Various explanations abound. John Jansen writes:
These are interesting times.
What is going on in the front end? Central banks have flooded the system with money and the system is awash in a surfeit of liquidity. That money is searching for a home.
I also think that very large chunks of money which left the stock market and money funds when Lehman crumbled is in government-only funds and that creates a tremendous demand for bills.
December is always a month with bill demand as the process of sanitizing balance sheets for year end examination is always a concern. With the trials and tribulations in the financial markets this year that demand will be orders of magnitude larger than normal.
A guy in the NY Times article linked above says:
''There's a price for safety,'' said Peter Crane, president of money market mutual fund information company Crane Data LLC. ''Down slightly is the new up.''