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***EARLY ROLL UPDATE: Heavy..........>

US TSY FUTURES
US TSY FUTURES: ***EARLY ROLL UPDATE: Heavy rolling volumes Thursday (about 15pp
of FV and TY rolls completed yesterday by our estimate) have brought us through
about 1/3 of the Jun-Sep roll overall.
- Reminder that September takes lead from June at end of this month (first
notice May 31). June future's staggered expiration on June 19 for 10s, 30s and
Ultras, and June 28 for 2s and 5s.
- Est. roll completion estimate as % of open interest / Yest. Completion % /
Perc. chg today
- TUM/TUU-2 Yr. . .44.8% / 44.0%/ 0.8p.p.
- FVM/FVU-5 Yr. . .39.1% / 37.8%/ 1.3p.p.
- TYM/TYU-10 Yr. . .28.1% / 25.5%/ 2.6p.p.
- USM/USU-30 Yr. . .30.0% / 28.9%/ 1.1p.p.
- WNM/WNU-Ultra. . .32.6% / 31.8%/ 0.9p.p.

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