*** Midday roll update. September....>

US TSY FUTURES: *** Midday roll update. September takes 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. Latest volume:

* TUM/TUU appr 259,500 from -7.62 to -7.0, -7.5 last, appr 29% complete;

* FVM/FVU appr 287,600 from -5.5 to -4.5, -5.25 last, appr 17% complete;

* TYM/TYU appr 103,800 from -9.25 to -8.5, -9.25 last, appr 10% complete;

* USM/USU appr 29,100 from 20.0 to 20.25, 20.00 last, appr 10% complete;

* WNM/WNU appr 24,700 from -22.25 to -21.25, -22.0 last, appr 15% complete;