a) You are trying to raise $800m via securitisation of a mortgage portfolio. A benchmark loan is $800k, Loan-to-Value Ratio (LVR) is 75%, and default costs are combined $30k. 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] b) What were the key reasons securitisation failed during the GFC in the US? [2 marks]