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Attribution Non-Commercial (BY-NC)

- Yield Curve Spread Trades
- Fixed Income Trading Case Studies
- Bond Trading 1999 - Trading the Yield Curve
- Salomon_FRN
- FIxed Income Presentation
- Hull White.pdf
- 19601843 Lehman Brothers Interest Rate Futures
- Yield Curve Analysis Using Principal Components
- SalomonBrothersFixedIncome5
- SalomonBrothersFixedIncome2
- SalomonBrothersFixedIncome3
- SalomonBrothersFixedIncome1
- Fixed Income Example
- BNP Derivs 101
- Bermudan Pricing
- SalomonBrothersFixedIncome4
- Fitting the Yield Curve and Cubic Spline Interpolation
- Lecture 5_Yield Curve Arbitrage
- corporate bond pricing guide
- SalomonBrothersFixedIncome6

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and

Fixed-income Arbitrage

HKUST

February 23, 2006

Outline

Part I

• Forward rate

Part II

Fixed-income Arbitrage

Bonds

• Bond is a debt used for borrowing money and is one type of fixed-income

securities

– issuers (government, corporates)

– maturity (short/long-term)

– Coupon (interest paid by issuer at payment dates)

– Bills (maturity less than 1 year)

– Notes (maturity between 1 – 10 years)

– Bonds (maturity longer than 10 years)

• Par/Face value is the amount that investors will get back per bond at

maturity (usually $1000)

Fixed-income Arbitrage

Bonds (cont’d)

• Accrual interest: If an investor wants to buy the bond before the next coupon

dates, he needs to pay the previous holder the amount of interest accrued

during his ownership

• Clean price: Bond price with a whole coupon period – Accrued interest

• Bonds are usually quoted on a clean basis but settled on a dirty basis

• Day-count convention: A/360, A/365, 30/360 (Eg. Mar 15, 2005 to Jun 15, 05 is

counted as 92/360=0.2556 in A/360 basis)

coupon)

Fixed-income Arbitrage

World Bond Markets (source: Bloomberg LP)

Fixed-income Arbitrage

Fixed-income Arbitrage

HKD Market Instruments (source: Bloomberg LP)

Fixed-income Arbitrage

Yield-at-maturity

holding a bond

• YTM can be used to compute bond price, so it is often used as a market quote

(per annum)

• YTM is equivalent to the internal rate of return on the bond, i.e., the rate that

equals the value of the discounted cash flows (coupons C and principle F) on

the bond to its current (dirty) price

C C C +F

P= + +L+

(1+Y / m) (1+Y / m)2

(1+Y )N

or 4 (quarterly), and N = number of total payments

Fixed-income Arbitrage

Coupon & Yield-to-maturity

• Coupon rate is an obligated (fixed) return rate and does not change during

the life of the bond

• YTM is NOT fixed and changes over time as long as the price changes

• Although both can be regarded as the measure of the return rate of a bond,

they must be interpreted differently:

– Coupon rate is the return rate of holding a bond if you purchase at par, i.e,

bond price = face value, and hold up to maturity

– YTM is the return rate of a bond at the time you purchase

• Both coupon rate and YTM are the “average rates” since cash flows (coupon

payments) in a bond are received at different dates and should be discounted

at corresponding rates

Fixed-income Arbitrage

Credit Risk

– Credit risk

– Interest rate risk

– Supply/demand force (liquidity risk)

• If the issuer of a bond fails to fulfil his obligation (default or bankruptcy), the

investors are subject to credit risk

risk level of a bond) because are often restricted to invest in low-rating bonds

– Investment grade (S&P: BBB or above, Moody’s: Baa or above)

– Non-investment/Speculative grade (junk/high-yield bonds)

Fixed-income Arbitrage

Interest Rate Risk

investors bearing no risk

• Current level of interest rate and market expectation would change YTM, i.e, a

higher interest rate, a higher yield and vice versa

• Eg. If the coupon of a bond is 4.5%, but the current market rate moves up by

1%, 4.5% coupon is not longer attractive to investors unless there is a

discount on bond price, resulting a higher yield

• If an investors buy a bond and sell it before maturity, he may incur a loss due

to interest risk

• Eg. Suppose an investor bought a bond 1 year ago at $100 with coupon of 4%

p.a. (annual). After one year, the bond price drops to $94. So his net position

is $94 + $4 - $100 = -$2 (a loss!)

