Queen Mary, University of London MSc Investment and Finance
Welcome Dear Applicant, It is with great pleasure that I welcome you to Queen Mary, University of London, and in particular to the MSc in Investment and Finance. The Master’s degree was founded five years ago with the intention of equipping students with the necessary skills to meet a constantly changing financial environment. Our graduates have entered the job market as successful assets managers, risk managers, traders, analysts and financial advisors in various parts of the world. The degree programme is built around the principles of academic rigor and market practice. Students gain practical exposure through case studies and empirical training using market data. There is a large amount of practitioner content, without compromise to academic standards, and we constantly update the teaching to reflect recent market activity. This means you will acquire modern investment techniques based on sound theoretical knowledge. The School welcomes several visiting professors, who are also practitioners, and therefore well-placed to lecture on how to trade using live data. Thanks to our close proximity to the City of London, we have welldeveloped links with many financial institutions, and students pay them regular visits, helping to further bond the link between theory and practice. We maintain an active alumni group and we organise regular meetings with former students, often at their work place. We have an active economics student society and many guest speakers enjoy coming to Queen Mary to talk on current market events. As the program director, I have overall responsibility for the academic content, and the co-ordination of teaching, so you can be sure of receiving the necessary tuition. I am supported by an enthusiastic administrative team of postgraduate manager Mrs Sandra Adams, and student support manager Mrs Sarah Riley, who manage the day to day operations. As a team of academic and administrative staff we strive to make your year with us the most productive and` best of experiences. Dr Leone Leonida Director of MSc Investment and Finance
Contents
Alternative MSc programmes
2 4 7 10 11 12 13
Accommodation and application procedure
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The programme The modules Staff The people Careers Graduate employment
The information given in this brochure is correct at the time of going to press. The College reserves the right to modify or cancel any statement in it and accepts no responsibility for the consequences of any such changes.
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The programme
Programme description The MSc in Investment and Finance is a specialist degree that provides practical and theoretical training in areas of major financial interest, in particular investment management and corporate finance. Examples of topics covered include: optimal capital structure, mergers and acquisitions, portfolio management, risk management, derivatives and finance microstructure. Designed for students and professionals who aim to pursue a career in finance and other, related areas, this programme provides a unique set of perspectives on how financial markets operate, grounded in economic and financial theory and practice.
The School of Economics and Finance performed exceptionally well in the 2008 Research Assessment Exercise (RAE), ranked in the top 10 economics departments in the UK. See: www.econ.qmul.ac.uk/news/rae2008/ Many members of our School have recently received academic grants, and provided consultancy and advisory services to primary financial institutions such as the UK and Italian Treasury, the ONS, the Bank of England and many others.
Applied learning The School has developed and nurtured collaborations with a number of public and private institutions. This provides plenty of opportunity for student placements and research co-operation.
You will follow a programme of four modules per semester, followed by a 10,000 word dissertation. There are also pre-sessional modules in maths and statistics, providing a good opportunity for students to refresh their knowledge of these areas. More detailed module information follows in this brochure.
We also organise a number of additional, optional modules, the topics of which vary from year to year. These modules are taught by City professionals, who are well-placed to give an insider’s view on issues of interest to the financial community.
Research strength
Postgraduate resources
The School of Economics and Finance is committed to excellence in research and teaching. Our expertise covers three key areas: economic theory, econometrics and finance, and applied economics. We regularly publish the results of our research in leading economic journals.
You will have access to excellent computing facilities, offering an ideal environment in which to practice applied analysis. Standard software packages for data analysis, simulation, and word processing are available, including GAUSS, Eviews, PCgive, RATS, Microfit, and Stata.
We combine an excellent international reputation with a friendly and informal atmosphere.
We also provide full subscription access to Datastream.
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Teaching style
Pre-semester modules
Modules are taught in a three hour block format. The first two hours deliver the core theoretical and technical concepts; these are then applied in the remaining hour. You will be assigned a personal tutor who will support you throughout your studies.
These pre-semester modules in maths and statistics take place over two weeks in September. They are especially designed for students who want to review concepts such as statistical distributions and matrix algebra. You will sit exams at the end of modules.
