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The current debt debate in Washington is creating some very unusual patterns in the government bond market. While 30-Day Treasury bills typically trade for a few basis points (one basis point equals a hundredth of a percent), the threat of default is significantly skewing short-term returns.

Call it Wall Street's take on Washington's disarray. Investors will accept an annualized return of 13 basis points for debt maturing tomorrow, but want five times that amount for T-bills due next week. This is the risk premium of default. However, looking out a few weeks, returns diminish to the "pre-default" rate, as investors presume Congress will ultimately approve a higher debt ceiling and the U.S. will make good on its debts.

Opportunity near term? Here's what Pimco's Bill Gross told us on-air last week (Bill runs the world's largest bond fund):

"Pimco's been buying, whereas Fidelity's been selling. We pick up pennies on the Street so to speak, and this particular penny is risk-free."

Gross's sentiments are echoed by macro strategist Peter Tchir of TF Market Advisors, who wrote in his morning note, "Not even Greece defaulted on its T-Bills." To my recollection, nor did Italy or Spain.

If you're still not convinced, we offer a chart of the 30-Day T-Bills Gross is buying. Sometimes a picture is worth a thousand words -- and a T-Bill is worth 70bps.

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