liquidity

Okay, I think I got it now what they mean in the curriculum. The roll-return is not just the convenience yield but also includes the cost of RFR. That’s their definition, i.e. the change in futures vs. change in spot, therefore the exp(r-y) term in F=S*exp(r-y)(t). So with the RFR backed out of the futures return and put into the roll-yield, the first term is indeed the true spot return.
So, adding onto my earlier interpretation:
- Actual spot return + collateral return (RFR) + roll yield (conv. yield - RFR)
which is again
-Actual spot return + convenience yield.
This is consistent with reality. So the roll yield goes up with increasing convenience yield, but it is not the same as the convenience yield. If the convenience yield is zero, the roll yield is minus RFR.