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      "text": "1. CORPORATES: Utilize Moody's historical recession era bond default rates and recovery rates. Deep recession applies two-year cumulative defaults experienced during both 2008 and 2009. 2. CLO: Based on Moody's historical recession era speculative grade default rates, while remaining more conservative compared to history. 3. ABS: Based on shocks to cash flows, default probabilities and collateral recoveries, among other factors. Customized for each sub-sector and typically more conservative than GFC experience. 4. NON-AGENCY RMBS: Full model re-generation of each security's cash flows using Housing Price Index/unemployment values observed during historical recessions. 5. COMMERCIAL MORTGAGE LOANS ('CML'): Simulating defaults and severities based on rent growth and cap rates observed during 2008. 6. ALTERNATIVES: Loss estimated by shocking spreads to extremely wide levels observed during peak crises; Strategic alternatives modeled individually from the bottom up",
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