*** Late roll volume update..........>

US TSY FUTURES: *** Late roll volume update. December future's staggered

expiration on December 19 for 10s, 30s and Ultras, and December 31 for 2s and

5s. Latest volume and % complete as of prior session close:

* TUZ/TUH appr 50.5k, 0.5 last; 10.0% complete

* FVZ/FVH appr 123.0k, 1.75 last; 9.0% complete

* TYZ/TYH appr 71.8k, 5.25 last; 5.0% complete

* USZ/USH appr 26.6k, 19.7 last; 2.0% complete

* WNZ/WNH appr 41.4, 25.25 last; 5% complete

* Some roll research from RBC: they say there is "likely to be a wave of 1.375%

coupon early delivery in TUZ8, followed by another wave of late delivery of the

2.75% coupon. In March, we might see some early delivery in TUH9 (depending on

where the WIs come), as well as some March 21st early delivery in FVH9." 

* In the long end RBC posits March ultra-bond "looks a bit rich to December, but

the enormous asset manager long is likely to dominate the price action," while

in 30Y a "very large asset manager long is likely to dominate this roll also."