Pre-Refunding Announcement Gains in U.S. Treasurys

Abstract

We document substantial and intensifying positive returns in medium- and long-term Treasury bonds on the day before the Treasury Refunding Announcements (TRAs), an important quarterly fiscal event where future issuance plans are unveiled. Pre-TRA gains are distinct from known calendar effects, account for a sizable portion of annual yield and term premium changes, and cannot be attributed to information leakage. We show that reduction in Treasury market uncertainty—particularly fiscal-related uncertainty—prior to TRAs is the key driver. Consistent with this, pre-TRA gains are stronger when immediately following an FOMC meeting, and when national debt approaches the debt ceiling.

Presentation

Quantpedia, Notre Dame, Quoniam Asset Management, OFR, SAFE Asset Pricing Workshop, CUHK-RAPS-RCFS Conference on Asset Pricing and Corporate Finance, MFA Annual Meeting, FIRS 2025, Wabash River Finance Conference

Award

Quantpedia Awards 2024 – 1st Place

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