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The correct answer is option 3, Visakhapatnam.
Exercise Malabar is a series of military exercises conducted between the Indian Navy, the United States Navy, and the Japanese Maritime Self-Defense Force. It is aimed at enhancing interoperability and cooperation between the navies of the three countries.
The exercise is usually conducted in multiple phases, with each phase taking place in different locations. In this case, the first phase of Exercise Malabar 2020 was conducted in Visakhapatnam. Visakhapatnam is a major port city in the state of Andhra Pradesh, India. It is known for its naval base, INS Virat, and serves as an important hub for the Indian Navy.
While options 1, 2, and 4, namely Port Blair, Mumbai, and Kochi, are all significant naval bases in India, they were not the location for the first phase of Exercise Malabar 2020. Therefore, the correct answer is option 3, Visakhapatnam.