Consider a CDO with $50 million in collateral assets yielding Libor plus 200 bps. The CDO is structured as follows: (10y UST is the rate on the 10y US treasury.)

Tranche	Par Value ($)	Coupon Rate
Senior	35 million	L + 70 bps
Mezzanine	10 million	10y UST + 125 bps
Equity	5 million

Lets say that the CDO manager hedges some risk by doing an interest-rate swap where the SPV receives 10Y UST + 40 bps and pays LIBOR on $ 10 million. Further, lets say LIBOR is 2%, and 10y UST = 3% Also, lets say the management fees are 200,000. What is the payoff for each tranche? Whats the percentage return for the equity tranche?