To save scene data in a non-native file format such as OBJ or DXF, you must have a plug-in for that file format loaded.
The mayaAscii and mayaBinary file formats are the only ones that preserve all the information contained within your scene.
Setting the output format for an export using the box will change your default export format for the current and subsequent export operations. If you set the output format
to something other then mayaAscii or mayaBinary and export using that format and then quit without saving the entire file
then you can lose data.
Always check the export type in the export file browser to ensure you are writing the file using the expected file format.
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