Trade Validation Errors

If a required field is not entered, or if entered data is incorrect, the field(s) will be flagged as an error during validation. Error cells are marked with a , the cell is surrounded with red, and an error message displays. Select Okay, update errors and validate the trade again.

Trade Validation Rules

There are minimal validation rules that apply to all products, and validation rules that are IRS specific. For a list of required and interdependent fields for each product, see Layout Reference.

General Validation Rules

Trades within a portfolio must have the same Firm IDs and the same Account IDs.
To merge portfolio trades, both portfolios must have the same Firm IDs and the same Account IDs.

Interest Rate Swap Trade Validation Rules

Start and Maturity Date Validations

Note: Default stub values are assigned as shown below if these fields are not assigned.

Values not supported in CME CORE are highlighted.
The time between the Start Date and Maturity Date of the trade must be a multiple of the Calculation Frequency:
Scenario 1

START_DT = 12/15/2011

MAT_DT = 12/15/2012

CALC_FREQ = QTR (3M)

In this scenario, 12 months is divisible by 3. No Stub will exist on this swap.

Scenario 2

START_DT = 12/15/2011

MAT_DT = 2/15/2013

CALC_FREQ = QTR (3M)

In this scenario, 14 months is not divisible by 3. So, a stub of “ShortInitial” is assigned to this swap.

If the time between the Start Date and Maturity Date of the trade is NOT a multiple of the Calculation Frequency, a default STUB_TYPE value of “ShortInitial” is assigned to the trade.

Zero Coupon Validations / Defaults

CME CORE supports only USD, EUR, BRL and GBP-denominated zero coupon swaps.

If a ZC Swap exists in the uploaded portfolio, the appropriate fields that define this product type must be included: LEG_PAY_FREQ, LEG_CALC_FREQ, LEG_ROLL_CONV.
If LEG_CALC_FREQ = 1T then:
LEG_PAY_FREQ is set to 1T
LEG_ROLL_CONV is set to NONE

Overnight Index Swap (OIS) Validations / Defaults

Overnight Index Swaps are defined as the following:
USD-Federal Funds-H.15-OIS-COMPOUND
EUR-EONIA-OIS-COMPOUND
GBP-WMBA-SONIA-COMPOUND
JPY-TONA-OIS-COMPOUND
For OIS swaps, the floating LEG_INDEX_TERM field must equal 1D on the upload file.
For the floating leg only, if LEG_CALC_FREQ = 1T then:
LEG_RESET_FREQ is set to 1T