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CMBS/Structure Finance: assuming that during a recession of BBB severity, the typical CRE loan will experience a default frequency of 28% and a loss severity

CMBS/Structure Finance: assuming that during a recession of BBB severity, the typical CRE loan will experience a default frequency of 28% and a loss severity of 37%, what is the minimal amount of subordinated capital will be required to ensure your tranche of capital does not incur any credit losses.

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