9. Consider the following 100 mn CDO structure with the coupon rate to be offered at the time of issuing as shown. Tranche Par Value Coupon Rate Senior 60,000,000 LIBOR +50 basis points Mezzanine 30,000,000 Treasury Rate +200 basis points Subordinate/Equity 10,000,000 None Assumptions The collateral consists of bonds that mature in 10 years The coupon rate for every bond is the 10 years Treasury rate plus 500 basis points . The collateral manager enters into an interest rate swap agreement with another party with notional amount of 60 mn In the interest rate swap the collateral manager agrees to pay a fixed rate each year equal to a 10 year Treasury Rate plus 100 basis points and receive LIBOR