Atoti FRTB supports several sign-off export types, each covering a different level of data extracted from the store or the cube. The following table describes the available export types.
Standalone stores are not exported by any of the export tasks.
To ensure the later re-import of data, the cube-level export distinguishes
between data that can be re-aggregated and data that cannot. Data that can
be re-aggregated includes PnL data at book level for historical trend
analysis of ES (linear aggregation), whereas data that cannot be
re-aggregated includes ES data at book level (since ES is a non-linear
measure):
-
Cube exports are not meant to be reloaded in for
re-aggregation.
-
Aggregated exports are exports of linear measures that are meant to
be reloaded in for re-aggregation.