We document positive and significant returns on long-term U.S. Treasury bonds on

the day before the FOMC announcements and attribute this pre-FOMC drift to the premium for heightened uncertainty. Unlike the pre-FOMC drift in U.S. equity, which is realized mostly on the day of the FOMC announcement, the pre-FOMC drift in long-term bond occurs earlier. On the day before the FOMC announcement, the 10-year bond yield drops by a significant 0.68 bps and contributes importantly to the secular decline in interest rates documented by Hillenbrand (2021). Unique to the day before the FOMC is a severe disconnect between the long- and short-term yields – an indication that the pre-FOMC pricing of long-term bonds is dominated by the risk-premium channel, not the monetary-policy decision on the target rate. We further capture the pre-FOMC heightened uncertainty using the ex-ante Macro Attention Index (MAI) of Fisher et al. (2022). Conditioning on above-median MAI on unemployment rates, the pre-FOMC reduction in 10-year yield increase significantly to 1.50 bps and is predictive of the subsequent pre-FOMC drift in equity. We further find a strong and positive relation between the pre-FOMC reduction in 10-year yield and the ratio of dissent among the FOMC committee.