13. Suppose that an FI holds two loans with the following characteristics. Loan 1 2 X 0.45 0.55 Annual Spread between Loan Rate and FI's Cost of Funds 5.5% 3.5 Annual Fees 2.25% 1.75 Loss to FI Expected Default Frequency Given Default 30% 20 3.5% 1.0 P12 = -0.15 Calculate the return and risk on the two-asset portfolio using Moody's Analytics Portfolio Manager.

13. Suppose that an FI holds two loans with the following characteristics. Calculate the return and risk on the two-asset portfolio using Moody's Analytics Portfolio Manager