*** Midday roll update -- heavy......>

US TSY FUTURES: *** Midday roll update -- heavy volume. June takes lead from

March later in month (first notice February 28). Volumes still running light,

but expect a sharp increase this week. 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 315,800 from -3.88 to -3.50, -3.62 last; 28.2% complete

* FVH/FVM appr 806,100 from -4.75 to -4.00, -4.25 last; 23.3% complete

* TYH/TYM appr 838,500 from -10.50 to -9.75, -10.50 last; 21.8% complete

* USH/USM appr 63,300 from 19.75-20.25, 20.00 last; 10.3% complete

* WNH/WNM appr 148,100 from -1-7.75 to -1-6.25, -1-6.5 last; 21.7% complete