First up, in order to predict the future SSB interest rates, we need to understand how SSB interest rates are determined. According to the MAS site:
The SSB on offer in any given month are linked to the daily average SGS yields as published by MAS
https://www.mas.gov.sg/-/media/MAS/News-and-Publications/Press-Releases/Annex-1-FAQ.pdf
in the previous month.
So basically it is linked to the SGS yields in the previous month. You can get the SGS historical data from here.
e.g. If I were to predict the SSB rates for Sep, then I will need to get the daily yield data of the 10 year bond yield for July.
It is best to get the rates on the day of the closing date of the SSB bond, so that you get more daily data.
To calculate, take the sum of all the yield divide by the number of days (or rows in the table).
In this example (since I’m running this on the 25July2022, I only have data until the 22July2022):
Sum of all yield = 42.48
Number of days = 15
Estimated SSB rate for Sep 2022 will be 42.48/15 = 2.83%
Let’s check back in Aug, if this estimate is accurate.
[Update: 1st Aug 2022]: This is a pretty accurate calculation. The Sep 2022 (SBSEP22 GX22090Z) rate is at 2.8% if held to maturity.
