v09816_m, v09818_m, v09820_m, v09822_m, v09824_m - Hedging sets

Reporting instructions not clear on how to correctly interpret requirements for calculating and reporting CMV for positions with "Exclusive mapping" to one risk category. In template C 34.03, the columns current market value (CMV), positive (c0050) and Current market value (CMV), negative (c0060) are to be presented on hedging set level and shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted. In order to comply with requirements, the CMVs are to be presented on hedging set level. While this is possible for calculating each risk category (e.g. Equity risk (r0230, c0050, c0060), there is a potential issue with reporting part of the hedging sets which are mapped exclusively to one risk category (e.g. for interest rate risk: r0060, c0050, c0060). The hedging sets can contain positions which are mapped exclusively to one risk category and positions which are mapped to more than one risk category. How to approach a possible situation where in an extreme case e.g. CMV on the hedging set can be positive, but the sum of all transaction-level MV  which are exclusively mapped to interest rate are negative, therefore the positive CMV would actually be negative? Is it possible to split the hedging sets into sub hedging sets like it should be already done for multi and single name according to EBA Q&A 2022_6363? There would be sub sets with positions which are exclusively mapped to only one risk category and positions which are mapped to more than one risk category. The CMV would then be determined on those hedging sub-sets? In this case, the netting of positive and negative market values will happen only within the hedging sub-sets.

Reporting instructions not clear on how to correctly interpret requirements for calculating and reporting CMV for positions with "Exclusive mapping" to one risk category.