BS25117E 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2025/08/27/bs25117e-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 ML25134H is 1.54%. 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 BS25117E would be:

Projected Cut-Off Yield = 1.54% – 0.10% = 1.44%
Projected Lower Yield = 1.44% – 0.06% = 1.38%
Projected Higher Yield = 1.44% + 0.06% = 1.50%

Polynomial Trendline Projection

Based on 3rd Order Polynomial Trendline Projection:

From the trendline projection chart, the projected yield is approximately at 1.97%. With standard deviation of T-bill cut-off yield at 0.48% as seen in the T-Bill Yield Premium Statistics table in 2025, the projected cut-off-yield for BS25117E would be:

Projected Cut-Off Yield = 1.97%
Projected Lower Yield = 1.97% – 0.48% = 1.49%
Projected Higher Yield = 1.97% + 0.48% = 2.45%

Summary

Yield Premium Projection:
Projected Cut-Off Yield = 1.44%, ranging from 1.38% to 1.50%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 1.97%, ranging from 1.49% to 2.45%

This round MAS Bill dropped 5 basis points from ML25132Z 1.68% to ML25134H 1.54%, and the supply of the coming T-Bill BS25117E increased to $7.7 billion dollars. This will exert downward pressure on the cut-off yield.

From the lesson learnt in the previous projection (refer to BS25116A 6-Month T-Bill Auction Results vs Projection), I will still to the statistical projection model. Hence, my projected cut-off yield for BS25117A would be 1.44% from the Yield Premium Method.