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the question is:

Helman Bank has made a loan of USD 300m @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 MtM value of the loan, and in exchange Helman will receive LIBOR + 50 bp. Settlement payments are made semi-annually. What is the cash flow for Helman on the first settlement date if the MtM value of the loan falls by 2% and LIBOR is 4%.

a) Net inflow of USD 9.0m

b) Net inflow of USD 12m

c) Net outflow of USD 9.0m

d) Net outflow of 12m

The answer gives "C: Net outflow of 9.0m". However is there a typo in the question? Should it read that the MtM value of the loan

Helman Bank has made a loan of USD 300m @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 MtM value of the loan, and in exchange Helman will receive LIBOR + 50 bp. Settlement payments are made semi-annually. What is the cash flow for Helman on the first settlement date if the MtM value of the loan falls by 2% and LIBOR is 4%.

a) Net inflow of USD 9.0m

b) Net inflow of USD 12m

c) Net outflow of USD 9.0m

d) Net outflow of 12m

The answer gives "C: Net outflow of 9.0m". However is there a typo in the question? Should it read that the MtM value of the loan

**increases**by 2% in order to arrive at this figure?
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