Fixed-income Arbitrage

• Yield curve (or term structure of yield) is a graph that indicates the

relationship between the yield of a bond and its time-to-maturity

• A yield curve is only an indicator of current interest rate level, and it does

evolve over time

capital market

Fixed-income Arbitrage

What is Yield Curve? (cont’d)

• Yields usually increase over time, i.e., a longer maturity, a higher yield

– Inflation: The value of a bond will be eroded over a longer term

– Credit risk: Lender needs to bear a higher risk for holding a long-term

bond than short-term bond issued by the same issuer (i.e. same credit

rating)

• But the curve does not continue to slope upwards, all the way to 30-year

mark (why?)

institutional investors (pension funds and insurance companies) to meet

their long-term liabilities and this outstrip supply

• As a result, the price of a long-term bond is forced upwards, and this moves

the yield down to below what it should be

Fixed-income Arbitrage

Fixed-income Arbitrage

Applications of Yield Curve (1)

• So it implies the level of trading for the future (or at least what the market

thinks will be happening in the future)

• All market participants in the debt capital markets are interested in the

current shape and level of the yield curve and use it to decide their

investment decisions

Fixed-income Arbitrage

• The yield of government bonds from the shortest maturity to the

longest set the benchmark for yields for all other debt instruments

• Eg. If a U.S. 5Y treasury is trading at 5%, all other five bonds (corporate or

sovereign) will be issued at a yield over 5% because U.S. treasuries are generally

considered to be “default-free” instrument -- since they are backed by the full

faith and credit of the U.S. government -- so credit spread is required to

compensate credit risk

• Yield curve takes certain shapes to reflect market expectation of

future interest rates

• Bond market participants analyze the current term structure of the

yield curve and determine the implications regarding the direction of

market interest rates

• Bond traders decide their trading strategies

• Central banks analyze the yield curve for its implied information

(forward interest rates and inflation level)

Fixed-income Arbitrage

Applications of Yield Curve (3)

• Yield curve indicates the returns that are available at different

maturity points

• Portfolio managers use the yield curve to assess the relative value of

investments across the maturity spectrum

• Fixed-income managers can use it to assist them to assess which

point of the curve offers the best returns relative to other

• Yield curve can be analyzed to indicate which bonds are cheap or

expensive to the curve

• Eg. If the yield of a bond is traded at a level below the yield curve, the

bond is expensive

Fixed-income Arbitrage

• Market exhibits that a yield curve can have four basic shapes:

slopes gently upwards over maturity

substantially greater than short rates

standards, but long-term yields are significantly lower than short rates

– Humped: yields are high with the curve rising to a peak in the medium-

term maturity, and then sloping downwards at longer maturities

Fixed-income Arbitrage

Flat Yield Curve

but this phenomenon is quite rare

should have no incentive to hold long-term bonds over shorter-term bonds

when there is no yield premium

• So bond investors would sell off long-term bonds and the yield at long end

should increase, producing an upward-sloping shape again

• A flat curve is usually more influenced by supply and demand than anything

else

Fixed-income Arbitrage

• A low-coupon bonds pay a higher portion of their cash flows at later date

than high-coupon bonds of the same maturity

• Given the same prices and same maturity, a low-coupon bond has a higher

yield (at discount) while the high-coupon bond has a lower yield (at premium)

• Cash flows are not discounted at the “appropriate rate” for the bonds in the

group being used to construct the curve

• High-low coupon effect could distort the shape of yield curve and this could

lead to a wrong implication

Fixed-income Arbitrage

Coupon Yield Curve

bonds because of reinvestment risk and tax reasons

• To compensate for this, some bond analysts construct a coupon yield curve,

i.e., yield curve constructed from a group of bonds with the same coupon

whole term structure so this type of curve is rare

Fixed-income Arbitrage

• A bond is traded at par if the yield is equal to coupon rate, or, the bond price

equals face value

• If bonds in the market are trading substantially away from par, the resulting

yield curve will be distorted

• Par yield curve can be constructed directly from bond yields when bonds are

trading at or near par

Fixed-income Arbitrage

Zero (Spot) Yield Curve

• Theoretically, a zero yield curve can be derived from the conventional bonds

• If zeros are traded in the market, the observed zero curve could be different

from theoretical one

Fixed-income Arbitrage

Forward Yield

• Forward rate to a bond is the spot bond yield at the future date

(1 + R (T + 1) )

