NAB On Matters Surrounding The Futures Rolls

NAB note that "there's no change to basket constituents across any of the four rolls, although this roll will have some interesting dynamics. The RBA's QE buying has contributed to physical bond baskets trading richer to futures than has been the case for quite some time. The problem is especially acute at the front end - half of the 3-Year basket subject to RBA yield curve control (and thus, especially for the Apr '24, quite special on repo). The March 3-Year basket has been trading rich for much of the time since it became the front contract and the June 3-Year basket is, at this point in the roll at least, significantly more expensive again. In the post-GFC era, outright expensive back baskets are unusual - even more so when more expensive than the front basket. In contrast the March 10-Year futures basket hasn't been anywhere near as consistently expensive as the 3-Year basket. The back 10-Year basket is currently a little more expensive than the front basket, but not by as much as the 3-Year, hinting that the larger RBA influence on the YCC bonds could be a contributing factor."