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BofA Commodity Strategy Indices

Published in Alternative Indices

BofA’s wide-ranging portfolio of investor products includes innovative swap and note structures linked to commodity indices and individual commodities. They are a primary liquidity provider of major commodity indices and of optimized commodity strategies specifically designed for the needs of long-term institutional portfolios.

The MLCX is designed to provide a liquid, consistent, representative and cost-efficient benchmark for commodity market performance and for investment in commodities as an asset class. Merrill Lynch constructed the MLCX based on the liquidity of the constituent futures contracts (the “MCLX Contracts”) and the value of the global production of each underlying commodity. These criteria allow the Index to reflect the general significance of these commodities in the global economy, differentiating between “upstream” and “downstream” commodities (e.g., those that are derived from other commodities represented in the Index).

The MLCX contains six Market Sectors identified by Merrill Lynch, including Energy, Base Metals, Precious Metals, Grains & Oil Seeds, Livestock and Soft Commodities & Others (each, a “Market Sector”). Each Market Sector contains a minimum of two and a maximum of four MLCX Contracts, selected by liquidity. In the case of the Energy sector however, a maximum of five MLCX Contracts is permitted.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 30 commodities and 5 indices, including various MLCX Excess Return Strategy Indices.

Some of the data items available include:

  • Contract Production Value (CPV)
  • Daily Commodity Return
  • Dollar Weights
  • Excess Return Index
  • Interest Rate Return (IRR)
  • P/E Ratio
  • Price in USD
  • Roll Weight
  • Shares Outstanding
  • Total Return Index
  • Total Trading Volume


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