T +1

= (1 + R ( T ) ) (1 + F ( T , T + 1 ) )

T

F ( T , T + 1) =

(1 + R ( T + 1 ) )T + 1 −1

(1 + R ( T ) )T

rates:

C C C+F

P= + + L+

1 + F (0,1) (1 + F (0,1))(1 + F (1,2)) (1+ F (0,1))L(1+ F (T − 1, T ))

• Note that R(n) = F(0,n) for any n > 0

Fixed-income Arbitrage

Interpretation of Forward Rate (1)

• Forward rates that exist at one time point reflect everything that is known in

the market up to that point (efficient market hypothesis)

information

• The instant after they have been calculated, new market knowledge may

become available that alters the markets view of future interest rate

Fixed-income Arbitrage

• But forward rates are still important because they are required to make

prices for trading today but settling at a future date

• For example, a bank may wish to fix today the interest rate payable on a loan

that begins in one year from now (payable in arrear)

• Forward rate is used by market makers to quote prices for dealing today, and

is the best expectation of future interest rates , given everything that is

known in the market up to now

• If traders happen not to agree with this market view, they will decide trading

strategy accordingly

Fixed-income Arbitrage

Interpretation of Forward Rate (3)

• Spot and forward rates are calculated from the current market rates based on

the no-arbitrage principle, i.e., no profit opportunity arises if the actual spot

rate at future date equals forward rate

• Forward rates are somehow a “market-view” rate that will be (or should be!)

in the future

• If we compare the today 3-month forward curve with the yield curve 3

months from now, they are certainly different (market participants cannot

predict future interest rate 100% correct!)

• When constructing a forward curve, we are using current term structure (all

information includes market view, political and economic factors)

• As mentioned before, the market evolves over time with the latest

(unpredictable) information and this is why forward rates are not agree with

future interest rates

Fixed-income Arbitrage

– Perfect information

– Bullet bonds (call without embedded option) with all maturities

– No taxes

– No transaction cost

but these assumptions makes us easier to deal with spot and forward rates

• When analyzing yield curves, bear in mind that they DO NOT contain

complete market information and it is frequently to observe anomalies not

explained by conventional theories

Fixed-income Arbitrage

Fed Funds Rate (source: Bloomberg LP)

Fixed-income Arbitrage

(source: Bloomberg LP)

Fixed-income Arbitrage

Why Have Long-term Rates Hardly Budged?

• It is quite strange that long-term yield have not risen much in the face of 14

straight increases (from 1% to 4.5%, raise 0.25% each time) in the Fed funds

rate

• Historically, longer-term interest rates usually have been higher that short-

term rates because investors required compensation for expected future

inflation (likely to be volatile)

• Some analysts suggest that calculus has changed because of the Federal

Reserve's success in keeping core inflation both low and less volatile

• They argue flattening of the yield curve over the past 19 months (since June

2004) isn't signaling a significant slowdown in U.S. economic growth, much

less a near-term recession

Fixed-income Arbitrage

• The bond risk premium on the 10-year Treasury note is unusually low

around zero -- compare the 10-year yield to expected future short-term

interest rates

• But the collapse in the volatility of inflation relative to the volatility of real

rates is a much more compelling explanation

Fixed-income Arbitrage

Inflation Volatility

• Over the past 15 years, volatility of the core personal consumption price

index consistently has been much lower than that of inflation-adjusted

short-term interest rates

investors can lock in a stable real rate of return and are subject to little

inflation risk

provide a similarly stable real rate of return, i.e., possibility of raising or

lowering short-term rate to keep inflation in “comfort zone”

from locking in a steady real rate of return by investing in long-duration

fixed-income assets -- these investment decisions are built upon their

confidence on the Fed’s credibility to continue controlling inflation

Fixed-income Arbitrage

• U.S. budget and current-account deficits both reach a record high and this

would normally make the dollar depreciate and result a high inflation

• But the situation now is that these unsustainable deficits appear sustainable

due to great demand of U.S. treasuries from Asian central banks (holding

more than $1 trillion treasuries)

