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CAS Risk and Capital Management Seminar Role of the asset manager and the Actuary

CAS Risk and Capital Management Seminar Role of the asset manager and the Actuary Stephen Philbrick July 28, 2003. Session Goal. Asset Management and the Actuary Overview of Asset Management Process Role of the actuary in this process. Overview Investment Strategy Investment Tactics.

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CAS Risk and Capital Management Seminar Role of the asset manager and the Actuary

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  1. CAS Risk and Capital Management Seminar Role of the asset manager and the Actuary Stephen Philbrick July 28, 2003

  2. Session Goal • Asset Management and the Actuary • Overview of Asset Management Process • Role of the actuary in this process • Overview • Investment Strategy • Investment Tactics

  3. Investment Management • Overview • Investment Strategy • Investment Tactics Strategy Tactics Horizon 3-5 years Horizon 0-12 months Revisions annual,semi-annual Revisions monthly, daily

  4. Discussion of ABC Company’s Investment Needs and Objectives • Overall Investment Strategy and Objectives • Relative importance of consistent income versus total return • Relative importance of ratings downgrade • Need for liquidity • Establish the appropriate risk/reward balance • Portfolio Structure • Allocate assets according to strategy • Refine investment policy and guidelines • Monitor and manage risk • Overview • Investment Strategy • Investment Tactics

  5. Investment Strategy • Overview • Investment Strategy • Investment Tactics Philosophy An effective investment strategy is based on the needs and risks of the client’s insurance business Process Utilize a full range of quantitative tools, including a DFA model, to analyze the client’s operations, understand the key strategic and tactical business issues, and identify the implications for the portfolio Goal A customized investment strategy that seeks to maximize enterprise value while maintaining a reasonable risk profile

  6. Strategic Issues • Overview • Investment Strategy • Investment Tactics • Key elements of the investment strategy Liquidity Fixed Income Duration Tax-exempt Capacity Equity Allocation

  7. Strategic Issues • Overview • Investment Strategy • Investment Tactics • Determined by: • Capital market considerations • External World • Underlying business • Insurance Industry • Risk tolerance • Individual company owners

  8. Evaluation of Economy & Capital Markets Asset Analysis Underwriting Analysis Financial Statement Projections Financial Analysis & Reports Introduction to Dynamic Financial Analysis • Overview • Investment Strategy • Investment Tactics • Total company analysis • One set of inputs • Comparable outputs • Multi-year horizon • Economic assumptions • Business plan • Stochastic financial statements • Trends • Volatility • Considerations • Long-run economic value • Statutory results • GAAP results

  9. Efficient Frontier Begin Optimization Alternative Strategies Current Strategy y x z Return Return Return Return Risk Risk Risk Risk Efficient Frontier Overview • Overview • Investment Strategy • Investment Tactics • Analyze current investment portfolio and underwriting operations • Identify alternative investment strategies • Evaluate risk and reward • Select strategies for further consideration

  10. Probability Distribution Overview Efficient Frontier Probability Distribution • Overview • Investment Strategy • Investment Tactics 90 - 95% 75 - 90% 50 - 75% + Return Return 25 - 50% 10 - 25% 5 - 10% + mean Risk • Efficient frontier shows expected risk and return for alternative strategies • Each strategy produces a range of outcomes

  11. Line of Business Assumptions • Overview • Investment Strategy • Investment Tactics • Assumptions based on Conning's analysis of ABC company's historical results

  12. ABC Efficient Frontier • Overview • Investment Strategy • Investment Tactics • Portfolio is close to efficient frontier • Portfolio is lower risk • No capacity for municipals (for period as a whole) • Add risk with longer duration bonds

  13. Duration and Cash Flow Analysis • Overview • Investment Strategy • Investment Tactics • Positive net operating cash flow in most scenarios • Opportunity to reduce cash holdings

  14. Loss Reserves and Cash Flows • Portfolio is slightly longer than underlying reserves • Run-off cash flows are concentrated in the next 10 years • Overview • Investment Strategy • Investment Tactics

