Secular declines in U.S. Treasury yields are concentrated in three-day windows around FOMC announcement dates. Cumulative yield changes during these short windows explain the secular decline in yields. This factor contains essential information on excess bond returns and outperforms well-known proxies for interest rate trends in prediction regressions. We estimate a dynamic term structure model to explain these empirical facts. The model suggests that the secular declines in Treasury yields over the past three decades were primarily due to reductions in expected interest rates, mostly during the FOMC announcement windows.