QRA Magic

By: Macro Strategy Team

February 2, 2024

By: Macro Strategy Team

Macro Strategy Team

Let’s be honest and admit that only those deep in the weeds of the Treasury market really cared about the Quarterly Refunding Announcement (QRA). But like so many other things in the past few years, markets getting vexed ahead of the announcement these days.

The QRA announcement dates are overlayed against the US Treasury 10-year yield. It turns out that size/mix of Treasury issuance is quite important with the graph showing multiple inflection points where the trend in Treasuries reverses. On cue, the 42bp surge in Treasury yields ended in line with the QRA announcement.

Author Bios

Macro Strategy Team

The Macro Strategy team provides cross-asset research and market intelligence across developed and emerging economies. Their expertise in FX, equities, and fixed income is complemented by proprietary indicators on investor behavior, inflation, and sentiment—turning complex data into actionable insights that help clients anticipate risks and capture opportunities.

1. Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010. Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012, 2021, 2023. Harry M. Markowitz Award for Best Paper in the Journal of Investment Management in 2022, 2023. Doriot Award for Best Private Equity Research Paper in 2022.