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.
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