Pricing errors in term-structure models are often strongly autocorrelated. In a preferred-habitat model, I show analytically that the aging of issued bonds can generate residuals with small variances and strong autocorrelation. Bonds issued at one date remain outstanding at slightly shorter maturities at the next. The same issuance therefore affects nearby points on the yield curve at successive dates, creating autocorrelation even when new issuance is independent. I call this the issuance cohort effect. In the calibrated model, removing the cohort effect reduces the autocorrelations of higher principal components of yields to nearly zero. Thus, bond pricing residuals can have low volatility and strong autocorrelation without an additional persistent economic factor. […]