P2.T6. Credit Risk (25%)

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  1. Nicole Seaman
    Sticky

    Errors Found in Study Notes P2.T6. Credit Risk

    @RaDi7 Yes agreed on both, thank you! The source PD is mistaken (doesn't distribute the T) but ours then omits the N(.) :( Sorry, thank you! @Nicole Seaman RaDi7 is correct about both of these mistakes. This doesn't require Deeepa, I can correct myself (added to wrike)
    @RaDi7 Yes agreed on both, thank you! The source PD is mistaken (doesn't distribute the T) but ours then omits the N(.) :( Sorry, thank you! @Nicole Seaman RaDi7 is correct about both of these mistakes. This doesn't require Deeepa, I can correct myself (added to wrike)
    @RaDi7 Yes agreed on both, thank you! The source PD is mistaken (doesn't distribute the T) but ours then omits the N(.) :( Sorry, thank you! @Nicole Seaman RaDi7 is correct about both of these mistakes. This doesn't require Deeepa, I can correct myself (added to wrike)
    @RaDi7 Yes agreed on both, thank you! The source PD is mistaken (doesn't distribute the T) but ours then omits the N(.) :( Sorry, thank you! @Nicole Seaman RaDi7 is correct about both of these...
    Replies:
    19
    Views:
    1,272
  2. VinayB

    Benefits of Securitisation

    Thank you @David Harper CFA FRM ..This is crystal clear now! Thanks, Vinay
    Thank you @David Harper CFA FRM ..This is crystal clear now! Thanks, Vinay
    Thank you @David Harper CFA FRM ..This is crystal clear now! Thanks, Vinay
    Thank you @David Harper CFA FRM ..This is crystal clear now! Thanks, Vinay
    Replies:
    2
    Views:
    24
  3. uness_o7

    z-score calibration (adjustment)

    Hi @uness_o7 Apologies but I haven't examined carefully his Cost of Classification; it's not technically in the LO syllabus, right? We didn't include in our notes .... That looks interesting, I will take a closer look what I get a chance ... thanks,
    Hi @uness_o7 Apologies but I haven't examined carefully his Cost of Classification; it's not technically in the LO syllabus, right? We didn't include in our notes .... That looks interesting, I will take a closer look what I get a chance ... thanks,
    Hi @uness_o7 Apologies but I haven't examined carefully his Cost of Classification; it's not technically in the LO syllabus, right? We didn't include in our notes .... That looks interesting, I will take a closer look what I get a chance ... thanks,
    Hi @uness_o7 Apologies but I haven't examined carefully his Cost of Classification; it's not technically in the LO syllabus, right? We didn't include in our notes .... That looks interesting, I...
    Replies:
    1
    Views:
    24
  4. VinayB

    Impact of Default Correlations on EL

    Thank you @David Harper CFA FRM , appreciate the confirmation!
    Thank you @David Harper CFA FRM , appreciate the confirmation!
    Thank you @David Harper CFA FRM , appreciate the confirmation!
    Thank you @David Harper CFA FRM , appreciate the confirmation!
    Replies:
    7
    Views:
    174
  5. Gdb

    CVA, independent amount & margin period of risk

    Hi there, I am puzzled with the graph below; isn't the independent amount posted as collateral, either way, whatever happens? Does the margin period of risk then still have an impact?
    Hi there, I am puzzled with the graph below; isn't the independent amount posted as collateral, either way, whatever happens? Does the margin period of risk then still have an impact?
    Hi there, I am puzzled with the graph below; isn't the independent amount posted as collateral, either way, whatever happens? Does the margin period of risk then still have an impact?
    Hi there, I am puzzled with the graph below; isn't the independent amount posted as collateral, either way, whatever happens? Does the margin period of risk then still have an impact?
    upload_2017-11-4_18-20-56.png
    Replies:
    0
    Views:
    61
  6. RM1