  15. Insurance Leverage RBC Invest. Leverage Premium Reserves Total Ratio Surplus Premium ABC Insurance Co 0.7 2.0 2.8 525% 2.8 3.7 Peer Benchmark Amerisure Companies 1.6 2.5 4.1 381% 3.9 2.4 Argonaut Great Central Insurance Co 1.7 1.3 3.0 402% 2.9 1.7 Atlantic Mutual Insurance Co 1.1 1.4 2.4 448% 1.8 1.6 Centennial Insurance Company 0.9 1.1 2.0 792% 2.2 2.5 Church Mutual Insurance Co 1.6 1.4 3.0 678% 2.9 1.8 Florists Mutual Insurance Co 2.0 1.9 3.9 448% 2.9 1.4 Frankenmuth Mutual Insurance Co 1.4 1.3 2.7 867% 2.4 1.7 Greater New York Mutual Insurance Co 0.7 0.9 1.5 652% 1.8 2.7 Harford Mutual Insurance Co 0.9 0.8 1.7 681% 1.8 1.9 Pharmacists Mutual Insurance Co 1.4 0.6 2.0 1013% 1.8 1.3 Society Insurance 1.7 1.0 2.7 907% 2.2 1.3 Star Insurance Group 1.5 2.0 3.4 378% 2.8 1.9 Utica Mutual Insurance Co 1.5 2.7 4.1 394% 3.8 2.6 Maximum 2.0 2.7 4.1 1013% 3.9 2.7 Weighted average 1.3 1.7 2.9 503% 2.7 2.1 Minimum 0.7 0.6 1.5 378% 1.8 1.3 A.M. Best's composites (2001) Property-Casualty Industry 1.1 1.3 2.4 NA 2.5 2.3 Commercial Casualty Lines 1.2 2.0 3.2 NA 3.1 2.6 Leverage • Overview • Investment Strategy • Investment Tactics • High investment-to-premium ratio

  16. Loss LAE Expense Combined PH Div. Combined Inv. Inc. Operating Ratio Ratio Ratio Ratio Ratio w/ Dvd Ratio Ratio ROS ABC Insurance Co 60% 26% 37% 122% 1% 124% 25% 99% 4% Peer Benchmark Amerisure Companies 65% 14% 25% 103% 3% 106% 8% 98% -2% Argonaut Great Central Insurance Co 54% 14% 35% 103% 0% 103% 6% 97% -7% Atlantic Mutual Insurance Co 58% 17% 35% 111% 1% 112% 11% 102% 0% Centennial Insurance Company 58% 17% 35% 111% 1% 113% 19% 94% 9% Church Mutual Insurance Co 63% 14% 24% 100% 1% 101% 9% 93% 6% Florists Mutual Insurance Co 65% 11% 27% 103% 0% 103% 6% 97% 2% Frankenmuth Mutual Insurance Co 63% 8% 28% 98% 1% 99% 8% 91% 9% Greater New York Mutual Insurance Co 56% 16% 30% 101% 2% 103% 14% 89% 2% Harford Mutual Insurance Co 61% 16% 31% 108% 1% 108% 7% 101% -3% Pharmacists Mutual Insurance Co 45% 16% 26% 88% 10% 97% 5% 93% 3% Society Insurance 47% 16% 26% 89% 7% 96% 7% 90% -12% Star Insurance Group 54% 20% 36% 110% 0% 110% 8% 101% 2% Utica Mutual Insurance Co 63% 17% 32% 112% 2% 113% 15% 98% 3% Maximum 65% 20% 36% 112% 10% 113% 19% 102% 9% Simple average 58% 15% 30% 103% 2% 105% 10% 96% 1% Weighted average 60% 15% 30% 106% 2% 107% 11% 97% 2% Minimum 45% 8% 24% 88% 0% 96% 5% 89% -12% A.M. Best's composites (2001) Property-Casualty Industry 75% 13% 27% 115% 1% 116% 12% 104% -2% Commercial Casualty Lines 77% 14% 28% 120% 1% 121% 16% 105% -3% Profitability • Overview • Investment Strategy • Investment Tactics • Depend on investment income to offset underwriting loss

  17. Stochastic Tax Analysis • Overview • Investment Strategy • Investment Tactics • Likelihood of positive taxable income • Use of AMT and NOL carry forwards • Determine capacity for tax advantaged income

  18. Equities • Overview • Investment Strategy • Investment Tactics • Expected ending surplus increases over 3 year horizon • Volatility of ending surplus increases with larger equity allocations • Increased equities would reduce investment income

