Abstract
The relative supplies of Treasury securities along the term structure matter for the dynamics of the yield curve. A no-arbitrage affine term structure model based solely on these supply measures captures the average shape of the Treasury yield curve well. The pricing errors decrease with the maturity of the bonds. A combination of yield and supply factors attains lower pricing errors for bonds with maturities beyond twenty years than does the canonical affine model with the observable level, slope and curvature of the yield curve. Treasury supply factors therefore contain relevant bond pricing information that is not subsumed by these three yield curve factors.