Governments face a trade-off between insuring bondholders and taxpayers. If the government fully insures bondholders by manufacturing risk-free debt, then it cannot also insure taxpayers against permanent macro-economic shocks over long horizons. Instead, taxpayers will pay more in taxes in bad times. Conversely, if the government fully insures taxpayers against adverse macro shocks, then the debt becomes risky; at least as risky as un-levered equity claim. Governments can only escape this trade-off if they enjoy a large and counter-cyclical convenience yield on their debt.