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You will need to visit the nation you wish to change to, Then you will need to speak to the immigration NPC:

San d'Oria: Beriphaule (Northern San d'Oria C-9) Bastok: Mythily (Metalworks J-8) Windurst: Rakano-Marukano (Heavens Tower)

There will be a cost involved based on the new nation's current rank in the conquest tally.

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