I have traded this scheme.

The distant caks are at discount. Market (whoever that is) expects higher rates in the future.

Thererfore, it has paid to buy the distant expectations and profit when G can hold rates at bottom. That is, the futures rally to baseline...every time.

You, expecting rising rates, buy into the hole and suffer the result of rising price as the thing holds together.

Is that it?

Thought so.

icd