JPM:

-Assuming the TGA rises to $850bn by the end of this quarter and remains at that level at year-end, we project $1,087bn and $572bn of net marketable borrowing in the current quarter and next quarter, respectively.

-Looking to the policy statement, we expect Treasury to announce no changes to nominal coupon auction sizes for the current quarter, given that it is well funded in the current fiscal year, and given the guidance that was provided at the last refunding.

Since the last round of nominal coupon increases was announced in February 2024, Treasury has maintained its guidance that it anticipates maintaining nominal coupon and FRN auction sizes “for at least the next several quarters,” based on projected financing needs. However, a large financing gap builds in FY26 and beyond – at the same time that deficits are expected to rise above $2tn over the coming years, Treasury’s borrowing capacity begins to decline as the mega-sized COVID era 5- and 7-year notes begin to mature, resulting in a funding gap of close to $5tn from FY26-29.

Given this prospective gap, we think it would be prudent for Treasury to begin increasing auction sizes in FY26, and we continue to forecast a multi-quarter series of increases beginning in February 2026. Three rounds of increases in nominal coupon auction sizes beginning in February 2026 would go a long way in closing the funding gap into FY27, while still leaving a sizeable gap from FY28 and beyond. If we are on track for increases in February, we would expect to see the forward guidance watered down in next week’s policy statement, perhaps with the phrase “at least” removed.

-We anticipate a small deviation in the T-bill share in the 22-23% range will be considered tolerable, but even still, Treasury can only rely on T-bills for so long. If Treasury leaned solely on T-bills in the coming years, the T-bill share would rise to almost 28% by YE28

Wells Fargo: At the previous refunding, we made the case that gross coupon auction sizes would remain unchanged until the February 2026 refunding, at which point we expected a cycle of coupon auction sizes to occur. Recent comments from Treasury Secretary Bessent have led us to rethink this view.

We now expect current coupon auction sizes to remain unchanged through year-end 2026. Given this, we think Treasury will leave unchanged its guidance that “Treasury anticipates maintaining nominal coupon and floating rate note auction sizes for at least the next several quarters.”

Bill supply will continue to ramp up in the near term. Treasury already has announced a meaningful increase in bill auction sizes, and we project that net T-bill issuance will be $475 billion in Q3, $142 billion in Q4 and $416 billion in Q1-2026. Over the medium term, we project that T-bills as a share of the Treasury market will climb to 22.5% by year-end 2027, up from 21.9% at the end of 2024.

Our new base case is that coupon auction size increases will come in February 2027. A combination of widening budget deficits and a rising maturity wall will put more and more of the issuance onus on T-bills in the absence of coupon auction size increases.

BofA (July 2): We change our base case from UST coupon growth starting in February ’26 to UST holding coupon auction sizes stable through FY ’27. The market has increasingly focused on Treasury WAM shortening as the path of least resistance for UST. Rather than WAM reduction being explicitly done through lower-tenor coupon issuance and smaller amounts of long-end supply, we believe UST will likely manage WAM lower through higher bill issuance. We think this administration may tolerate a larger bill share up to 25% (+1 stdev above historic average) and/ or wait for rates to move lower before growing coupon supply. We assume higher bills until further UST or TBAC guidance.

RBC (Blake) While we aren’t expecting Treasury to provide any formal guidance on a WAM shortening next week (or take any other actions that would directly serve that purpose), we are removing all increases in back-end auction sizes from our forecast horizon (out to FYE 2027). We now have the first nominal coupon auction increases coming in H2 2026, and entirely focused in 2s, 3s, 5s, and FRNs.

The main levers Treasury has to affect a more meaningful decline in long-term yields are (from most to least impactful):

1) Using the buyback infrastructure to essentially begin a Treasury-run version of “QE” or “Twist”. However, Treasury has been extremely adamant that the current iterations of buybacks are only for liquidity support and cash management – NOT to meaningfully alter the maturity structure of outstanding debt.

2)Cutting long-end auction sizes.

3) Ending the 20-year benchmark. We see virtually no chance of this, and we only mention it because we have received many questions on it in the last few weeks.

4) Some type of more formal acknowledgement that they will be shortening WAM

Barclays: We expect the Treasury to reiterate its guidance that it “anticipates maintaining nominal coupon and FRN auction sizes for at least the next several quarters.” We expect unchanged auction sizes of notes/bonds into 2027. In the near term, we believe the Treasury is likely to scale up its buyback program at the upcoming refunding meeting, a quarter earlier than prior expectations, led by the long end, given the latest primary dealer questionnaire on buybacks that followed Treasury’s favorable comments about the program at the April refunding meeting.

Jefferies: In our view, there are two key issues that are important to keep an eye on in this Refunding announcement. Specifically, we are looking for a repeat of guidance that coupon auction sizes will remain steady “for the next several quarters”, and we are also looking to see if there are going to be tweaks to the buyback program and increases to the maximum sizes of the operations.

SocGen: Given the recent comments from the administration, we do not foresee increases to nominal coupon issuance coming soon. The Treasury will likely maintain their guidance for unchanged issuance “for at least the next several quarters.” We now expect issuance to remain unchanged at least through April 2026. Gradual increases may begin in May 2026, though even later is possible. We view any reduction in coupon auction sizes as highly unlikely given the long-term

outlook for deficits.

-Treasury may announce an increase in the maximum size of liquidity support buybacks this quarter. The liquidity support buybacks in the 1m-2y, 10y-20y, and 20y-30y buckets have all seen very high demand. Every operation in these buckets has purchased the maximum amount, and total offered amounts from dealers have averaged well above the maximum. We believe increasing the maximum size of buybacks is reasonable. The 10y-20y and 20y-30y buckets could both be increased to $4bn from the current $2bn per quarter. With quarterly gross issuance in the 20y and 30y at $111bn, the buybacks would still be a relatively small amount of supply removed from the market.

Wrightson on buybacks: In the current quarterly dealer discussion agenda that was released on Friday, the Treasury solicited dealer feedback on a range of technical parameters, including “changes to maximum purchase amounts, buyback operation scheduling and frequency, security eligibility, maturity bucket composition, execution process, and counterparty eligibility”. In light of the generally positive results thus far, we don’t expect any major changes this quarter, but some near-term tweaks and prospective medium-term adjustments are possible.