Dissertation
Duration
Over the summer term, you will write a 10,000 word dissertation. Under supervision, you will learn how to undertake applied analysis, run estimations and formulate and test hypotheses.
You will be studying over a 12 month period, beginning in September with the maths and statistics pre-semester modules. You can also study part-time over a 24 month period.
Examples of student dissertations include: Testing the Purchasing Power Parity between China and US; Financial Market Imperfections and the Degree of Financing Constraints in Transitional Economy: Evidence from Pakistan Market; Financial Conservatism in the UK Financial Market; Exchange Rates Movements and Corporate Investment.
Assessment The grade for each module is assessed through coursework, which counts for 25 per cent of the final marks, along with a written exam in May. The 10,000 word dissertation written over the summer counts for four modules.
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The programme (cont) The modules
Programme timetable
Asset Management
Presemester A
Semester A Semester PostB semester B
Mathematics
Business Finance
This module aims at providing you with practical applications of modern portfolio theory and asset pricing, including active portfolio management, portfolio performance evaluation, portfolio insurance, and international portfolio diversification.
Statistics
Investment Behavioural Management Finance
Financial Derivatives
Commercial and Investment Banking
Option
Quantitative Techniques
Option
10,000 word dissertation
Behavioural Finance The purpose of this module is to develop your understanding of the theoretical underpinnings of behavioural finance, the empirical research surveyed in this area and the implementation of investment strategies based on the behavioral finance approach.
Business Finance This module aims to develop an understanding of how firms raise external finance and design their capital structure. We will examine the assumption that a firm’s cash flows are exogenous with respect to financial decisions. Also studied are the Modigliani-Miller theorems stating which conditions make capital structure irrelevant, and derive the optimal debt/equity mix in the presence of taxes and costly bankruptcy. The rest of the module addresses the issue of how a firm’s financial and governance structure affects its value once information problems between firms’ insiders and investors are taken into account.
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Commercial and Investment Banking In this module you will study the role of money in the macroeconomy, the behaviour of interest rates, banks and other intermediaries, the regulation of both money markets and the banking system and the operations of central banks. The focus of the module is on the practical aspects of money and banking as experienced by practitioners in financial institutions
Empirical Finance This module revisits the Efficient Market Hypothesis in finance, and its relationship to the random walk model. You will examine statistical tests for the random walk hypothesis and their applications to weekly returns on common stocks. You will then go deeper into the empirical analysis of asset returns data so as to uncover the main stylised facts in finance using simple descriptive statistics. To explain the stylised facts in the data, the lectures will apply asset pricing models from the two main strands of modern finance: market microstructure theory and behavioural finance.
Financial Derivatives This is an introduction to the pricing of derivative securities. We look at how to price forward and futures contracts as well as swaps. The final part of the module covers option pricing
International Finance The process of financial globalisation has emphasised the importance of international capital flows for the understanding of exchange rate dynamic behaviour. The emphasis of the module is on exchange rate determination which is an area of central importance to major financial institutions. You will study parity relationships (purchasing power and interest rate), the use of the forward rate as an optimal predictor of the spot nominal exchange rate; the asset price view of exchange rate (using either flexible or sticky prices) with financial assets as perfect substitutes; the international CAPM and the (first generation) models of currency crises.
Investment Management This module offers a high level introduction to concepts related to investment analysis. Topics treated in the module include valuation of real and financial securities; the principles of investment; valuation of risky securities; portfolio analysis and bond portfolio management; financial market equilibrium; the CAPM and APT models; capital budgeting and risk; market efficiency.
Quantitative Techniques This module provides a firm grounding for the mathematical and statistical tools needed for finance and investment analysis. The first part of the module covers statistical and econometric concepts such as estimation and inference, linear regression and time series analysis. The
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The modules (cont)
second part discusses basic methods of financial mathematics used in the analysis of assets, portfolios, hedging and the choice of an optimal portfolio.
