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lelelele
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Joined: February 22nd, 2006, 10:20 am

convenience yield

July 6th, 2007, 10:12 pm

Where can I find the current convenience yield for brent crude and WTI
 
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twofish
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Joined: February 18th, 2005, 6:51 pm

convenience yield

July 7th, 2007, 1:41 am

You can probably calculate it from the spot and forward prices. However, I've been told by commodity traders that they don't use the convenience yields for anything useful.
 
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erstwhile
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Joined: March 3rd, 2003, 3:18 pm

convenience yield

July 8th, 2007, 8:01 pm

not sure if this helps but there is an interesting situation currently in the front few months in Brent and WTI (or at least it was true a few weeks ago).when a commodity curve goes up faster than interest rates (supercontango) it means that if you could buy it and store it for free you could lock in a (near) riskless arbitrage.you borrow money at LIBOR (secured on the oil purchase plus hedge) buy the oil at the spot price and store it, and then sell it forward via the futures market.so the cost of oil storage is the key. the fact that big hegde funds were getting into physical oil storage in 2006 should tell you something!
 
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lelelele
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Joined: February 22nd, 2006, 10:20 am

convenience yield

July 9th, 2007, 9:36 pm

Wow, that is really helpful
 
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Jezza
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Joined: September 24th, 2004, 3:49 am

convenience yield

July 21st, 2007, 11:27 am

The issue is that there there was no storage available in 2006, leading to the heavy contango we have seen until three weeks ago.