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 equilibriumtFT2=tFT1(1 +T1rT2) +T1CT2holds.

Given the above information, which of these commodities couldpossiblehave a convenience value?

Only A

A, B and C

Only B

None of them

Only C

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