In recent years the 1-month treasury bill has been quite sensitive to policy risks. While in the past the bill mostly responded to changes in the Fed’s overnight target rate, in the current zero rate environment other events cause bill pricing to fluctuate. Changes in the 1m yield have not always corresponded to moves in longer term rates. For example, “taper” fears caused a spike in the 10-year rates while pushing the 1m bill down into the 0-2bp range.
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