What is the purpose of this field?
This field serves as a unique identifier that helps identify the asset(s), index (indices), or benchmark associated with a contract.
Where are the values sourced?
ANNA DSB Reference Rate enumeration list
This list is sourced from the Sub-Annex A to the 2005 ISDA Commodity Definitions
Note: ISDA is currently working on updating this list as it has become very outdated over the years. They have also documented the standard or created new reference rate values. This is important as it allows users to generate a human-readable value for reporting when the UPI only allows "OTHR" when the reference rate is missing from the UPI list.
ISDA has created a naming convention for Commodities Reference Rates:
Tips:
- Review index provider publications for naming (e.g., S&P Methodologies (example link))
- Review exchanges which trade the indexes, some publish the index name (example - see Reference Price)
Why are there two fields with almost identical names?
When a single index (fixed for float) commodity product is traded, the reference rate is populated.
When a Basis (float for float) product is traded both the reference rate and other reference rate fields are populated.
Where both Reference Rate and other Reference Rate are reported, they must be reported in alphabetical order. This is so that 2 products with just the inverse indexes are not created.
What is the importance of reporting these fields?
UPI Jurisdictions (ASIC, MAS, ESMA-EMIR, UK-EMIR, etc)
Where the regulations require the UPI to be reported, these elements are part of the UPI.
Non-UPI Jurisdictions (CFTC)
§ 45.7 Unique product identifiers.
Each swap shall be identified in all recordkeeping and all swap data reporting pursuant to this part by means of a unique product identifier and product classification system as specified in this section. Each swap sufficiently standardized to receive a unique product identifier shall be identified by a unique product identifier. Each swap not sufficiently standardized for this purpose shall be identified by its description using the product classification system.
(a) Requirements for the unique product identifier and product classification system. The unique product identifier and product classification system shall identify and describe the swap asset class and the sub-type within that asset class to which the swap belongs, and the underlying product for the swap, with sufficient distinctiveness and specificity to enable the Commission and other financial regulators to fulfill their regulatory responsibilities and to assist in real time reporting of swaps as provided in the Act and part 43 of this chapter. The level of distinctiveness and specificity which the unique product identifier will provide shall be determined separately for each swap asset class.
Swap data repositories are required by § 43.4(c)(4)(iii) to publicly disseminate any specific delivery point or pricing point associated with publicly reportable swap transactions in the “other commodity” asset class pursuant to Tables E1 and E2 in this appendix. If the underlying asset of a publicly reportable swap transaction described in § 43.4(c)(4)(iii) has a delivery or pricing point that is located in the United States, such information shall be publicly disseminated pursuant to the regions described in Table E1 in this appendix. If the underlying asset of a publicly reportable swap transaction described in § 43.4(c)(4)(iii) has a delivery or pricing point that is not located in the United States, such information shall be publicly disseminated pursuant to the countries or sub-regions, or if no country or sub-region, by the other commodity region, described in Table E2 in this appendix.
Important Info
When there is not a standard value in the UPI/Reference Rate list, the regulators are still expecting a reference rate to be reported. As such, they have added elements to the Critical Data Elements (CDE)
Data elements related to underlying asset
This set of data elements captures information related to underliers when the information cannot be derived from the UPI. These data elements apply to all asset classes and should support any underliers.
- Data elements 2.102 and 2.103 should be used when the UPI Service Provider does not receive the identifier and its source for a particular underlier. In these cases, values for both ‘Underlier ID’ and ‘Underlier ID source’ are submitted as ‘OTHER’ to the UPI service provider.
- Data elements 2.104 and 2.105 are necessary to determine the price of an underlier asset or index that cannot be derived from the given UPI. • Data element 2.106 is necessary to easily identify the derivative transactions based on crypto assets that cannot be identified from the given UPI.
As such, these fields can also be mapped to where a regulator has introduced these fields for reporting already.
Related articles:
How do I report Commodities swaps that should be masked on public dissemination?