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. (10 marks)

	AAA	AA	A	BBB
Default Frequency	7.50%	6.20%	4.60%	3.30%
Market Value Decline	40%	36%	30%	24%
Total portfolio	$100,000