    FRM Handbook Example 23.9: FRM Exam 2008 Q 3-31

    Hello @dbansal, We have not updated the focus review videos recently (they are on our update list for 2018), but this post is already tagged for revision so we will make sure that the new video is correct. Videos take a great deal of time, especially when there is so much material to cover with study notes, writing in-depth PQs, creating new instructional videos, preparing detailed XLS and...
    Hello @dbansal, We have not updated the focus review videos recently (they are on our update list for 2018), but this post is already tagged for revision so we will make sure that the new video is correct. Videos take a great deal of time, especially when there is so much material to cover with study notes, writing in-depth PQs, creating new instructional videos, preparing detailed XLS and...
    Hello @dbansal, We have not updated the focus review videos recently (they are on our update list for 2018), but this post is already tagged for revision so we will make sure that the new video is correct. Videos take a great deal of time, especially when there is so much material to cover with...
    Hello @dbansal, We have not updated the focus review videos recently (they are on our update list for 2018), but this post is already tagged for revision so we will make sure that the new video...
    Replies:
    8
    Views:
    2,414
  7. FrmL2_Aspirant

    Margin stepup

    Hi @saurabhpal49 I assume that Choudhry is referring to a coupon with an increasing step function. If the bond/tranche is based on an index, then the margin would be added to determine the floating coupon rate; e.g., maybe the floating rate for a senior tranche = LIBOR + 50 basis point margin = coupon rate, where 50 basis points is the margin. Note the text that I located below (from...
    Hi @saurabhpal49 I assume that Choudhry is referring to a coupon with an increasing step function. If the bond/tranche is based on an index, then the margin would be added to determine the floating coupon rate; e.g., maybe the floating rate for a senior tranche = LIBOR + 50 basis point margin = coupon rate, where 50 basis points is the margin. Note the text that I located below (from...
    Hi @saurabhpal49 I assume that Choudhry is referring to a coupon with an increasing step function. If the bond/tranche is based on an index, then the margin would be added to determine the floating coupon rate; e.g., maybe the floating rate for a senior tranche = LIBOR + 50 basis point margin =...
    Hi @saurabhpal49 I assume that Choudhry is referring to a coupon with an increasing step function. If the bond/tranche is based on an index, then the margin would be added to determine the...
    Replies:
    3
    Views:
    631
  8. Taunk

    P2.T6.309. Default correlation, Malz sections 8.1 and 8.2

    Yes David....that surely helped.....thanks so much...hopefully the question in exam shall provide the number of defaults :)
    Yes David....that surely helped.....thanks so much...hopefully the question in exam shall provide the number of defaults :)
    Yes David....that surely helped.....thanks so much...hopefully the question in exam shall provide the number of defaults :)
    Yes David....that surely helped.....thanks so much...hopefully the question in exam shall provide the number of defaults :)
    Replies:
    5
    Views:
    364
  9. kik92

    Malz Chapter 8:Portfolio Credit Risk

    Excellent David, it's just what I was asking you. Million thanks!
    Excellent David, it's just what I was asking you. Million thanks!
    Excellent David, it's just what I was asking you. Million thanks!
    Excellent David, it's just what I was asking you. Million thanks!
    Replies:
    8
    Views:
    253
  10. saurabhpal49

    First to default put ( crouhy)

    Hi @saurabhpal49 I'd explain with a simple illustration. Imagine the basket contains only two credits, each with (unconditional) default probability of, respectively say, 10.0% and 7.0%. Also, let's simplify and approximate spread by S = PD*LGD but assume LGD = 100%, so that spread approximated default probability. Now compare: If these credits are uncorrelated, what is the approximate...
    Hi @saurabhpal49 I'd explain with a simple illustration. Imagine the basket contains only two credits, each with (unconditional) default probability of, respectively say, 10.0% and 7.0%. Also, let's simplify and approximate spread by S = PD*LGD but assume LGD = 100%, so that spread approximated default probability. Now compare: If these credits are uncorrelated, what is the approximate...
    Hi @saurabhpal49 I'd explain with a simple illustration. Imagine the basket contains only two credits, each with (unconditional) default probability of, respectively say, 10.0% and 7.0%. Also, let's simplify and approximate spread by S = PD*LGD but assume LGD = 100%, so that spread approximated...
    Hi @saurabhpal49 I'd explain with a simple illustration. Imagine the basket contains only two credits, each with (unconditional) default probability of, respectively say, 10.0% and 7.0%. Also,...
    Replies:
    1
    Views:
    133
  11. saurabhpal49

    Settled vs actual recovery rates

    It's very clear as usual, thanks a lot David.
    It's very clear as usual, thanks a lot David.
    It's very clear as usual, thanks a lot David.
    It's very clear as usual, thanks a lot David.
    Replies:
    4
    Views:
    185
  12. saurabhpal49

