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I was looking at a proof of loss form, and below my signature there is a section for another affiant's signature which reads:

Declared severally before me at ______________________

From examples all over the web, affiants write only the name of the location (ex: “Boston” or “Boston, MA”).

Can someone please explain why how this is grammatically correct?

To me, it makes more sense for it to read “declared severally before me at the city of Boston”, or “declared severally before me in Boston”?

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It's acceptable legalese. Legal writing uses many conventions not commonly used in day-to-day writing. This same usage of at is applied in legal descriptions of real estate as well, often describing a property as being at a city or at a county rather than in it. Legal jargon has evolved expressly for legal purposes, so ex curia, it is often not standard fare. However, to be fair, such linguistic oddities are not exclusive to the field of law and its jargon. It is quite usual for an industry or a field to have special words and grammar that is understood by its members and a few others in the know but not by lay persons. Such is the nature of jargon: to create or bend language in order to widely meet specialized needs.

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    +1 With the law such non-standard uses often represent much earlier uses which have been retained because the need for "backward compatibiity" with prior forms and precedents is of critical importance. – StoneyB on hiatus Jan 4 '16 at 18:18

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