Via Calculated RiskFrom Bloomberg: Treasury Bills Trade at Negative Rates as Haven Demand Surges (hat tip Justin)
Treasuries rose, pushing rates on the three-month bill negative for the first time ... The Treasury sold $27 billion of three-month bills yesterday at a discount rate of 0.005 percent, the lowest since it starting auctioning the securities in 1929. The U.S. also sold $30 billion of four-week bills today at zero percent for the first time since it began selling the debt in 2001.
My guess is the banks are parking the TARP money in short term treasuries - and that has pushed the yield to zero. The flight to treasuries is across all durations: the Ten year is now yielding 2.67% and the thirty year treasury just over 3.0%.
When rich people can't stuff millions and billions under a mattress because even their mattresses aren't big enough, and are willing pay .005 percent for the government to do it for them something new is happening. And we need a new word to describe it. I think we should call it a "mattress constraint yield".