  19. A-AAA BBB High Real Cash Bonds Bonds Yield Preferred Common Estate Other ABC Insurance Co 1% 97% 1% 0% 0% 0% 0% 0% Peer Benchmark Amerisure Companies 5% 61% 13% 3% 10% 7% 1% 0% Argonaut Great Central Insurance Co 6% 75% 0% 0% 3% 13% 0% 2% Atlantic Mutual Insurance Co 0% 65% 8% 0% 0% 26% 0% 0% Centennial Insurance Company 1% 88% 9% 0% 0% 1% 0% 0% Church Mutual Insurance Co 0% 87% 2% 0% 0% 7% 1% 2% Florists Mutual Insurance Co 9% 60% 10% 2% 0% 2% 11% 5% Frankenmuth Mutual Insurance Co 0% 79% 7% 0% 0% 8% 5% 0% Greater New York Mutual Insurance Co 0% 100% 0% 0% 0% 0% 0% 0% Harford Mutual Insurance Co 4% 65% 0% 0% 0% 28% 3% 0% Pharmacists Mutual Insurance Co 15% 63% 4% 1% 0% 12% 4% 2% Society Insurance 3% 76% 4% 0% 0% 14% 3% 0% Star Insurance Group 4% 86% 7% 0% 1% 0% 2% 0% Utica Mutual Insurance Co 1% 87% 5% 1% 0% 4% 1% 0% Maximum 15% 100% 13% 3% 10% 28% 11% 5% Weighted average 2% 78% 7% 1% 2% 8% 1% 0% Minimum 0% 60% 0% 0% 0% 0% 0% 0% Industry data from A.M. Best's: Property-Casualty Industry 1% 65% 8% 2% 1% 17% 1% 5% Commercial Casualty Lines -1% 85% NA NA 2% 8% 1% 5% Asset Allocation • Overview • Investment Strategy • Investment Tactics • A conservative, income-oriented portfolio

  20. % of Bond Portfolio NAIC 1 NAIC 2 NAIC 3 NAIC 4 NAIC 5 NAIC 6 Avg. ABC Insurance Co 99% 1% 0% 0% 0% 0% 1.0 Peer Benchmark Amerisure Companies 80% 17% 2% 1% 0% 0% 1.3 Argonaut Great Central Insurance Co 100% 0% 0% 0% 0% 0% 1.0 Atlantic Mutual Insurance Co 89% 11% 0% 0% 0% 0% 1.1 Centennial Insurance Company 91% 9% 0% 0% 0% 0% 1.1 Church Mutual Insurance Co 97% 3% 0% 0% 0% 0% 1.0 Florists Mutual Insurance Co 84% 14% 2% 0% 0% 0% 1.2 Frankenmuth Mutual Insurance Co 92% 8% 1% 0% 0% 0% 1.1 Greater New York Mutual Insurance Co 100% 0% 0% 0% 0% 0% 1.0 Harford Mutual Insurance Co 100% 0% 0% 0% 0% 0% 1.0 Pharmacists Mutual Insurance Co 93% 6% 1% 0% 0% 0% 1.1 Society Insurance 95% 5% 0% 0% 0% 0% 1.1 Star Insurance Group 92% 8% 0% 0% 0% 0% 1.1 Utica Mutual Insurance Co 93% 6% 1% 0% 0% 0% 1.1 Maximum 100% 17% 2% 1% 0% 0% 1.3 Weighted average 91% 8% 1% 0% 0% 0% 1.1 Minimum 80% 0% 0% 0% 0% 0% 1.0 Industry data from A.M. Best's: Property-Casualty Industry 87% 10% 2% 1% 0% 0% 1.2 Bond Portfolio Quality Distribution • Overview • Investment Strategy • Investment Tactics • High quality bond portfolio

  21. Preliminary Observations and Recommendations Preliminary Observations • Current portfolio is relatively low risk • High historical combined ratio offset by large investment income to premium ratio • High quality bond portfolio • Portfolio duration is slightly longer than reserves Preliminary Recommendations • Investment income remains primary objective until underwriting results improve • Positive net operating cash flows mean less need for portfolio liquidity; extend excess cash and short term • Optimal portfolios on efficient frontier prefer interest rate risk to equity market risk, based on historical underwriting trends • Extending duration target to 5 offers best long-term risk/reward trade-off • Opportunities to enhance income with BBB-rated securities • High probability NOLs and AMT credits will be used in 2004; opportunity to add municipal bonds to enhance after-tax income • Overview • Investment Strategy • Investment Tactics

