Each quarter, the U.S. Department of the Treasury unveils its refunding plan, outlining the size and maturity composition of Treasury issuances for the upcoming quarters. We document substantial positive returns on long-term Treasurys on the day before these Treasury Refunding Announcements (TRAs), a pattern persisting since the 1990s and intensifying over the last two decades amidst growing Federal deficits. These pre-TRA gains are distinct from known end-of-month pricing effects, account for a sizable portion of annual yield and term premium changes, and cannot be attributed to information leakage or other simultaneous macroeconomic releases. A trading strategy focused solely on these four days per year generates a Sharpe ratio exceeding four. Additionally, pre-TRA gains are more pronounced when they occur within a week following an FOMC announcement, and when the most recent FOMC decision involves no rate change. We show that uncertainty reduction around TRAs is a key mechanism, as pre-TRA returns are directly related to both Treasury market uncertainty and fiscal uncertainty.
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