Risk Management for Banking This module deals with the ways in which risks are quantified and managed by financial institutions. Among the topics covered are the nature of financial institutions and their regulation, market risk, credit risk, operational risk, liquidity risk, and the credit crisis of 2007.
Applied Risk Management This module takes an applied approach concentrating on risk arrears which are of paramount importance to the financial industry, particularly those identified after the global financial crisis of summer 2008. In addition to risk identification, the module will offer an analysis of tools and processes used in practice designed to manage these risks. On completion, students will have a good understanding of the risks faced by financial institutions in the current, post-financial crisis environment – a skill highly sought after in the financial industry.
Further Quantitative Techniques for Finance This module aims to provide a deeper foundation in mathematics and statistics, creating a good basis for students to draw on in their professional careers. Module content also encompasses new and specialised techniques, which may not have been studied previously.
ECOM064 Applied Future and Options This course will provide students a general overview of exchange-traded futures and options (derivatives), from the perspective of a market participant i.e., where are they traded? Who trades derivatives? The composition of a trade? Order types available? What happens after the trade? What is the impact of Information Technology on trading? Further, the course will clarify definitions relating to trading derivatives, evaluating option pricing using synthetics, assessing risk, the impact of margin and various equity option strategies will be simulated.
Ungraded modules In addition to your taught modules there are a number of additional, optional, modules that you may attend. These include a mentoring scheme, ‘Working in Industry’ lectures and various support classes for each of your modules
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Staff
Andrea Carriero, PhD (Bocconi University, Milan) Senior Lecturer email: a.carriero@qmul.ac.uk Applied maroeconometrics and forcasting Andrea is working on the econometric analysis of present value models, with applications on the expectation theory of the term structure of interest rates, the uncovered interest rate parity, and the new Keynesian Phillips curve. He is also working on the construction and evaluation of alternative composite coincident and leading indexes for the Euro Area and the UK. Francis Breedon Professor email: f.breedon@qmul.ac.uk Finance Francis works mainly on foreign exchange markets with a focus on FX microstructure which aims to understand exchange rate movements by analysing actual trading activity. Most recently he has studied how differences in beliefs amongst market participants influence returns and volatility. His research also extends to the interaction between monetary and exchange rate policy and financial markets. This includes recent work on foreign exchange policy in Iceland. Marcelo Fernandes, PhD (Solvay Business School, Brussels) Professor email: m.fernandes@qmul.ac.uk
and application of nonparametric methods to high frequency financial data, although he is also interested in non parametric testing of properties such as symmetry and independence. As for empirical finance, he is currently working on a preferences-free approach for the identification of the stochastic discount factor. Stepana Lazarova, PhD(LSE) Senior Lecturer email: s.lazarova@qmul.ac.uk Time series econometrics, structural breaks, long memory and bootstrap Stepana works in the area of time series econometrics. In particular she focuses on time series with long memory. She investigates linear models with breaks in parameters and examines the validity of bootstrap methods for models with strongly dependent processes. Yioryos Makedonis Lecturer email: y.makedonis@qmul.ac.uk Yioryos's main areas of teaching and research are mathematical economics, macroeconomics, with emphasis on banking, and environmental economics. He holds postgraduate degrees from the University of Kent at Canterbury and Birkbeck, University of London.
Econometric theory, financial econometrics and empirical finance Marcelo’s research interests are in econometric theory, financial econometrics and empirical finance. Most of his work deals with the theory Queen Mary, University of London 07
Staff (cont)
Leone Leonida, PhD(York and Naples) Senior Lecturer (Director) email: l.leonida@qmul.ac.uk
Jesse McDougall Visiting Professor email: j.w.mcdougall@qmul.ac.uk
Growth economics and finance Leone’s research interests are mainly in growth dynamics and corporate finance. On the one hand, he is studying the effects on growth processes and con7vergence patterns of structural change (ie industrialisation and economics shocks) by means of semi-parametric stochastic kernels and ACF estimation. On the other hand, he is studying the effects on firm value and investment of corporate governance mechanisms, exchange rate fluctuations and spill-over effects from public capital.
