BS25116A 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2025/08/12/bs25116a-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 ML25132Z is 1.68%. Considering the 2025 statistics with average yield premium of -0.10% and standard deviation of 0.06%. With that, the projected cut-off-yield for BS25116A would be:

Projected Cut-Off Yield = 1.68% – 0.10% = 1.58% Projected Lower Yield = 1.58% – 0.06% = 1.52% Projected Higher Yield = 1.58% + 0.06% = 1.64%

Polynomial Trendline Projection

Based on 3rd Order Polynomial Trendline Projection:

From the trendline projection chart, the projected yield is approximately at 2.07%. With standard deviation of T-bill cut-off yield at 0.45% as seen in the T-Bill Yield Premium Statistics table in 2025, the projected cut-off-yield for BS25116A would be:

Projected Cut-Off Yield = 2.07% Projected Lower Yield = 2.07% – 0.45% = 1.62% Projected Higher Yield = 2.07% + 0.45% = 2.52%

Summary

Yield Premium Projection: Projected Cut-Off Yield = 1.58%, ranging from 1.52% to 1.64%

Polynomial Trendline Projection: Projected Cut-Off Yield = 2.07%, ranging from 1.62% to 2.52%

This round MAS Bill dropped 5 basis points from ML25130E 1.73% to ML25132Z 1.68%, and the supply of the coming T-Bill BS25116A dropped slightly $7.5 billion dollars.

The small drops in both MAS Bill yield and the T-bill supply might have somewhat balanced out in terms of supply and demand for the coming T-Bill cut-off yield. I'm going to deviate from my usual projection using the Yield Premium Projection, but venture to make my projection for BS25116A cut-off yield that it would stay around the same level as the last T-bill BS25115V, i.e. 1.77%.