• Due to the great demand from Asian central banks, the shortage has raised

the price and reduced the yield on long-term bonds

• This keeps bond yields low, the dollar up and enables U.S. customers to live

beyond their means

Fixed-income Arbitrage

Shortage of Long-term Bonds

• Another force to push up the yield is that the Treasury Department has

reduced the supply of long-term bonds since Oct 2001 by ending the sale of

30-year bonds* and financing more of the growing budget deficit with

shorter-term bonds

• This shortage has raised the price and reduced the yield on long-term

bonds

nations, so they can’t afford to sell off dollar-denominated bonds and to rise

in interest rates or appreciate their currencies in order to keep their goods

attractive

* The $14 billion sale of long-term bond is resumed on Feb 9, 2006, giving the U.S. government a new

tools to finance the expanding deficit and responding the resisted calls from Wall Street

Fixed-income Arbitrage

Recession Predictor

• Traditionally, the relationship between the shape of the yield curve acts as a

predictor of recessions

• If the bond risk premium is zero, then the curve would be flat when Fed

policy is in a “neutral'' position (neither stimulating nor restraining

economic activity)

• Some supporters of the above views argue that, in the past, when inverted

yield curves did foretell recessions because it took a tight monetary policy

to invert the yield curve, but that isn't the case today

• Their points is that even if core inflation were to accelerate , the bond risk

premium wouldn't necessarily increase so long as investors remained

confident that the inflation rise would be limited and temporary

Fixed-income Arbitrage

Another View

environment, but it does not imply that inflation is gone

labor and product markets, inflation will show its head again

• Consequently, they think that long-term rates are too low based on

economic fundamentals

• As core inflation rises above the Fed's `”comfort zone,” the Fed would raise

its current overnight lending rate and this implies a sell-off at the long-end

of the curve, so that the yield curve will steepen once again

and capability of controlling inflation, so it is hard to judge which view is

correct at this moment (But time will tell!)

Fixed-income Arbitrage

Hedge Fund

• A loosely regulated investment pool for affluent and institutions with less

transparency

• Typically, hedge funds charge 2% of the assets per year and 20% of the

profits

direction and uncorrelated to any benchmark

• Unlike mutual funds, hedge funds can use a wide range of investment

strategies:

– Holding derivatives, futures, swaps, etc

– Financial leverage

– Short selling

Fixed-income Arbitrage

Hedge Fund Performance

• Hedge funds had a good time to earn huge profit over the past decade, but

the days of easy money are over

• Hedge funds have returned more than 10% in one of the last five year,

compared with four of the five years through 1999 (source: CSFB/Tremont

Hedge Fund Index)

• The average fund worldwide was up 7.4% in 2005, but the return declined to

5.99% while the average return of 31% was posted in the golden years like

1999 (source: Hedge Fund Research Inc.)

funds and the emergence of “mega-managers” such as D.E. Shaw & Co. and

Bridgewater Associates Inc.

Fixed-income Arbitrage

Fixed-income Arbitrage

Hedge Fund Industry Today (cont’d)

Fixed-income Arbitrage

Fixed-income Arbitrage

Hedge Fund Ranking (source: Bloomberg LP)

Fixed-income Arbitrage

Fixed-income Arbitrage

Fixed-income Arbitrage

interest rate spread between related fixed income instruments

instrument and a short position on the lower yielding instruments

• This can be done between different maturities on the fixed income yield

curve, or between different types of fixed income instruments

– Swap spread arbitrage

– Volatility arbitrage

– Yield spread arbitrage

– Capital structure arbitrage

Yield Curve Analysis & 45

Fixed-income Arbitrage

• Enter into a par swap and receive a fixed coupon rate CMS and floating

LIBOR Lt

• Short a par treasury bond with the same maturity as the swap: pay coupon

rate CMT and invest the proceeds in a margin account to earn repo rate rt

Swap spread paid (CMS – CMT) > Floating spread received (Lt - rt )

