Pre-Refunding Announcement Gains in U.S. Treasurys

We document substantial and intensifying positive returns in medium- and long-term Trea?sury bonds on the day before the Treasury Refunding Announcements (TRAs), an importantquarterly fiscal event where future issuance plans are unveiled. Pre-TRA gains are distinct fromknown 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 marketuncertainty—particularly fiscal-related uncertainty—prior to TRAs is the key driver. Consis?tent with this, pre-TRA gains are stronger when immediately following an FOMC meeting, andwhen national debt approaches the debt ceiling.