    Netting vs closeout netting

    @saurabhpal49 But I do not think payment netting is triggered by counterparty default. The difference is between payment netting and close-out netting. The classic example of payment netting is an interest rate swap where, at each (eg) six-month settlement (aka, exchange), the fixed "coupon" payment is exchanged for the floating "coupon" payment, but they are netted (as in payment netting). If...
    @saurabhpal49 But I do not think payment netting is triggered by counterparty default. The difference is between payment netting and close-out netting. The classic example of payment netting is an interest rate swap where, at each (eg) six-month settlement (aka, exchange), the fixed "coupon" payment is exchanged for the floating "coupon" payment, but they are netted (as in payment netting). If...
    @saurabhpal49 But I do not think payment netting is triggered by counterparty default. The difference is between payment netting and close-out netting. The classic example of payment netting is an interest rate swap where, at each (eg) six-month settlement (aka, exchange), the fixed "coupon"...
    @saurabhpal49 But I do not think payment netting is triggered by counterparty default. The difference is between payment netting and close-out netting. The classic example of payment netting is an...
    Replies:
    4
    Views:
    145
  13. saurabhpal49

    Malz single factor model

    Hi @saurabhpal49 Malz single-factor model is intermediate/advanced, I just want to "warn" you so that you do not expect to immediately grok it, as it's proven to be challenging . I copied below the latest version of my rendering of his example Malz 8.4. To grok the specific sentence you cite, IMO, is difficult without understanding the broader model (if you already get it, great!). Below I...
    Hi @saurabhpal49 Malz single-factor model is intermediate/advanced, I just want to "warn" you so that you do not expect to immediately grok it, as it's proven to be challenging . I copied below the latest version of my rendering of his example Malz 8.4. To grok the specific sentence you cite, IMO, is difficult without understanding the broader model (if you already get it, great!). Below I...
    Hi @saurabhpal49 Malz single-factor model is intermediate/advanced, I just want to "warn" you so that you do not expect to immediately grok it, as it's proven to be challenging . I copied below the latest version of my rendering of his example Malz 8.4. To grok the specific sentence you cite,...
    Hi @saurabhpal49 Malz single-factor model is intermediate/advanced, I just want to "warn" you so that you do not expect to immediately grok it, as it's proven to be challenging . I copied below...
    Replies:
    1
    Views:
    115
  14. saurabhpal49

    Interest rates (Stultz)

    Thanks David for the clarification
    Thanks David for the clarification
    Thanks David for the clarification
    Thanks David for the clarification
    Replies:
    2
    Views:
    103
  15. ram.karthik

    LDA Coefficient Estimation

    Hello, I want to verify if the min arg function used to assign a new variable into a particular group. I tried with 2 groups (Male/Female) with 2 variables (height and weight). is this correct? Secondly, when we move from Euclidean distance to geometric distance, the authors request us to consider the covariance matrix (to control for variable dependence) by further multiplying the transposed...
    Hello, I want to verify if the min arg function used to assign a new variable into a particular group. I tried with 2 groups (Male/Female) with 2 variables (height and weight). is this correct? Secondly, when we move from Euclidean distance to geometric distance, the authors request us to consider the covariance matrix (to control for variable dependence) by further multiplying the transposed...
    Hello, I want to verify if the min arg function used to assign a new variable into a particular group. I tried with 2 groups (Male/Female) with 2 variables (height and weight). is this correct? Secondly, when we move from Euclidean distance to geometric distance, the authors request us to...
    Hello, I want to verify if the min arg function used to assign a new variable into a particular group. I tried with 2 groups (Male/Female) with 2 variables (height and weight). is this...
    Replies:
    0
    Views:
    45
  16. saurabhpal49

    Risk adjusted pricing (De Laurentis)