Jesse McDougall is a Visiting Professor of Finance at QMUL. She also works as a Portfolio Manager of a proprietary, quantitatively-driven asset management strategy for Liquid Capital Markets. She worked for 5 years at Barclays Capital in their Equity Derivatives Proprietary Trading team, researching and trading arbitrage strategies and in a prior role, in Corporate Finance Advisory with Bank of Montreal. Jesse’s research interests are focused in the equities space, on tradable market anomalies and behavioural finance.
Gerry Perez Visiting Professor
Giles Spungin, PhD(London) Lecturer email: g.spungin@qmul.ac.uk
Gerald Perez has been in the financial markets for more than 23 years. He is a former professional institutional trader (in the US and Europe). He is a former project manager and compliance officer. Gerald formerly sat on the Futures Industry Association (FIA) European board. Currently sits on the Options Industry Council - European board and on the editorial board of the Futures Industry Association Magazine. Gerald periodically appears and speaks in exhibitions, periodicals, TV and Radio, on Bloomberg, CNBC Europe, NDTV and Sky News from Europe, the Middle East to India. He is a director at Interactive Brokers (IB). Interactive Brokers Group with an equity capital of $4.4 billion is a large independent online broker/dealer that operates offices worldwide. IB executes over one million trades per day.
Asymmetric Information, Algorithmic trading, Financial Forecasting and Finance Giles’ research interests are concentrated around areas of finance, financial economics and financial econometrics. He is interested in effects of informational asymmetries on financial markets. Moreover, he works on algorithmic trading and applications of Markov regime switching to high-frequency financial forecasting, both equity and fixed income. In addition, he works in the industry for an investment bank as a quant auditor. Alfonsina Iona, PhD (Naples) Lecturer (Deputy Director) email: a.iona@qmul.ac.uk Corporate Finance Alfonsina’s research in finance focuses on
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models of investment where the effects of capital market imperfections contribute to shape the firm's investment; where corporate investment is affected by the public investment and where capital market imperfections effects may be relaxed by some macroeconomic variables. In this research area she also analyses how corporate governance characteristics affect the firm financing policies and how these affect the firm value.
Sample publications Aiello,F., Iona, A. and Leonida, L. 2010, "Regional Infrastructure and Firm Investment. Theory and Empirical Evidence for Italy." (with F. Aiello and L. Leonida). 2011 Empirical Economics 40, 25-50 “Regional Infrastructure and Firm Investment. Theory and Empirical Evidence for Italy”, Forthcoming in Empirical Economics.
Carriero, A. 2008. “A simple test of the New Keynesian Phillips Curve”, Economics Letters Carriero, A., Favero, C.A., and Kaminska, I., 2006. “Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates”, Journal of Econometrics Fernandes, Marcelo and Rocha, Marco Aurelio dos Santos (2007) Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange, Journal of Financial Econometrics. Amaro de Matos, Joao and Fernandes, Marcelo (2007) Testing the Markov property with high frequency data, Journal of Econometrics Giles, R. 2005. “A point and figure chart approach to UK interest rates”, Journal of Managerial Finance
Battisti, G. and Iona, A. 2009, “The intra-firm diffusion of complementary innovations: evidence from the adoption of management practices by British establishments" Research Policy.
