%
Projected Higher Yield = 1.97% + 0.05% = 2.02%

Polynomial Trendline Projection

Based on 3rd Order Polynomial Trendline Projection:

From the trendline projection chart, the projected yield is approximately at 2.49%. With standard deviation of T-bill cut-off yield at 0.34% as seen in the T-Bill Yield Premium Statistics table in 2025, the projected cut-off-yield for BS25112X would be:

Projected Cut-Off Yield = 2.49%
Projected Lower Yield = 2.49% – 0.34% = 2.15%
Projected Higher Yield = 2.49% + 0.34% = 2.83%

Summary

Yield Premium Projection:
Projected Cut-Off Yield = 1.97%, ranging from 1.92% to 2.02%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 2.49%, ranging from 2.15% to 2.83%

This round MAS Bill dropped 15 basis points from ML25122V 2.24% to ML25124E 2.09%. The supply of the coming T-Bill BS25112X slid back to $7.5 billion dollars.

Both the drop in MAS Bill yield and slight decrease in the T-bill supply would lower the coming T-Bill cut-off yield. My projection for BS25112X cut-off yield would follow the Yield Premium Projection at 1.97%.