yes it is a function of the carry of bonds. After that it's a matter of cash and carry arbitrage principles. So because holding the bond, financing it and selling it forward shouldn't really result in an arbitrage then the carry of the bond is pretty much equivalent to:1. financing cost in an upward sloping yield curve implies that financing say a 2yr bond that yields 2% annually and costs you .25% to fund will result in a net profit to horizon. The opposite will be the case in a downward sloping yield curve.2. coupon interest3. m2m from the shortening of the bonds time to maturity. If the yield curve is upward sloping the bond will have a lower yield in time as it falls on a shorter part of the yield curve at horizon. In a downward sloping yield curve environment this will be a higher yield and will result in a m2m loss.if all these accruals result in a net loss then generally speaking the price of the future, or carry to expiration will be negative.