BS25119Z 6-Month T-Bill Yield Projection

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2025/09/23/bs25119z-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 ML25138N is 1.42%. 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 BS25119Z would be:

Projected Cut-Off Yield = 1.42% – 0.10% = 1.32%
Projected Lower Yield = 1.32% – 0.06% = 1.26%
Projected Higher Yield = 1.32% + 0.06% = 1.38%

Polynomial Trendline Projection

Based on 3rd Order Polynomial Trendline Projection:

From the trendline projection chart, the projected yield is approximately at 1.72%. With standard deviation of T-bill cut-off yield at 0.55% as seen in the T-Bill Yield Premium Statistics table in 2025, the projected cut-off-yield for BS25119Z would be:

Projected Cut-Off Yield = 1.72%
Projected Lower Yield = 1.72% – 0.55% = 1.17%
Projected Higher Yield = 1.72% + 0.55% = 2.27%

Summary

Yield Premium Projection:
Projected Cut-Off Yield = 1.32%, ranging from 1.26% to 1.38%

Polynomial Trendline Projection:
Projected Cut-Off Yield = 1.72%, ranging from 1.17% to 2.27%

This round MAS Bill dropped 10 basis points from ML25136X 1.44% to ML25138N 1.42%, and the supply of the coming T-Bill BS25119Z reduced to $7.7 billion dollars. I expect the cut-off yield to stay about the same as last issue.

My projected cut-off yield for BS25119Z would follow the Yield Premium Method, i.e. 1.32%.