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While scalability, routing and performance are core issues for application-level multicast (ALM) protocols, an important but less studied problem is security. In particular, confidentiality (i.e. data secrecy, achieved through data encryption) in ALM protocols is needed. Key management schemes must be simple, scalable, and must not degrade the performance of the ALM protocol. We explore three key management schemes that leverage the underlying overlay to distribute the key(s) and secure ALM. We evaluate their impact on three well-known ALM protocols: ESM, ALMI and NICE. Through analysis and simulations, we show that utilizing the ALM overlay to distribute key(s) is feasible. For a given ALM protocol, choice of the best key management scheme depends on the application needs: minimizing rekeying latency or minimizing data multicasting latency.