RBC On YM Roll

RBC note that "a look at 3-Year rolls through prior periods of rising yields and steepening curves suggests there is a strong possibility that rolls shift even further to the right as we head toward expiry of the March contract. We came to this conclusion by looking at 9 different roll periods where there had been significant curve steepening and/or outright selloffs in the month leading into the roll. In 2 of these periods (Dec 2016 and Jun 2013) the roll went left in the two weeks ahead of expiry. In all other cases, the roll went right, by an average of 1.2bp (or 2bp excluding Dec 2016 and Jun 2013). This suggests that the 3-Year roll might move a bit further right – a mid of 6.5bp would fit the pattern. Given the roll is already 6.0-6.5bp, there's probably not much more to go though."