I work in the (junk) bond markets. There's a clear distinction between Yield-to-Call paper (which is priced so that different bonds are priced based on the yields they offer) and paper that trades on a 'price basis' (i.e. recovery rates in default are a very major consideration).

For the 'price based' bonds, the APR (or IRR) is a nonsense measure : because it is only considering the best outcome (payback at maturity). Most people don't understand that the high IRRs exist partly because people are bundling the price-effect of the downside case into the single 'yield' number of the best case.

I don't want to defend payday loans really - just point out that Treasury Bonds and (say) Lehman bonds are two very different animals.