via WSJ Blog - Why U.S. Rates Are Suddenly Negative
"Rates on a bill maturing Oct. 2 yield -0.01%, meaning investors who are buying it get a bit less at maturity than they paid for it. The familiar flight-to-safety-amidst-a-world-in-turmoil is part of the story here. A bigger factor appears to be regulated financial institutions loading up on low-risk assets before quarter end, to make their portfolios look safer to their supervisors. As Sept. 30 approaches, that seems to be a big part what is happening. Lou Crandall, a money market analyst at Wrightson ICAP, said the downward pressure on rates could intensify in the days ahead.
“Everyone expects a really painful squeeze on Sept. 30,” he said."
WSJ Blog