Answer by littleadv for How can the purchase cost of a treasury bill be more than its face value?

The discount is determined at the auction, no-one guarantees you the 5%. You may end up paying more than the face value if at the auction the discount becomes negative (i.e.: becomes a premium), which is also referred to as "negative interest". While highly unlikely, the warning tells you that if it does happen - you'll be on the hook for the money.