A bunch of things on the internet say to do "-cafile intermediate.pem -cafile 
root.pem" or "-certfile intermediate.pem -certfile root.pem" and they 
explicitly say that calling these command-line options more than once is ok and 
will result in both the certs being included in the final pkcs12...  But I have 
found this to be untrue.

I have found, that if I concatenate intermediate & root into a single glom 
file, and then I specify -certfile once for the glom, then my pfx file will 
include the complete chain.  But if I use -certfile twice, I get no 
intermediate in my pfx.  And I just wasted more time than I care to describe, 
figuring this out.

So...  While concatenation/glom is a viable workaround, I'd like to know, 
what's supposed to work?  And was it a new feature introduced after a certain 
rev or something?   I have OpenSSL 0.9.8y command-line on Mac OSX, and OpenSSL 
1.0.1e command-line on cygwin.  I believe I've seen the same behavior in both.

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