This paper examines the pricing mechanism and bidding behavior of T-bills in Bangladesh. We analyze the yield patterns of different maturity T-bills from auction 222-273 including the secondary T-bills market. In our analysis, we also focus on the pros and cons of local T-bills market. In addition, the concept of Repo and Reverse Repo has been introduced. The primary T-bills market in Bangladesh is still thin in the sense that the supply side is influenced by the budgetary financial requirements of the government, while the demand side comprises mainly the Deposit Money banks (DMBs) having SLR obligations. Finally, some suggestions have been provided for strengthening and streamlining the T-bills market in Bangladesh.