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*** Late roll update -- massive......>

US TSY FUTURES
US TSY FUTURES: *** Late roll update -- massive volumes. June taking lead from
March Thursday (first notice February 28). March future's staggered expiration
on March 20 for 10s, 30s and Ultras, and March 29 for 2s and 5s. %complete as of
Tuesday's close. Latest volume:
* TUH/TUM appr 1,051,000 from -4.12 to -3.62, -4.00 last; >45% complete
* FVH/FVM appr 1,408,600 from -4.75 to -4.25, -4.75 last; >30% complete
* TYH/TYM appr 1,803,000 from -11.00 to -10.25, -10.50 last; >38% complete
* USH/USM appr 354,000 from 19.75-20.50, 20.00 last; >31% complete
* WNH/WNM appr 346,300 from -1-7 to -1-5.75, -1-7 last; >45% complete

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