collateral return? roll yield return?

what do u choose? i am not sure about if i am right or wrong i choose positive and no influnence each.

roll return negative. Can’t remember the other one.

Spot +ive, Collateral no impact. And Roll Yield -ive.

i put positive for roll, assuming he wasnt holidng on to the future increasing convenience yield would cause steeper backwardation leading to higher roll return

spot - positive (supply is tighten) collateral - positive (RFR is higher) roll - negative (coz lease rate is higher) i think that is correct

collateral return has connection with interest rate or convenience yield?

monki Wrote: ------------------------------------------------------- > spot - positive (supply is tighten) > collateral - positive (RFR is higher) > roll - negative (coz lease rate is higher) > > i think that is correct agree

Not sue why RFR was changed when only electricity issue was in South Africa. I thought RFR was same.

why negative roll return? I think it should be positive…considering a higher convenience yield means a lower forward price, steeper backwardation and a higher return…

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i had higher roll yield as well - higher convenience made more backwardation, so positive roll yield. higher spot and higher collateral also.

Bacaladitos Wrote: ------------------------------------------------------- > monki Wrote: > -------------------------------------------------- > ----- > > spot - positive (supply is tighten) > > collateral - positive (RFR is higher) > > roll - negative (coz lease rate is higher) > > > > i think that is correct > > > agree mmm…but if Convenience yield increases bacwardation increases…this is positive for long future positions…page 52 V5, CFAI notes

Increase in convenience yield lowers the future price causing backwardation. This is a positive roll yield. Increase in collateral yields means broker will pay a higher rate on the margin collateral so this is positive too.

i thought if lease rate increase, that means downward sloping forward curve and thus indicates backwardation. This would translate into a positive roll. How is my thinking wrong?

^^I’m going to disagree, respectfully :slight_smile:

Bacaladitos Wrote: ------------------------------------------------------- > monki Wrote: > -------------------------------------------------- > ----- > > spot - positive (supply is tighten) > > collateral - positive (RFR is higher) > > roll - negative (coz lease rate is higher) > > > > i think that is correct > > > agree -ditto- NC

how about the spot return…would that increase? :slight_smile:

ilvino Wrote: ------------------------------------------------------- > i had higher roll yield as well - higher > convenience made more backwardation, so positive > roll yield. higher spot and higher collateral > also. This is correct. The further you get down the forward curve, the lower the forward rates will be due to positive convenience yield.

IMO it was poorly worded.tey didnt ask to consider all 3 conditions independently (i remember checking for it). i said roll yield positive,but with a discalimer that the increase in rfr (which caused higher collateral yield) is less than increase in convenience yield.

guy, just think if convenience yield is higher… then the fowrad will be lower because… F= S*e(R+s-c)T… so obviously it has negative effective on future price… to answer your confusion, backwardation is saying roll yield is positive or negative… it does not tell you “more negative” or “more positive”… you know what i mean?