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*** Sep/Dec rolls picked up..........>

US TSY FUTURES
US TSY FUTURES: *** Sep/Dec rolls picked up sharply this morning, inflating
otherwise moderate summer volumes (TYU>1M, FVU>600k). First notice date (Dec
futures take lead) on August 30. Sep future's staggered expiration on September
19 for 10s, 30s and Ultras, and September 30 for 2s and 5s. Update:
* TUU/TUZ appr 156,900 from -8.38 to -7.75, -8.25 last; 20% complete
* FVU/FVZ appr 168,400 from -14.0 to -13.25, -13.75 last; 17% complete
* TYU/TYZ appr 127,700 from -20.75 to -19.75, -20.25 last; 12% complete
* USU/USZ appr 24,000 from 24.75 to 25.25, 24.75 last; 14% complete
* WNU/WNZ appr 28,400 from -1-0.25 to -30.25, -31.5 last; 17% complete

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