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*** Latest September/December........>

US TSY FUTURES
US TSY FUTURES: *** Latest September/December Treasury roll volume below;
estimate pace of the roll. First notice date of August 31. September future's
staggered expiration on September 20 for 10s, 30s and Ultras, then September 29
for 2s and 5s.
* TYU/TYZ appr 972.6k from 7.75 to 8.75, 8.25 last; est 77% complete
* FVU/FVZ appr 601.2k from 8.25 to 9.0, 8.5 last; est 78% complete
* TUU/TUZ appr 344.3k from 3.0 to 3.5, 3.25 last; est 79% complete
* USU/USZ appr 147.0k from 1-7.25 to 1-8.25, 1-7.75 last; est 75% complete
* WNU/WNZ appr 112.0k from 30.75 to 31.25, 30.75 last; est 80% complete

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