Carbon Footprint Methodology

This document details the approach used to associate a carbon emission footprint with the AiLA commodity products, calculated as metric tons (MT) of CO2 emissions for a given amount of capital invested.

Definitions

Business Day for an asset refers to a day where all constituent Assets are trading and has a settlement Close Price.
Weight refers to the percentage of capital allocated to a particular Commodity Contract on a given day.

1) Number of Contracts per Commodity

  • Given the standardized futures contract size, the quantity of each Commodity (C) is calculated in terms of number of contracts for a given weight at close of Business Day (𝑡).
  • On each Business Day, the Commodity Weight (w c ) is calculated by summing the Weights (w) across different contracts (i)
  • The Commodity Weight ignore the sign of the weight, where typically a short position has a negative Weight
  • The corresponding Number of Contracts (N C) is calculated from the Allocated Capital (A), Commodity Weight (w c ) and Commodity Contract Price (p C)
  • The Commodity Contract Price (p C ) is based on the spot or front contract price at the close of day (t), together with the contract size and FX rate

2) Emission Per Contract

  • For each Commodity, CO2 equivalent conversion factors are used from public sources such the US Environmental Protection Agency (EPA) and European Environmental Agency (EEA). These conversion factors are normalized to derive an Emission Conversion Factor (E C ) in MT CO2 per base unit for each Commodity (C). (E.g. for WTI Crude, the units will be MT/barrel).
  • The results in Appendix 1 use recent fixed conversion factors from the relevant data sources. These values will be updated as these conversion factors change over time.
  • To determine the Emission Per Contract,

    Where L C is the Contract Size by Commodity (E.g. A contract of WTI Crude Futures contains 1,000 barrels, thus L WTI =1,000)

3) Carbon Footprint Exposure for AiLA Product

  • In order to determine the Carbon Footprint Exposure (CF(t))for an AiLA product for a given Business Day (t),

