Consider the following US$80 million CDO: Tranche Par Value (US$) Coupon Rate Senior 50,000,000 LIBOR + 150 bps Mezzanine 20,000,000 Equity 10,000,000 Assume the collateral consists of bonds that all mature in 10 years. The coupon rate on the collateral is the 10-year US Treasury rate + 500 bps. The asset manager enters into an interest rate swap with a notional amount of US$50 million. The asset manager agrees to: 1. pay a fixed rate each year equal to the 10-year Treasury rate + 100 bps to the swap counterparty and 2. receive LIBOR. The asset management fees are $500,000. The 10 year Treasury yield is 3% If the rate of return on the equity tranche is 15%, calculate the rate of return (coupon rate) on the mezzanine tranche. O 7.50% 8.25% O 9.00% O 10.50%