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PST is a file format that is natively generated by Microsoft Outlook and Exchange and it is used to store personal information regarding contacts, messages or addresses.
When users want to backup their PST data or to export the files, they often split these files to smaller ones that can be handled more easily.
One will also have the possibility to compress their PST files so that their attachments take up less computer space.
Needless to say, these actions will not lead to any information loss from the original PST file.