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Split PDF Documents, Merge PDF Documents and extract or delete pages from them.  Free PDF Splitter Merger

Bookmarks in merged documents

You can also specify to add bookmarks in the merged Pdf document file, that point to the beginning of each document that was merged.

You can either use as a bookmark description the filenames, or the file paths, or the documents or use descriptions from an external list file (that contains one description per each line).