    @saurabhpal49 I forgot to share the attached presentation to GARP on RAROC by Dr. Yousef Padganeh (Head of Enterprise Risk Management, Commercial Bank International). I think he gives some useful illustrations and he has a slide on risk-based pricing. I hope that's helpful!
    @saurabhpal49 I forgot to share the attached presentation to GARP on RAROC by Dr. Yousef Padganeh (Head of Enterprise Risk Management, Commercial Bank International). I think he gives some useful illustrations and he has a slide on risk-based pricing. I hope that's helpful!
    @saurabhpal49 I forgot to share the attached presentation to GARP on RAROC by Dr. Yousef Padganeh (Head of Enterprise Risk Management, Commercial Bank International). I think he gives some useful illustrations and he has a slide on risk-based pricing. I hope that's helpful!
    @saurabhpal49 I forgot to share the attached presentation to GARP on RAROC by Dr. Yousef Padganeh (Head of Enterprise Risk Management, Commercial Bank International). I think he gives some useful...
    Replies:
    2
    Views:
    143
  17. lianne

    Does selling a call option also counterparty risk free?

    Thanks Eltanariel. Much appreciated.
    Thanks Eltanariel. Much appreciated.
    Thanks Eltanariel. Much appreciated.
    Thanks Eltanariel. Much appreciated.
    Replies:
    9
    Views:
    2,194
  18. brian.field

    Gregory - Chapter 15 - Wrong-way Risk

    thanks David, yes all i could understand is that he was referring to conditional EE while making the statement. But still the relationship he stated is still puzzling me. If you come to the terms of it sometime, please do let it come in the notes or in the forum! Thanks a lot!
    thanks David, yes all i could understand is that he was referring to conditional EE while making the statement. But still the relationship he stated is still puzzling me. If you come to the terms of it sometime, please do let it come in the notes or in the forum! Thanks a lot!
    thanks David, yes all i could understand is that he was referring to conditional EE while making the statement. But still the relationship he stated is still puzzling me. If you come to the terms of it sometime, please do let it come in the notes or in the forum! Thanks a lot!
    thanks David, yes all i could understand is that he was referring to conditional EE while making the statement. But still the relationship he stated is still puzzling me. If you come to the terms...
    Replies:
    6
    Views:
    959
  19. JonathanJoke

    Basel II-Current Exposure Method

    Hi everyone, I am having a mess in my mind that when using CEM method for counterparty credit risk calculation, the add-on factor for credit derivatives is not dependent on maturity. Its concern is "qualify". if the contract is qualify so the addon-factor is 5%, vice versus addon-factor is 10%. My question is why Credit derivative is independent on maturity. Anybody helps me solve this issue,...
    Hi everyone, I am having a mess in my mind that when using CEM method for counterparty credit risk calculation, the add-on factor for credit derivatives is not dependent on maturity. Its concern is "qualify". if the contract is qualify so the addon-factor is 5%, vice versus addon-factor is 10%. My question is why Credit derivative is independent on maturity. Anybody helps me solve this issue,...
    Hi everyone, I am having a mess in my mind that when using CEM method for counterparty credit risk calculation, the add-on factor for credit derivatives is not dependent on maturity. Its concern is "qualify". if the contract is qualify so the addon-factor is 5%, vice versus addon-factor is 10%....
    Hi everyone, I am having a mess in my mind that when using CEM method for counterparty credit risk calculation, the add-on factor for credit derivatives is not dependent on maturity. Its concern...
    Replies:
    0
    Views:
    134
  20. trigg989

    Calculated Stress Losses for Loan/Derivatives Portfolios

    Thank you so much David. I greatly appreciate the level of detail you provide in your answers.
    Thank you so much David. I greatly appreciate the level of detail you provide in your answers.
    Thank you so much David. I greatly appreciate the level of detail you provide in your answers.
    Thank you so much David. I greatly appreciate the level of detail you provide in your answers.
    Replies:
    2
    Views:
    207
  21. Linghan

    Learning spreadsheet P2.T6 Malz ch7

    Very helpful @David Harper CFA FRM , thank you!
    Very helpful @David Harper CFA FRM , thank you!
    Very helpful @David Harper CFA FRM , thank you!
    Very helpful @David Harper CFA FRM , thank you!
    Replies:
    5
    Views:
    272
  22. Hend Abuenein

    Understanding Credit-Linked Notes

    Hi David - how would you value a CLN on a MTM basis. Credit risk (CDS - spread) to the protection buyer and then to the reference portfolio?
    Hi David - how would you value a CLN on a MTM basis. Credit risk (CDS - spread) to the protection buyer and then to the reference portfolio?
    Hi David - how would you value a CLN on a MTM basis. Credit risk (CDS - spread) to the protection buyer and then to the reference portfolio?
    Hi David - how would you value a CLN on a MTM basis. Credit risk (CDS - spread) to the protection buyer and then to the reference portfolio?
    Replies:
    25
    Views:
    25,011
  23. Hermz29

