The first chance means that the program has not yet dealt with it, the first debugger. When you miss this, the application will work with it beautifully, so you will not get errors.
In this particular case, the fact is that XMLSerializer can use assemblies with compiled schema information in them. Therefore, he is trying to load the assembly just in case it exists. If not, this is not a problem, but if that happens, she will use it and it will be faster. When you compile your project in release mode, you often get XMLSerializer assemblies.
You must configure Visual Studio to ignore exceptions (1st case) and only break on the unhandled ones.
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