and positive, so swap spread arbitrage has traditionally been one of the

most popular FIA strategies

• Indirect default risk: It can be negative when the banking sector has

increasing default risk, resulting a significantly high LIBOR

Fixed-income Arbitrage

Swap Spread Arbitrage: Implementation

• Collect a set of swap and treasury data and fit a mean-reverting process to

the floating spread

• Determine each month whether swap spread differs from the expected value

of floating spread over the life of strategy

• Close out the trade if the swap spread converges to the floating spread or

until the maturity of the swap

• If the difference becomes widen, should the trader unwind his position (cut

loss) or wait for the convergence? It is simply based on the trader’s

confidence on his view and market condition

Fixed-income Arbitrage

Volatility Arbitrage

and then delta-hedging the exposure to the underlying

• This strategy aims at earning a profit from the volatility of the underlying -- an

excess return proportional to the gamma of the option times the difference

between the implied variance and the realized variance of the underlying

• Let V(F,t) be any function of the futures price and time. By Ito’s lemma, the P&L

from delta hedging with a constant volatility in a stochastic volatility market is

given by

F 2 ∂ 2V ( F , s;σ ) 2

T

P & L = ∫ e r (T − s ) (σ − σ 2 ( s )) ds

t

2 ∂F 2

from delta hedging over (t,T) is half the dollar gamma weighted-average of the

difference between the hedge variance and the true variance

Fixed-income Arbitrage

Volatility Arbitrage: Implementation

• This strategy usually focuses on selling cap and delta hedging the position

using Eurodollar futures

short-term variance swaps -- to avoid a number of technical problems

• These two strategies have identical P&L with the notional scaled by

F2 x gamma / 2

Fixed-income Arbitrage

• Yield spread arbitrage is not market-directional trading, but the view on the

shape of a yield curve or the spread between two particular points on the

curve

yield spread and changes in the general level of interest rates

• The yield curve may be flattening or steeping when rates are both falling or

rising

spread, and not due to any change in overall yield curve levels

Fixed-income Arbitrage

Yield Spread Arbitrage (2)

• Suppose a trader believes that the yield curve is going to flatten, but has no

particular strong view on whether this flattening would occur in falling or

rising interest rates

• If he thinks that the flattening would be most pronounced in the 2-year and 10-

year buckets, he can take short position on 2-year bond and long position on

10-year bond

• He needs to use the price value of a basis point (PVBP) to determine the

weight in this spread trade (duration-hedging)

• PVBP is the change of the bond price if the yield changes by 1 basis point

1 ∆P

PVBP =

100 ∆Y

Fixed-income Arbitrage

PVBP( 10 Y) ∆ P10 100 ∆ Y ∆ P10

= ⋅ =

PVBP( 2 Y) 100 ∆ Y ∆ P2 ∆ P2

• This quantity is the change of 10-year bond with respect to the change in the

change of 2-year bond, so it can be used to hedge against parallel shift

risk, i.e., both 2-year yield and 10-year yield change in the same direction

• For example, if ΔY10 = ΔY2 = 0.01% (no change in spread size), the change in

10-year bond price is ΔP10

• If the trader holds ΔP10 / ΔP2 units of 2-year bond, then the change is

∆P10

⋅ ∆P2 = ∆P10

∆P2

• This implies that there is no P&L (offset the delta risk) if 2-year and 10-year

yields have parallel shift

Fixed-income Arbitrage

Exotic Spread Arbitrage

• Butterfly trade: Short position (sell) in one T2-year bond and long position

(hold) in two bonds with maturities T1 (< T2) and T3 (> T2)

• Traders would use this trading strategy if he believes that, for example, 2-year

bond would outperform 3-year and 5-year bonds

• His view reflects that the short end of the curve would steepen relative to the

“middle” of the curve while the long end would flatten

risk, but two positions could behave differently for given changes in the yield

curve due to liquidity and other reasons (not completely get rid of this risk!)

Fixed-income Arbitrage

• Intellectual Capital: Require a yield curve model to identify points that are

either “rich” or “cheap”, i.e., to explore arbitrage opportunities (model risk!)

