*** Late roll update, over 80%.......>

US TSY FUTURES: *** Late roll update, over 80% complete ahead September taking

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. Update:

* TUM/TUU appr 1,101,000 from -9.38 to -8.25, -8.25 last, appr 87% complete;

* FVM/FVU appr 1,351,000 from -7.0 to -5.00, -5.0 last, appr 84% complete;

* TYM/TYU appr 1,503,000 from -11.25 to -9.25, -10.25 last, appr 85% complete;

* USM/USU appr 248,000 from 19.50 to 20.25, 20.0 last, appr 84% complete;

* WNM/WNU appr 232,000 from -26.0 to -24.0, -24.25 last, appr 85% complete;