Answer: You'll need to figure out just what is eating the leaves before you can control them. Sounds like caterpillars to me. Check the undersides of the leaves at several different times of the day until you find the culprits. Once you do, you can either hand pick them or use a control product that's safe for roses and specifically designed to control that particular pest. Sevin won't bother caterpillars but it will take care of other insects - including bees, so use it with caution. Bt, sold as Dipel or Thuricide will control caterpillars but not other insects. That's why it is important to identify the pest before you use an insecticide on your roses.
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