    Securitization Process

    Above this undoubtedly great explanation by my friend I just wanna point towards the graphics @David Harper CFA FRM has compiled in the study materials about each respective entity in the securitisation process/chain. Best explanation I have seen so far!
    Above this undoubtedly great explanation by my friend I just wanna point towards the graphics @David Harper CFA FRM has compiled in the study materials about each respective entity in the securitisation process/chain. Best explanation I have seen so far!
    Above this undoubtedly great explanation by my friend I just wanna point towards the graphics @David Harper CFA FRM has compiled in the study materials about each respective entity in the securitisation process/chain. Best explanation I have seen so far!
    Above this undoubtedly great explanation by my friend I just wanna point towards the graphics @David Harper CFA FRM has compiled in the study materials about each respective entity in the...
    Replies:
    3
    Views:
    149
  24. ChadWOB

    KMV Distance to Default

    Was trying to implement KMV model for PD estimation. One doubt, after estimating the DD (distance to default) how to map the same to Expected default frequency. For example, “For a particular company we compute and get a DD of 3. To compute EDF, 2000 companies last year has a DD of 3, and 15 of these firms defaulted after one year. The expected default frequency for the company = 15/2000...
    Was trying to implement KMV model for PD estimation. One doubt, after estimating the DD (distance to default) how to map the same to Expected default frequency. For example, “For a particular company we compute and get a DD of 3. To compute EDF, 2000 companies last year has a DD of 3, and 15 of these firms defaulted after one year. The expected default frequency for the company = 15/2000...
    Was trying to implement KMV model for PD estimation. One doubt, after estimating the DD (distance to default) how to map the same to Expected default frequency. For example, “For a particular company we compute and get a DD of 3. To compute EDF, 2000 companies last year has a DD of 3, and 15...
    Was trying to implement KMV model for PD estimation. One doubt, after estimating the DD (distance to default) how to map the same to Expected default frequency. For example, “For a particular...
    upload_2017-6-30_14-51-39.png upload_2017-6-30_14-52-37.png upload_2017-6-30_14-56-7.png
    Replies:
    7
    Views:
    3,230
  25. kik92

    Describe a waterfall structure in securitzation

    Thank you David
    Thank you David
    Thank you David
    Thank you David
    Replies:
    2
    Views:
    215
  26. chopin

    P.2 Credit VaR

    @bpdulog Yes, I agree with that solution, I feel like it's almost the only calculation you can make with that information, including (i) assume it's a 95.0% CVaR and (ii) assume CVaR = UL. RE: official guidance from GARP? I don't know what you mean, exactly, sorry. Primarily I "upload feedback" (e.g., ask for consistency in definitions). Thanks,
    @bpdulog Yes, I agree with that solution, I feel like it's almost the only calculation you can make with that information, including (i) assume it's a 95.0% CVaR and (ii) assume CVaR = UL. RE: official guidance from GARP? I don't know what you mean, exactly, sorry. Primarily I "upload feedback" (e.g., ask for consistency in definitions). Thanks,
    @bpdulog Yes, I agree with that solution, I feel like it's almost the only calculation you can make with that information, including (i) assume it's a 95.0% CVaR and (ii) assume CVaR = UL. RE: official guidance from GARP? I don't know what you mean, exactly, sorry. Primarily I "upload feedback"...
    @bpdulog Yes, I agree with that solution, I feel like it's almost the only calculation you can make with that information, including (i) assume it's a 95.0% CVaR and (ii) assume CVaR = UL. RE:...
    Replies:
    7
    Views:
    188
  27. WhizzKidd