Lazarova, S. 2005. “Testing for Structural Change in Regression with Long Memory Processes”, Journal of Econometrics
Guay, A., Guerre, E. and Lazarová, S. 2009 Adaptive Rate-optimal Detection of Small Autocorrelation Coefficients
Lazarova, S., Trapani, L. and Urga, G. 2008. “Common stochastic trends and aggregation in heterogoeneous panels”, Econometric Theory
Caggiano, G. and Leonida, L. 2008. “International Output Convergence: Evidence from an AutoCorrelation Function Approach”, The Journal of Applied Econometrics
Kartsaklas, A. 2005. “The volume-volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997”, Asian Pacific Financial Markets
Caggiano, G. and Leonida, L. 2007. “A Note on the Empirics of the Neoclassical Growth Model”, Economics Letters Queen Mary, University of London 09
The people
Graduate Profile: Karim Boudjelal Studied: MSc in Investment and Finance Salary bracket: ÂŁ45-50,000 + bonus Why did you choose the Department of Economics at Queen Mary for your postgraduate study? After studying Economics in the University of Toulouse 1, I decided to come to London to study for an MSc in Finance and Investment as I felt it would boost my career prospects. I chose Queen Mary, University of London after much research of UK universities. The Department of Economics at Queen Mary is renowned for its excellent research work. What did you gain from your time at the School of Economics and Finance? I enjoyed a warm welcome from the School staff when I first arrived. In fact, my experience of the programme, teaching 10 MSc Investment and Finance
staff and fellow students was extremely positive from the outset. The mix of revision classes, tutorials, and guest speakers kept up the momentum, and helped me achieve the best results. As a foreigner, I was also very glad of the free English classes offered by Queen Mary. This helped to improve my confidence and language skills. The University is also well-equipped with excellent modern facilities, especially the gym. Everything is done to help you feel at home. What are your career plans in the next five years? I am now living in London and working for one of the leading investment banks in the world, Deutsche Bank. I definitely think that studying for the MSc in Finance and Investment was excellent preparation for the corporate world.
Graduate profile: Damien Regnier Studied: MSc in Investment and Finance – graduated 2007. Currently: Working for JP Morgan Chase (London) on the convertible bonds trading desk as a permanent analyst. During the first year I will focus on the quantitative side of trading, as convertible bonds are pretty complex, then I will go to the trading floor proper. Why did you choose Queen Mary? After my studies in Mathematics in France in a ‘Grande Ecole’ at Masters level, I was looking for a one-year postgraduate degree that would help me to find a job in a big US Investment Bank. Due to my background, an MSc in Finance was the best available choice. The choice for Queen Mary’s MSc Finance and Investment was a no-brainer: it was located in London, ten minutes from the City, it was well balanced between economics subjects like Corporate Finance and technical ones like
Financial Derivatives and last but not least it included some quite ambitious lectures on Behavioural Finance and Empirical Finance – not to mention that the School of Economics and Finance was very well ranked in the UK! What did you gain from your time at Queen Mary? Good facilities, including reasonably priced central London accommodation and the language school, which greatly helped me to enjoy my time in London. I also met some really interesting people during this year, and I still meet up with some of them from time to time as many now work in the City. Lastly, I use the knowledge I gained during my MSc on a daily basis: I think that is the best proof that the programme is well structured! What are your career plans in the next five years? As I have just started I’m still learning... a lot! I will hopefully be able to start trading towards the end of this year... and then well I don’t know, but I’m pretty confident!
Careers Our careers service is run by a team of dedicated and professional staff. We offer advice through drop-in sessions and in-depth interviews, and run an extensive programme of seminars covering topics such as: interview skills; how to deal with psychometric tests; and surviving assessment centres. You will also be able to use our extensive Careers library.
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Graduate employment
Former students have carved out successful careers in a variety of environments including: financial and academic institutions, the civil service and industry. First destinations of our graduates include employment and/or research at: the International Monetary Fund (IMF), CFA, NYSEÂŹEuronext, Mazars Pakistan, JS Bank, South Chine Securities (UK) Ltd, ING Wholesale. Other former students work in the City of London in institutions such as Barclays, HSBC, Ernst&Young.
An international outlook The School at Queen Mary is made up of people from all over the world. In fact, international diversity of both faculty and students is a key ingredient of our success. Female students are also well represented, making up almost 50 per cent of students. The table below shows students’ country of origin by percentage, for the MSc in Investment and Finance.
The table below shows student destinations, by percentage.
Country of origin
Destination
Others 17%
Banking 33%
Event Management 8%
Europe 22%
Middle East 33%
England 9%
Research 4% International Finance 15%
Investment Banking 23%
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Africa 6%
Asia 30%
Alternative MSc programmes
The School runs a number of specialist MSc degree programmes. You can indicate a second choice of programme on your application form. You will be considered for entry on to your second choice should we have reached the maximum number of students on the MSc in Finance and Investment. MSc Banking and Finance This MSc in Banking and Finance offers specialised, practical training in an environment of academic excellence. Students cover a variety of perspectives on how financial markets operate, grounded in economic and financial theory and practice.
