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The ETL (Extract, Transform, Load) layer provided with the Atoti FRTB uses the default file format. It performs the following transformations when data is loaded from the input files into the datastore.

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How is the risk factor name generated?

If the risk-factor name is not included in the input file (using the default file format), a name is generated as Tranche Name + Maturity.

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Normalization

In the default file format, each row of the DRC sensitivities’ files contains the JTD as well as a description of the risk factor and tranche. The data normalization splits this information across three stores in the datastore, as described in the data model.