    Credit Questions

    Hi @David Harper CFA FRM, Do you have any insight on the below: WWR: If you are short a banks stock, and the bank value falls, so the value of your short trade goes up..Is this WWR? Say you long a call from an airline on oil, if oil goes up the value of the call goes up, and the airline which is now less able to pay due to high oil costs..is that WWR? Senior,Sub,Eq debt: If a company is in...
    Hi @David Harper CFA FRM, Do you have any insight on the below: WWR: If you are short a banks stock, and the bank value falls, so the value of your short trade goes up..Is this WWR? Say you long a call from an airline on oil, if oil goes up the value of the call goes up, and the airline which is now less able to pay due to high oil costs..is that WWR? Senior,Sub,Eq debt: If a company is in...
    Hi @David Harper CFA FRM, Do you have any insight on the below: WWR: If you are short a banks stock, and the bank value falls, so the value of your short trade goes up..Is this WWR? Say you long a call from an airline on oil, if oil goes up the value of the call goes up, and the airline which...
    Hi @David Harper CFA FRM, Do you have any insight on the below: WWR: If you are short a banks stock, and the bank value falls, so the value of your short trade goes up..Is this WWR? Say you long...
    Replies:
    0
    Views:
    98
  28. Swarnendu Pathak

    Credit Risk & Credit Derivatives

    In case it's helpful, I copied below a response from recent discussion here at which is a snippet of our recently updated Stulz notes. This concerns the OP question about subordinated debt in a firm: basically, it acts like debt if firm value is high and default probability is "typical" (so it's value is mostly a function of interest rates, as usual, and to a lessor extent firm volatility)....
    In case it's helpful, I copied below a response from recent discussion here at which is a snippet of our recently updated Stulz notes. This concerns the OP question about subordinated debt in a firm: basically, it acts like debt if firm value is high and default probability is "typical" (so it's value is mostly a function of interest rates, as usual, and to a lessor extent firm volatility)....
    In case it's helpful, I copied below a response from recent discussion here at which is a snippet of our recently updated Stulz notes. This concerns the OP question about subordinated debt in a firm: basically, it acts like debt if firm value is high and default probability is "typical" (so...
    In case it's helpful, I copied below a response from recent discussion here at which is a snippet of our recently updated Stulz notes. This concerns the OP question about subordinated debt in a...
    Replies:
    5
    Views:
    808
  29. Abhijit CMA

    Lowest Credit Risk

    Thanks David...
    Thanks David...
    Thanks David...
    Thanks David...
    Replies:
    2
    Views:
    149
  30. rajeshtr

    Hedge Risky Bond with T-Bond futures : is there operational risk?

    Thanks David. Yes it clarifies in detail (Single Factor Vs multiple buckets, Convexity, basis risk) and also needs dynamic hedging as the factors change.
    Thanks David. Yes it clarifies in detail (Single Factor Vs multiple buckets, Convexity, basis risk) and also needs dynamic hedging as the factors change.
    Thanks David. Yes it clarifies in detail (Single Factor Vs multiple buckets, Convexity, basis risk) and also needs dynamic hedging as the factors change.
    Thanks David. Yes it clarifies in detail (Single Factor Vs multiple buckets, Convexity, basis risk) and also needs dynamic hedging as the factors change.
    Replies:
    4
    Views:
    76
  31. Delo

    Trade Compression (Gregory)

    @FrmL2_Aspirant if we netted the coupons, I *think* we'd get the same result as the weighted average performed in @QuantMan2318 's calculations; i.e., -(40*200) + (25*15) + (10*325) = -8,000 + 3,750 + 3,250 = -1,000. But rather than pay a net $1,000 as the result of three cash flows, the new contract pays a net $1,000 on one contract. QuantMan probably knows more about this than me, but the...
    @FrmL2_Aspirant if we netted the coupons, I *think* we'd get the same result as the weighted average performed in @QuantMan2318 's calculations; i.e., -(40*200) + (25*15) + (10*325) = -8,000 + 3,750 + 3,250 = -1,000. But rather than pay a net $1,000 as the result of three cash flows, the new contract pays a net $1,000 on one contract. QuantMan probably knows more about this than me, but the...
    @FrmL2_Aspirant if we netted the coupons, I *think* we'd get the same result as the weighted average performed in @QuantMan2318 's calculations; i.e., -(40*200) + (25*15) + (10*325) = -8,000 + 3,750 + 3,250 = -1,000. But rather than pay a net $1,000 as the result of three cash flows, the new...
    @FrmL2_Aspirant if we netted the coupons, I *think* we'd get the same result as the weighted average performed in @QuantMan2318 's calculations; i.e., -(40*200) + (25*15) + (10*325) = -8,000 +...
    Replies:
    4
    Views:
    1,047

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