Appendix 1 – Carbon Footprint by Commodity

CommodityEmissionUnitData Source
WTI CME430.0000MT/Contracthttps://www.epa.gov/energy/greenhouse-gases-equivalencies-calculator-calculations-and-references
Brent ICE430.0000MT/Contracthttps://www.epa.gov/energy/greenhouse-gases-equivalencies-calculator-calculations-and-references
RBOB CME373.2540MT/Contracthttps://www.epa.gov/energy/greenhouse-gases-equivalencies-calculator-calculations-and-references
Heating Oil CME427.5600MT/Contracthttps://www.epa.gov/energy/greenhouse-gases-equivalencies-calculator-calculations-and-references
Gas Oil ICE318.5300MT/Contracthttps://www.epa.gov/energy/greenhouse-gases-equivalencies-calculator-calculations-and-references
Natural Gas CME529.1000MT/Contracthttps://www.epa.gov/energy/greenhouse-gases-equivalencies-calculator-calculations-and-references
NBP ICE0.0053MT/MMBTUhttps://www.epa.gov/energy/greenhouse-gases-equivalencies-calculator-calculations-and-references
TTF ICE0.1805MT/MWhhttps://www.epa.gov/energy/greenhouse-gases-equivalencies-calculator-calculations-and-references
API2 Coal29,040.0000MT/Contracthttps://360energy.net/how-does-using-energy-create-carbon-emissions/
German Power ICE0.2810MT/MWhhttps://www.eea.europa.eu/data-and-maps/indicators/overview-of-the-electricity-production-3/assessment
Nordic Power NASDAQ0.2810MT/MWhhttps://www.eea.europa.eu/data-and-maps/indicators/overview-of-the-electricity-production-3/assessment
French Power ICE0.2810MT/MWhhttps://www.eea.europa.eu/data-and-maps/indicators/overview-of-the-electricity-production-3/assessment
UK Power ICE0.2810MT/MWhhttps://www.eea.europa.eu/data-and-maps/indicators/overview-of-the-electricity-production-3/assessment
Australia Power ASX0.4330MT/MWhhttps://www.epa.gov/energy/greenhouse-gases-equivalencies-calculator-calculations-and-references
Singapore Power SGX0.4330MT/MWhhttps://www.epa.gov/energy/greenhouse-gases-equivalencies-calculator-calculations-and-references
Gold CME100.0000MT/Contracthttps://www.spglobal.com/marketintelligence/en/news-insights/blog/greenhouse-gas-and-gold-mines-nearly-1-ton-of-co2-emitted-per-ounce-of-gold-produced-in-2019
Platinum CME62.5000MT/Contracthttps://www.researchgate.net/publication/223232620_The_environmental_costs_of_platinum-PGM_mining_and_sustainability_Is_the_glass_half-full_or_half-empty
Palladium CME125.0000MT/Contracthttps://www.researchgate.net/publication/223232620_The_environmental_costs_of_platinum-PGM_mining_and_sustainability_Is_the_glass_half-full_or_half-empty
Aluminium LME275.0000MT/Contracthttps://css.umich.edu/sites/default/files/publication/CSS19-36.pdf
Lead LME41.0000MT/Contracthttps://www.winnipeg.ca/finance/findata/matmgt/documents/2012/682-2012/682-2012_Appendix_H-WSTP_South_End_Plant_Process_Selection_Report/Appendix%207.pdf
Nickel LME69.1800MT/Contracthttps://www.winnipeg.ca/finance/findata/matmgt/documents/2012/682-2012/682-2012_Appendix_H-WSTP_South_End_Plant_Process_Selection_Report/Appendix%207.pdf
Zinc LME96.5000MT/Contracthttps://www.winnipeg.ca/finance/findata/matmgt/documents/2012/682-2012/682-2012_Appendix_H-WSTP_South_End_Plant_Process_Selection_Report/Appendix%207.pdf
Copper CME34.0000MT/Contracthttps://www.winnipeg.ca/finance/findata/matmgt/documents/2012/682-2012/682-2012_Appendix_H-WSTP_South_End_Plant_Process_Selection_Report/Appendix%207.pdf
Copper LME75.0000MT/Contracthttps://www.winnipeg.ca/finance/findata/matmgt/documents/2012/682-2012/682-2012_Appendix_H-WSTP_South_End_Plant_Process_Selection_Report/Appendix%207.pdf
Steel Rebar SHFE15.0000MT/Contracthttps://www.researchgate.net/publication/305827970_Comparison_of_carbon_dioxide_emissions_intensity_of_steel_production_in_China_Germany_Mexico_and_the_United_States
Corn CME20.8290MT/Contracthttps://www.scientificamerican.com/article/how-growing-corn-could-produce-less-pollution/#:~:text=These%20farmers%2C%20according%20to%20Sheehan's,studies%20from%20Argonne%20National%20Laboratory.
Bean CME17.0060MT/Contracthttps://ussoy.org/soy-sustainability-reducing-greenhouse-gas-emissions/
Meal CME54.6000MT/Contracthttps://edepot.wur.nl/324258
Bean Oil CME115.6200MT/Contracthttps://www.sciencedaily.com/releases/2022/03/220321115838.htm#:~:text=Crop%20specific%20median%20emissions%20ranged,oil%20getting%20more%20negative%20attention.
Palm Oil MDX85.2500MT/Contracthttps://www.sciencedirect.com/science/article/abs/pii/S0959652620340907#:~:text=The%20consequential%20results%20show%20that,%2Fkg%20for%20non%2Dcertified.
Live Cattle CME2,216.000MT/Contracthttps://beef.unl.edu/beefwatch/2020/how-many-pounds-meat-can-we-expect-beef-animal ; https://www.fao.org/news/story/en/item/197623/icode/#:~:text=Emission%20intensities%20(i.e.%20emissions%20per,%2Deq.kg%20respectively).
Feeder Cattle CME396.9000MT/Contracthttps://www.ncbi.nlm.nih.gov/pmc/articles/PMC4494322/#:~:text=yearling%2Dfed%20production%20systems%20with,e%20per%20kg%20carcass%20weight).
Lean Hogs CME90.7200MT/Contracthttps://porkcdn.s3.amazonaws.com/sites/all/files/documents/NPB%20Scan%20Final%20-%20May%202011.pdf
NY Cocoa ICE60.0000MT/Contracthttps://www.scielo.br/j/eagri/a/FzJM7R98j6Z9gT3Swxdwysp/?lang=en
London Cocoa ICE60.0000MT/Contracthttps://www.scielo.br/j/eagri/a/FzJM7R98j6Z9gT3Swxdwysp/?lang=en
Arabica Coffee ICE25.8563MT/Contracthttps://www.idhsustainabletrade.com/uploaded/2019/03/The-carbon-footprint-of-Vietnam-robusta-coffee_2019.pdf
Robusta Coffee ICE15.2000MT/Contracthttps://www.idhsustainabletrade.com/uploaded/2019/03/The-carbon-footprint-of-Vietnam-robusta-coffee_2019.pdf
Sugar ICE12.1968MT/Contracthttps://cbmjournal.biomedcentral.com/articles/10.1186/1750-0680-5-3#:~:text=According%20to%20this%20study%20each,each%20ton%20of%20sugar%20produced.
White Sugar ICE12.0000MT/Contracthttps://cbmjournal.biomedcentral.com/articles/10.1186/1750-0680-5-3#:~:text=According%20to%20this%20study%20each,each%20ton%20of%20sugar%20produced.
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