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To create new folders and sub-folders, in case they do not exist in the Test Repository, you must select the option 'Create Folders' in the Setup page of the Test Case importer.
Make sure you have the Hierarchical Test Organization enabled and the logged in user belongs to a Project Role allowed to edit the Test Repository. You can check this settings under the Xray Global Settings.
Links
You can import a link to other issues for newly-created Tests by choosing the "Link ..." mapping.
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