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Question 14 (4 points) A CMBS rating agency calculates that in a severe recession, the probability of loss of commercial mortgages is 60% and the

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Question 14 (4 points) A CMBS rating agency calculates that in a severe recession, the probability of loss of commercial mortgages is 60% and the severity of loss is 50%. The agency determines that a CMBS tranche can be rated AAA if it meets the required subordination level for this scenario. What is the required subordination level? 30% 55% 60% 83.3%

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