Lai lai I share a "top-secret" slide with you guys.

 L11_Short_Rate_Prediction_handout.zip ( 932.05k ) Number of downloads: 13


Attached is a slide from my Fixed Income course at HKUST on short-term rates forecasting (focusing on the US). In reality, fixed income people do VARIMA analysis using multiple factors like those from Taylor's rule and other macroeconomic variables which are relevant. The most important factor is inflation level. Higher inflation rate -> higher interest rates -> higher risk-free yields.

You may want to look at payrolls (leading indicator) and consider persistency of policy to prevent shock to the market (which is why some people blame the Fed for acting too late in certain occasions).

The best prediction for US's case is the Fed funds futures rate. For SG I think you may use overnight index swap (OIS) SORA rates for guidance.

SG rates tend to follow US and the market prices SG sovereign issues at the same risk level as Switzerland and slightly safer than US. The appreciating SGD NEER means SG rates are usually lower than their US counterparts.

This week's MAS Bill auction results:

Tenure	4-week	12-week
Cut-off yield	4.19%	4.16%
Median yield	4%	4.04%
Average yield	3.51%	3.79%
BTC ratio	1.74	1.83

Source:

4-week: https://www.mas.gov.sg/bonds-and-bills/auct...date=2023-06-30

12-week: https://www.mas.gov.sg/bonds-and-bills/auct...date=2023-06-30

the window to subscrive to T-Bill is only few days right ? we cant buy in advance ?

its an auction... you can send bid early in the window but doesn't matter... guessing the cutoff is key...

pls let me know when is the best time to go in, the bid opens at 5pm right? allotment totally random or FCFS.

sort the bids lowest to highest... cheapest kiasu guys win...

if the non competitive bid exceeds the allotment, then FCFS ? or proportionate ?

T-bill will show up in your DBS/OCBC/UOB account website in the evening on the day it is announced. The first page of reddevil's T-bill post on HWZ answers your question:

https://forums.hardwarezone.com.sg/threads/...-bills.6769601/



Best time to go in is "last minute", usually the evening before auction day (around 5 -6 pm when MAS announced the average bid quotes from the primary dealers for the latest issuance here: https://eservices.mas.gov.sg/statistics/fda...suePrices.aspx)

For cash application, DBS's ibanking portal deadline is 9pm ONE day before auction. For CPF-OA applications, DBS's deadline is usually at 12 pm TWO days before auction. Just login to your DBS ibanking portal on T-bill announcement date and check (you don't have to pay anything yet, just check the deadline in advance).

Kindly refer to UOB/OCBC digital banking portal for their respective deadlines. It should be about the same time.

One important thing to beware of is technical issue for digital banking websites. Recently DBS had problems with its ibanking portal and phone app, one such event happened one day before T-bill auction day and the service only went back online late in the evening around 6-7 pm, just hours before the T-bill application deadline. To avoid/mitigate such issues, it's sometimes best to submit your bids earlier (though the rates might change dramatically if bad/good things happen just before the auction date) or open one or more bank accounts with a separate primary dealer (UOB/OCBC/DBS).

Allotment is based on "uniform price auction" method, which is also used in US T-bill issuance. 40% of the issued amount is reserved for non-competitive bids whose bidders only set the amount they want but not the price/yields. Competitive bidders, the other 60%, get to decide on the price and yield. The highest yield/lowest price of the auction will be the cut-off yield, which is the price/yield for that particular issue of T-bill for all non-comp bidders and competitive bidders who bid at/below cut-off yield.

reddevil's post explained the process in layman's term for you: https://forums.hardwarezone.com.sg/threads/...#post-142324694 (2nd post in his thread)



If non-competitive bid exceeds the 40% allotment limit, then the bond/bill will be allocated to you on a pro-rated basis.

It's stated on MAS's official website: https://www.mas.gov.sg/bonds-and-bills/inve...s-are-conducted

This post has been edited by TOS: Jun 28 2023, 03:18 PM

A little correction:



Source: vsvs24/HWZ

just went in 50% NC, another 50% Comp will be before the closing date.

This week's MAS Bill auction results:

Tenure	4-week	12-week
Cut-off yield	4.15%	4.18%
Median yield	4.05%	4.08%
Average yield	3.58%	3.52%
BTC ratio	2.04	2.19

Source:

4-week: https://www.mas.gov.sg/bonds-and-bills/auct...date=2023-07-07

12-week: https://www.mas.gov.sg/bonds-and-bills/auct...date=2023-07-07

Last day guys! Deadline is 9pm today. This round high chance of COY above 3.90% p.a.

MAS primary dealers quoted 3.87% for the recent 6M issue (BS23112N issued 2 weeks ago, back then COY was 3.89% p.a.)

https://eservices.mas.gov.sg/statistics/fda...ssuePrices.aspx

I bid 3.85% p.a.

Yesterday forgot to go in the other 50%. anyway, next upcoming T-Bill

20 July - 6 month
27 July - 1 year

I believe that 1 year T-bill would be attractive in view of the declining FD rate.

Should have bookmarked the dates on your calendar.

https://www.mas.gov.sg/bonds-and-bills/auct...suance-calendar

MAS is late this time... Must be a super-hot issue!

Sources from HWZ says COY is 3.99%!

Non-competitive ones oversubscribed "a bit".

https://forums.hardwarezone.com.sg/threads/...#post-148277903

N.B. OCBC is damn efficient, money already credited into accounts of those who bought T-bills... apart from sending notifications...

This post has been edited by TOS: Jul 6 2023, 02:16 PM

Your application of 30 Jun 2023, made via Online Banking, is successful. 3.99%. u beat me to it.

This post has been edited by ccschua: Jul 6 2023, 02:39 PM

lol

Finally...

Today's 6M bill auction result:

% of Competitive Applications at Cut-off Allotted	Approximately 2%
% of Non-Competitive Applications Allotted	96%
Bid-to-Cover Ratio	1.91
Cut-off Yield (Price)	3.99% p.a. (98.01)
Median Yield (Price)	3.5% p.a. (98.255)
Average Yield (Price)	2.87% p.a. (98.569)

Source: https://www.mas.gov.sg/bonds-and-bills/auct...date=2023-07-11

This post has been edited by TOS: Jul 6 2023, 08:23 PM

This week's MAS Bill auction results:

Tenure	4-week	12-week
Cut-off yield	4.2%	4.16%
Median yield	4%	4.12%
Average yield	3.48%	3.58%
BTC ratio	1.86	2.16

Source:

4-week: https://www.mas.gov.sg/bonds-and-bills/auct...date=2023-07-14

12-week: https://www.mas.gov.sg/bonds-and-bills/auct...date=2023-07-14

This post has been edited by TOS: Jul 18 2023, 02:34 PM

This week's MAS Bill auction results:

Tenure	4-week	12-week
Cut-off yield	4.18%	4.15%
Median yield	4.03%	4.08%
Average yield	3.41%	3.69%
BTC ratio	1.65	1.84

Source:

4-week: https://www.mas.gov.sg/bonds-and-bills/auct...date=2023-07-21

12-week: https://www.mas.gov.sg/bonds-and-bills/auct...date=2023-07-21