This paper documents the unusual price behavior of Treasury bills that mature at the turn of calendar months. There is a kink in the yield curve as it crosses calendar months, and this kink is most pronounced as the yield curve crosses between calendar years. Potential seasonality in the spot rate of interest could not explain these results, nor could they be explained by the ‘mispricing’ of either the last bill or first bill in a month. The exceptionally large premium on the first bill in a month tended to be earned throughout the lifetime of the bill.