Figure 1 Simple, typical CDO Tranche Structure Tranche Percent of capital structure Rating Coupon Class A 77.50 AAA LIBOR + 26 Class B 9.00 A LIBOR + 75 Class C 2.75 BBB LIBOR + 180 Class D 2.75 BB LIBOR + 475 Preferred shares 8.00 NR Residual cash flow