US T-bill yields

On the 5th July 2011, the bid yield for a US T-bill with 23 days to maturity was 0.015% p.a and the ask yield was -0.015 % p.a..  Using the discount formula for calculating the price and assuming a face value of $10,000, we get bid price=$ 9990.50 and ask price =$ 10009.58.  Since the ask price is the price at which the market maker sells, and the bid price is the price at which the market maker buys, this makes sense since he sells at a higher price than he buys.

This also means that on 5th July 2011, investors were willing to pay $10,0009.58 to get back $10,000 after 23 days.

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