some pre-specified points (Eg. 1Y and 10Y) each month

• If the 2Y swap is more than a certain amount (say 5 or 10 bps) above the

fitted 2Y point, a trade is structured by receiving fixed on a 2Y swap and

shorting a 1Y and 10Y swaps for delta-neutral

• The trade will be held for 12 months or until the 2Y swap converges to the

model value

Fixed-income Arbitrage

Capital Structure Arbitrage

instruments of a company’s capital structure

instruments of a given company, sector or industry

number of possible combining trading strategies

• Trading strategies are typically based on the investment view of hedge fund

manager and the availability of market instruments

– Convertible arbitrage: long bond and short equity

– Basis arbitrage: long bond and short CDS

– Credit arbitrage: long CDS and short equity

Yield Curve Analysis & 55

Fixed-income Arbitrage

Convertible Arbitrage

offsetting or hedging these long positions by selling short the underlying

stocks

• Intuitively, if the stock increases in price, the bonds will appreciate and if

the stock falls, the short position will make money

• They take advantage of stock price movements to adjust their short stock

hedge positions -- maintain a market neutral position to capture profits

Chinese hedge

Fixed-income Arbitrage

Risks in Convertible Arbitrage

income part as well as an equity part, resulting a diverse risk factors

• Equity risk: At higher share price, the price of a CB behaves like pure

equity; at low share price, the value of CB falls to a lower level and flattens

out to a constant level and CB is likely to redeem at maturity

• Interest rate risk: This risk is usually hedged with treasury futures or

interest rate swaps

• Credit risk (omicron): A lower credit rating leads to a lower equity price and

a widening in credit spread, resulting a lower price of a CB and is hedged

with longing CDS/shorting a plain bond or equity (a structural model is

needed!)

• Liquidity risk: Long position not being liquid as expected or short position

being called in/short squeezed and this risk cannot be hedged away

Fixed-income Arbitrage

Fixed-income Arbitrage

Delta Hedging

CB and short the underlying stock at the appropriate delta -- fully hedged for

very small movements in stock price

• In this hedge, delta risk is neutralized but not the interest rate risk and the

long position in vega exposure

• If the implied volatility level decreases or stays the same, the position will

benefit just from the income flow from convertible’s yield and the short

interest rate’s rebate

the position gets

Fixed-income Arbitrage

Risk Analysis

• Delta risk: CB moves towards the ITM position as delta tends to 1 and

moves towards the OTM position as delta tends to 0

• Gamma risk: Deep OTM/ITM results a lower gamma and ATM gives the

largest gamma, so gamma is associated with the rebalancing frequency of a

delta-hedged portfolio

• Vega risk: ITM/OTM possesses lower vega and ATM presents higher vega

• Theta risk: A lower theta when ITM/OTM (less conversion premium to lose)

and a higher theta when ATM

• Rho risk: CB reaches its maximum rho when OTM and minimum when ITM

• Omicron risk: A higher omicron when OTM and a lower omicron when deep

ITM, and OTM CB is more influenced by omicron than any other greek

Fixed-income Arbitrage

Criteria to Identify Convertible Arbitrage Opportunities

• A high gamma

Fixed-income Arbitrage

and from risk management (greek calculations)

Fixed-income Arbitrage

Open Issues on Fixed-income Arbitrage

• Is it merely a strategy that earns small profit most of the time, but occasionally

experiences dramatic losses?

• Is it really market-neutral?

• Is there a link between hedge fund returns and hedge fund capital?

Fixed-income Arbitrage

and the risk characteristics of 5 popular FIA strategies: (1) swap spread

arbitrage, (2) yield spread arbitrage, (3) volatility arbitrage, (4) mortgage

arbitrage, and (5) capital structure arbitrage: CDS and equity

• Empirical findings:

– The annualized Sharpe ratio lies between 0.3 and 0.9

– With the exception of volatility arbitrage, most of the monthly returns are

positively skewed -- contrary to the common wisdom that risk arbitrage

generates small positive returns most of the time, but experiences

infrequent large losses

– No significant autocorrelation

– The amount of capital required to obtain an annual volatility of 10% varies

across strategies

– Returns on many arbitrage strategies are sensitive to equity, bond and

credit market risk factors

Fixed-income Arbitrage

Things to be aware

requires a high level of intellectual capital, resulting an excess return for model

risk even after adjusting for market risks (Eg. LTCM)

rate as hedge fund managers have their own models and views to decide the

trading strategies

• Models only tell you the time to enter into a trade, but don’t give you any hint

when to terminate if the market situation is against hedge fund managers’ view

return rates

• As the number of hedge funds and the asset under management with similar

styles across the world are rapidly growing, it would heighten financial system

instability (create another risk!)

Fixed-income Arbitrage

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