On completion of the programme students are expected to have deep knowledge of the financial systems of advanced and transitional economies; to be able to understand how corporations are financed and to be able to analyse financial statements, and finally, to be equipped with appropriate statistical and mathematical tools for high quality research in Finance. For more information: MSc Finance http://www.econ.qmul.ac.uk/postgraduate/ programmes/msc-finance-new
This new, taught MSc programme is ideal for those aiming to pursue careers in the City, private banking sector, financial institutions, and financial regulatory bodies, as well as those already working in these fields. Graduates will be well placed to follow careers in investment management, financial statement, risk and portfolio management. For more information: www.econ.qmul.ac.uk/postgraduate/mscprogrammes/msc-banking-and-finance / MSc Finance This course provides a rigorous training in finance coupled with a strongly vocational approach. As well as offering advanced study in all the key areas of finance, this course has a fully integrated careers programme and extensive industry links that aim to maximise students' employment prospects.
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Alternative MSc programmes (cont)
MSc Finance and Economics MSc Finance and Econometrics These are well-established intensive programmes providing rigorous training in modern economic theory and applications (MSC Economics); advanced study in finance and related areas of economics (MSc Finance and Economics); advanced study in finance and econometrics (MSc Finance Economics). These programmes are ideal for students who aim to train as professional economists in the private sector or government, or follow an academic, or research career. All three programmes include a dissertation component, and are recognised as Research Training degrees by the ESRC under their “1+3� scheme. For more information: MSc Economics www.econ.qmul.ac.uk/postgraduate/mscprogramme/msc-economics MSc Finance and Economics www.econ.qmul.ac.uk/postgraduate/mscprogrammes/msc-finance-and-economics MSc Finance and Econometrics www.econ.qmul.ac.uk/postgraduate/mscprogrammes/msc-finance -and-econometrics
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MSc Law and Finance A new MSc Degree is to be offered jointly by the School of Economics and Finance and the School of Law. The objective is to provide high level inter-disciplinary treatment of the key subject areas within law and finance for advanced academic study and professional training purposes. The Law and Finance programme will follow the LLM format with students taking 10 taught modules and an assigned essay. For more information: MSc Law and Finance www.econ.qmul.ac.uk/postgraduate/ msc-programmes/msc-law-and-finance/ MSc Accounting and Finance The MSc in Accounting and Finance is a new taught MSc programme that offers specialised, practical and theoretical education in an environment of academic excellence. It is designed for students who aim to pursue a career in the financial services industry and professionals who wish to improve their theoretical and practical knowledge of financial markets. For more information: MSc Accounting and Finance http://www.econ.qmul.ac.uk/postgraduate/progr ammes/msc-accounting-and-finance-new
Application procedure
Accommodation
Further Information
In the 2009/10 academic year, all postgraduate Economics students were accommodated in Mile End’s award-winning Student Village, on campus. This should be the case for future years. However, the accommodation office can also help you find private accommodation nearby if you prefer. For more information please see: www.qmul.ac.uk/qmliving/accommodation
The School welcomes informal enquiries about any aspect of its graduate programmes. For further information please contact the postgraduate programme manager:
Entry requirements You should have at least an upper-second class honours degree, or equivalent, normally, but not strictly, in economics. Some background in quantitative subjects is advisable. Students are expected to sit pre-sessional statistics and mathematics examinations following intensive pre-sessional modules in September.
Sarah Riley School of Economics and Finance Queen Mary, University of London Mile End Road London E1 4NS email: s.riley@qmul.ac.uk Tel +44 (0)20 7882 8848 Fax +44 (0)20 8983 3580
Application All candidates should include a full academic transcript (a record of courses taken and grades achieved) and two academic references with their applications. The deadline for applications is mid-July, but courses generally start to fill up by the middle of March each year. The School reserves the right not to process applications which arrive later than July.
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Notes
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