File Upload Activity Does Not Create Folder

Hello, 

I'm exporting a .csv file using a Query, a Data Extraction activity and a File Transfer activity. But the File Transfer fails because the specified folder does not exist on the server.

I'm using an SFTP server and  I expect Adobe Campaign to create a new folder every month, so I set the server folder as follows:

Main Folder/<%= formatDate(new Date(), "%4Y") %>/<%= formatDate(new Date(), "%2M") %>/

So I should get:

Main Folder/2020/02/file.csv

Adobe is able to create the folders in AWS S3 buckets, not sure why it cannot create folders in SFTP or if I need to do something to make this happen.

Thanks!