a) You are trying to raise $100m via securitisation of a mortgage portfolio. A benchmark loan is $800k, Loan-to- Value Ratio (LVR) is 80%, and default costs are combined $40k. You are planning a simple structure with AAA, AA, A and Equity tranches. The assumptions used by rating agencies are below. Based on the information provided, create a structure for this transaction and illustrate your calculations. [8 marks] AAA AA A BBB 7.50% 6.20% 4.60% 3.30% Default Frequency MarketValue Decline 40% 36% 30% 24% b) What are the key types of credit enhancements involved in securitisation? [2 marks a) You are trying to raise $100m via securitisation of a mortgage portfolio. A benchmark loan is $800k, Loan-to- Value Ratio (LVR) is 80%, and default costs are combined $40k. You are planning a simple structure with AAA, AA, A and Equity tranches. The assumptions used by rating agencies are below. Based on the information provided, create a structure for this transaction and illustrate your calculations. [8 marks] AAA AA A BBB 7.50% 6.20% 4.60% 3.30% Default Frequency MarketValue Decline 40% 36% 30% 24% b) What are the key types of credit enhancements involved in securitisation? [2 marks