Collateral interest: (0.050 + 0.0350) × $100m = $8.5m
Senior interest: (0.050 + 0.0050) × $85m = $4.7m
Mezzanine interest: (0.050 + 0.050) × $10m = $1.1m

Things to Remember

• Swap Curve: A graphical representation of the relationship between the interest rates and the time to maturity of the debt.
• Tranches: Different classes of securities that are created from the pooling of assets and have different levels of risk and return.
• Principal: The initial amount of money invested or loaned.
• Spread: The difference between the yield on a security and the yield on a benchmark security.
• Interest Amount Calculation: Calculated as the product of the principal amount, the sum of the swap curve rate and the spread rate.