Exhausted the “Euro” effect, countries are left with more traditional ways of reducing interest expenditures. One is that of exploiting the steepness of the yield curve by issuing more short-term debt. However, such a strategy may turn out disastrous for two reasons. First, the expectation hypothesis may prove false: indeed, short-term rates may increase more than what long-term rates initially portend. The failure of the expectations’ theory means that intertemporal decisions matters. Hence, shortening maturity exposes debt servicing to greater roll-over risk and eventually to financial instability that, harming credibility, may ingenerate self-fulfilling crises. Secondary, a massive increase in short-term instruments well above investors’ demand (supply shock) would trigger an immediate rise in short-term rates that would vanish the expected cost reduction. The unfeasibility of strategies that set cost as the only relevant parameter is at the heart of this work. The focus here is, indeed, to explain that it is risk rather than cost that plays a central role at determining the optimal issuance strategy. Moreover, we will focus on the possibility of setting debt management strategies that look at relaxing budget constraints at times when room for countercyclical fiscal policy is limited as it is nowadays.