Question: A, B and C are three commodities traded on a futures exchange.On April 1, the settlement prices of their June and December futures contracts are

A, B and C are three commodities traded on a futures exchange.On April 1, the settlement prices of their June and December futures contracts are given as:

ABC

JUNE100200500

DECEMBER106212526

Assume that in equilibrium_tF_T2=_tF_T1(1 +_T1r_T2) +_T1C_T2holds.

If the 6-month June - December T-Bill rate is 5%, (i.e. 10%/2) and the 6-month storage fees for A, B and C are $1, $2 & $3 respectively, the convenience values for A, B and C respectively are:

0, 0, 2

0, 0, 0

2, 2, 2

2, 0, 2

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