Late session roll update, 5Y.........>

US TSY FUTURES: Late session roll update, 5Y continues to lead volume but

volumes gradually increasing across the curve ahead first notice on May 29. Jun

futures expire in mid-late June (10s, 30s and Ultras on 6/19; 2s & 5s 6/30).

Percentage completion remains low.

* TUM/TUU appr 5,900 from -4.75 to -4.50, -4.62 last; <5% complete

* FVM/FVU appr 25,100 from 4.0 to 4.5, 4.25 last; <8% complete

* TYM/TYU appr 23,800 from 7.0 to 7.5, 7.50 last; <5% complete 

* UXYM/UXYU 6,500 from -12.5 to -11.0, -12.0 last; <2% complete

* USM/USU 3,100 from 1-17 to 1-18.5, 1-17.50 last; <2% complete

* WNM/WNU 12,000 from 1-17.5 to 1-18, 1-18 last; <8% complete