Actually if are having many exceptions per second, you would achieve must better performance by checking reader.EndOfStream-value.. Printing out those exception messages is unbelievably slow, and hiding them in visual studio won't speed up anything.
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The point of "first-chance" exceptions is that you're seeing them pre-handler so that you can stop on them during debugging at the point of throwing. A "second-chance" exception is one that has no appropriate handler. Sometimes you want to catch "first-chance" exceptions because it's important to see what's happening when it's being thrown, even if someone is catching it.
There's nothing to be concerned with. This is normal behavior.
To avoid seeing the messages, right-click on the output window and uncheck "Show exceptions" (the name may not be exactly that, I don't have VS here right now).
However, seeing them happen might be nice, if you're interested in knowing when exceptions are thrown without setting breakpoints and reconfiguring the debugger.