半年交割一次，但是贷款是一年才付息啊，那半年的时候理论上贷款的利息应该是应收，但没有到账

问题如下：

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 basis points. 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%?

选项：

Net inflow of USD 9.0 million

Net inflow of USD 12.0 million

Net inflow of USD 3.0 million

Net outflow of USD 12.0 million

解释：

ANSWER: C

Note that this is a semiannual payment; hence all annual coupon rates must be divided by 2. Helman pays $300{(6.5\%/2-2\%)}$. In return, it gets $300{(4.5\%/2)}$. The net cash flow is $300\times\left(3.25\%-2.25\%\right)=300\times1\%=3million$