  22. Investment Tactics • Overview • Investment Strategy • Investment Tactics • Individual Securities • Position in duration, liquidity and credit ranges • Achieve Duration targets through: • Bullet • Ladder • Barbell • Opportunistic purchases

  23. Weekly Ongoing Monthly Daily • Risk management: • Optimal portfolio structures • Appropriate levels of risk • Monitor portfolio and performance analysis • Implement investment strategies • Compliance • Capital Markets Meeting - review significant shifts in market conditions over previous week • Credit Committee Meeting • Approve credits • Authorize sell recommendations • Examine portfolio issuers • Review Watch List • Review strategy assessments, economic outlook • Revise strategy recommendations • Assess credit events, market tone and liquidity • Post portfolio managers on new issues and opportunities • Summarize portfolio manager tactical activities Investment Process Continuous interaction between the portfolio management, credit research, trading and risk management functions. • Overview • Investment Strategy • Investment Tactics

  24. Top-down Bottom-up • Economic review • Financial analysis • Industry outlook • Peer comparison • Capital market conditions • Management • Event risk • Credit A.I. Credit Process • Fundamental credit analysis drives the investment process • Macro top-down analysis in conjunction with a micro bottom-up analysis. • Frequent credit team meetings • Daily review of the credit market • Weekly as part of Corporate Global Credit Information Network • Monthly discussion of fundamental sector outlooks • Overview • Investment Strategy • Investment Tactics

  25. Effective Percent Sector Coupon Par Value Book Value Gain/Loss Duration Book Yield Moodys Conv Market Value Portfolio Cash 1.441 8,157 8,157 - 0.08 1.44 AAA 0.00 8,157 2% US Agencies 5.993 83,903 84,226 13,148 5.91 5.94 AGY 0.22 98,589 19% US Treasuries 6.262 2,125 2,275 331 7.56 5.28 TSY 0.48 2,641 1% ABS 6.359 43,558 44,095 3,280 4.77 5.32 AAA 0.18 47,738 9% MBS Pass-Thrus 6.369 33,563 33,665 3,392 0.39 5.70 AGY 0.04 37,229 7% CMBS 6.528 46,763 47,834 3,354 4.01 4.87 AAA 0.13 51,401 10% CMO 5.877 78,972 79,105 2,659 2.31 5.64 AGY -0.68 82,149 16% Corporate 7.430 58,688 59,261 5,616 5.65 6.69 AA1 1.02 65,696 13% International 6.332 7,575 7,676 584 6.13 6.33 AA3 1.11 8,363 2% Munis 6.120 104,565 106,040 12,325 3.82 6.21 AAA 0.11 Sector Observations • Overview • Investment Strategy • Investment Tactics 120,240 23% TOTAL 6.255 467,869 472,334 44,689 4.07 5.79 AAA 0.14 522,203 100% • Average portfolio quality of AAA is very high. ABC may want to consider taking on some additional credit risk. • Corporate exposure of 15% is low relative to peers but is offset by high taxable municipal bond weighting of 22%. • Book yield of 5.79% is significantly above current market level, contributing to unrealized gains of $44.7 million. • Taxable investments comprise 99% of portfolio holdings with income shielded by NOLs which are projected to last into 2004. Portfolio holdings as of March 30, 2003, repriced using May 30, 2003 Bondedge prices

  26. Cash US Treasury Munis 1% 1% 22% US Agencies 19% International 2% ABS 9% Corporate MBS Pass- Thrus 13% 7% CMBS CMO 10% 16% Sector Observations: Treasurys and Agencies • Overview • Investment Strategy • Investment Tactics • Treasury and Agency exposure are 0.5% and 19% of the portfolio, respectively. • The maturity structure of Treasury and Agency holdings are long relative to the total portfolio with 75% of maturities in the 7 to 9 year range. • Agencies can provide immediate liquidity to the portfolio. Due to the longer duration of portfolio holdings, liquidation could result in significant tax or surplus implications. • The portfolio allocation to Agencies can be reduced over time and reinvested into corporate bonds or municipals to add yield and total return. Treasury/Agency Maturity Schedule as of 3/31/03 40 35 Par Value 30 25 millions 20 15 10 5 0 0 to1 1 to 2 2 to 3 3 to 4 4 to 5 5 to 6 6 to7 7 o 8 8 to 9 9+ year years years years years years years years years years

