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　　2.      EXAMPLE 23.9: FRM EXAM 2008-QUESTION 3-31
　　Helman Bank has made a loan of USD 300 million at 6.5% per annum. Helman enters into a total return swap under which it will pay the interest on the loan plus the change in the marked-to-market value of the loan, and in exchange Helman will receive LIBOR+50 bps. Settlement payments are made semiannually. What is the cash flow for Helman on the first settlement date if the mark-to-market value of the loan falls by 2% and LIBOR is 4%?
　　A.     Net inflow of USD 9.0 million
　　B.     Net inflow of USD 12.0 million
　　C.     Net outflow of USD 9.0 million
　　D.     Net outflow of USD 12.0 million
　　答案選擇Net cash outflow 9M, 我認(rèn)為答案錯(cuò)誤，此題無(wú)答案。因?yàn)門RS中，marked to market price of loan drop 2%，所以流出現(xiàn)金流應(yīng)該是貸款利率(6.5%/2-2%)，而不是解答中的+2%。書中例題對(duì)價(jià)格減少也是“-”處理，不是“+”，所以我認(rèn)為解答是錯(cuò)誤的。
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