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***EARLY ROLL UPDATE: September......>

US TSY FUTURES
US TSY FUTURES: ***EARLY ROLL UPDATE: 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. Latest est. roll completion:
- Est. roll completion estimate as % of OI / Yest. Complete % / Perc. chg today
* TUM/TUU-2 Yr. . .33.5% / 32.6%/ 0.9p.p.
* FVM/FVU-5 Yr. . .23.4% / 22.5%/ 0.8p.p.
* TYM/TYU-10 Yr. . .12.2% / 11.4%/ 0.8p.p.
* USM/USU-30 Yr. . .18.6% / 17.3%/ 1.3p.p.
* WNM/WNU-Ultra. . .17.2% / 16.6%/ 0.5p.p.

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