  27. 70% 60% CASH US Treasury MBS Coupon Distribution Munis 1% 1% US Agencies 22% 50% 19% International 40% 2% ABS 30% 9% Corporate 20% MBS Pass- Thrus 13% 7% CMBS CMO 10% 10% 16% 0% 5% to 5.99% 6% to 6.99% 7% to 7.99% 8% to 8.99% 9% to 9.99% Sector Observations: CMOs and MBS • Overview • Investment Strategy • Investment Tactics • Total MBS exposure of 23% is split between CMOs (16%) and pass-throughs (7%). • The portfolio has and will continue to experience high levels of principal returns due to mortgage prepayments resulting in a gradual reduction in mortgage exposure. High book yields will not be sustained. • CMOs can provide better cash flow stability than pass-throughs. However, high prepayment rates have eliminated much of the structural protection originally engineered into CMO holdings. • We recommend selective sales of short CMO positions, which are expected to begin rapid amortization.

  28. A AA 5% 1% CASH US Treasury Munis 1% 1% US Agencies 22% 18% International 2% ABS 9% Corporate MBS Pass- Thrus 13% AAA 7% CMBS CMO 94% 10% 16% Sector Observations: CMBS • Overview • Investment Strategy • Investment Tactics • Most are diversified conduit structures with a variety of collateral types and good prepayment protection. • Deteriorating collateral performance in several AAA-rated issues should be monitored, but it is not expected to impact ratings at this time. • Two private issues (Criimi Mae and World Financial) totaling 0.6% of the total portfolio are lower rated and warrant further analysis. • We recommend maintaining an overweight position in AAA-rated CMBS, Small pick-ups in yield do not justify holding or moving down in quality or into issues with weak collateral.

  29. CASH US Treasury Munis 1% AUTO 1% US Agencies 22% 4% Cards 19% Rate Reduction International 31% 35% 2% ABS 9% Corporate MBS Pass- Thrus 13% CLO 7% CMBS 9% CMO Home Equipment Franchise 10% 16% Equity 10% Loans 7% 4% Sector Observations: ABS • Total portfolio exposure of 9% with over 87% of ABS holdings in publicly-traded, AAA-rated issues. • The issues are backed by a variety of collateral types. Collateral performance in the home-equity, franchise, and equipment finance issues has been weak. Most are expected to retain their high ratings due to structural support or financial guarantees. • Most issues have fairly attractive book yields; the sector average is 5.32% As these run-off, higher yield and return opportunities may be available in other sectors, such as corporates. • Close monitoring of collateral performance is recommended. Future sales recommendations will be dependent on collateral performance and market valuations. • Relatively illiquid private issues, representing 12% of the ABS portfolio (1.2% of the total portfolio), warrant further analysis, as limited public information indicates poor collateral performance. • We currently recommend new investments be in the highest quality issuers as limited spread differences do not justify most “down in quality” trades. • Overview • Investment Strategy • Investment Tactics ABS Holdings by Collateral Type

  30. 3/31/03 Corporate Quality 70 CASH US Treasury Munis 60 1% 1% US Agencies 22% 50 19% 3/31/03 Portfolio International 3/31/03 Lehman 40 2% ABS 30 9% 20 Corporate MBS Pass- Thrus 13% 10 7% CMBS CMO 0 10% AAA AA A BA CAA 16% Sector Observations: Corporates • Overview • Investment Strategy • Investment Tactics • Corporate/International bond exposure is low at 14% of the total portfolio. • Combined corporate / International portfolio book yield is 6.65% with a duration of 5.70. • Overall quality is high at AA1 with no BBB exposure and 4% of corporate holdings (0.6% of total portfolio) rated below investment grade. MCC may want to consider additional credit risk. • Near-term credit stabilization and improved credit market condition may allow opportunistic sales of below investment grade holdings in American Greetings or Lucent. The private placement issue of Lucent may be very illiquid.

