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.


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

Commodity Emission Unit Data Source
WTI CME 430.0000 MT/Contract
Brent ICE 430.0000 MT/Contract
RBOB CME 373.2540 MT/Contract
Heating Oil CME 427.5600 MT/Contract
Gas Oil ICE 318.5300 MT/Contract
Natural Gas CME 529.1000 MT/Contract
TTF ICE 0.1805 MT/MWh
API2 Coal 29,040.0000 MT/Contract
German Power ICE 0.2810 MT/MWh
Nordic Power NASDAQ 0.2810 MT/MWh
French Power ICE 0.2810 MT/MWh
UK Power ICE 0.2810 MT/MWh
Australia Power ASX 0.4330 MT/MWh
Singapore Power SGX 0.4330 MT/MWh
Gold CME 100.0000 MT/Contract
Platinum CME 62.5000 MT/Contract
Palladium CME 125.0000 MT/Contract
Aluminium LME 275.0000 MT/Contract
Lead LME 41.0000 MT/Contract
Nickel LME 69.1800 MT/Contract
Zinc LME 96.5000 MT/Contract
Copper CME 34.0000 MT/Contract
Copper LME 75.0000 MT/Contract
Steel Rebar SHFE 15.0000 MT/Contract
Corn CME 20.8290 MT/Contract's,studies%20from%20Argonne%20National%20Laboratory.
Bean CME 17.0060 MT/Contract
Meal CME 54.6000 MT/Contract
Bean Oil CME 115.6200 MT/Contract,oil%20getting%20more%20negative%20attention.
Palm Oil MDX 85.2500 MT/Contract,%2Fkg%20for%20non%2Dcertified.
Live Cattle CME 2,216.000 MT/Contract ;,
Feeder Cattle CME 396.9000 MT/Contract,e%20per%20kg%20carcass%20weight).
Lean Hogs CME 90.7200 MT/Contract
NY Cocoa ICE 60.0000 MT/Contract
London Cocoa ICE 60.0000 MT/Contract
Arabica Coffee ICE 25.8563 MT/Contract
Robusta Coffee ICE 15.2000 MT/Contract
Sugar ICE 12.1968 MT/Contract,each%20ton%20of%20sugar%20produced.
White Sugar ICE 12.0000 MT/Contract,each%20ton%20of%20sugar%20produced.