In a significant advance, the index not only includes such traditional US contracts as wheat and corn, but also lists both US and European versions of sugar and coffee in acknowledgement of the genuine segmentation of the physical market for these staples.

Additionally, the US soy contracts (which have no restrictions upon genetically-modified strains) have been supplemented – for the first time – with the Tokyo non-GM soy contract, the better to reflect global consumer preferences in this important area.

BNP Paribas has leveraged its expertise in derivatives to minimise by a quantitative approach the adverse effect of contango on the index but also to catch the backwardation when the market is in backwardation. Six of the most liquid contracts of the DCI®, representing 42,25%, benefit from a dynamic roll algorithm which determines the best maturity futures to roll forward in order to optimise the roll return. This approach is dynamic, by a monthly adjustment, and independent, the maturities are different by commodities depending of their forward curve.