  31. 3/31/03 Corporate Allocation 18% 16% 14% n 3/31/03 Portfolio 12% n 3/31/03 Lehman 10% 8% 6% 4% 2% 0 Int’l Electric Gas Technology Finance Telecom Food Consumer Bank Broker Sector Observations: Corporates • Overview • Investment Strategy • Investment Tactics • Industry and issuer diversification is limited with significant concentration in Financial Services. • Corporate exposure can be increased and diversification improved through selective swaps of existing issues and new purchases of investment grade issues. • Put bonds are nearly half of total holdings and most trade as long bonds. Subject to income and surplus implications, we recommend sales/swaps of selected issues to improve diversification and return potential.

  32. 6.0% CASH US Treasury Munis 2% 1% US Agencies 5.0% 22% 18% International 4.0% 2% ABS 3.0% 9% Corporate 2.0% MBS Pass- Thrus 13% 7% CMBS CMO 1.0% 10% 16% 0.0% MBIA AMBAC FSA FGIC No Guarantor Sector Observation: Municipals • Overview • Investment Strategy • Investment Tactics • High average portfolio quality with 85% of holdings insured and rated AAA with remainder rated AA- or better. • Financial guarantees are reasonably well diversified across the major providers. • Book yield is of 6.21% is significantly above current market levels. • 95% of municipal holdings (22% of portfolio) are taxable. • Net operating loss carry forwards are forecast to shield income into 2004. A shift to tax-exempt income would be expected at that time. • Portfolio duration is 3.8 with approximately $28.5 million or 27% of the muni portfolio maturing in 2004 and 2005, allowing for reinvestment into tax-exempt securities • We do not recommend significant changes to the municipal portfolio at this time but expect to migrate to tax-exempt issues or corporates over time depending on tax position Financial Guarantors % of total portfolio

  33. 50 PORT (%) 45 LBAG (%) 40 35 30 25 20 15 10 5 0 TSY AGY AAA AA A BAA BA NR 50 PORT (%) 45 LBAG (%) 40 Net Payout (%) 35 30 25 20 15 10 5 0 0.0 - 1.0 1.0 - 3.0 3.0 - 5.0 5.0 - 10.0 10.0 - 20.0 20.0 + Preliminary Observations & Recommendations Quality Distribution • Overview • Investment Strategy • Investment Tactics • Portfolio quality is very high relative to broad based market index such as the Lehman Aggregate with no BBB exposure. • Over 20% of the AAA-rated issues are supported by financial guarantors. Monitoring of the guarantors is recommended, but Conning research staff does not see significant ratings risk at the present time. • The portfolio is overweight in the 5 to 10 year portion of the curve relative to a broad market index such as the Lehman Aggregate as well as the net reserve payout structure. We recommend improving the laddering of the portfolio, reducing this concentration. We will work with you to determine appropriate duration target. Effective Maturity

  34. Preliminary Observations & Recommendations • Overview • Investment Strategy • Investment Tactics • High quality portfolio with no equity exposure reflective of conservative investment philosophy, however, about 5% of the portfolio could be considered as sale candidates. • Strategic asset allocation will help determine appropriate asset allocation and duration targets. • High book yields, operating results, NOLs, and expected change in tax position in 2004 suggest a gradual migration of sector weights over time rather than radical shifts. • Maintain overweight in the spread sectors; increase exposure to corporates while reducing exposure to the mortgage-backed and agency sectors. • Improve diversification of corporate sector; add BBB industries/issuers on a selective basis. Put bond swaps can be used to improve diversification and ten to thirty year portfolio structure. • Monitor collateral performance of ABS/CMBS holdings for further deterioration. • Current market conditions favor sales of marginal credit and ABS/CMBS holdings subject to economic, yield and surplus impact.

  35. Portfolio Guidance Model: Credit A.I. Ratings The Credit A.I. Model allows our credit team to view a list of securities that exhibit signs of credit weakness (or strength) versus the rating agency ratings. This is an excellent screening tool for credit deterioration or improvement.

  36. CAS Risk and Capital Management Seminar Role of the asset manager and the Actuary Stephen Philbrick July 28, 2003

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