15. Suppose that an FI holds two loans with the following characteristics. Loan 1 2 X ? ? Annual Spread between Loan Rate and FI's Cost of Funds 4.0% 2.5 Annual Fees 1.50% 1.15 Loss to FI Given Default ?% ? Expected Default Frequency 4.0% 1.5 P12 = -0.10 page 347 The return on loan 1 is R = 6.25%, the risk on loan 2 is 02 1.8233%, and the return of the portfolio is R = 4.555%. Calculate of the loss given default on loans 1 and 2, the proportions of loans 1 and 2 in the portfolio, and the risk of the portfolio, o, using Moody's Analytics Portfolio Manager.

15. Suppose that an FI holds two loans with the following characteristics. The return on loan 1 is R1=6.25%, the risk on loan 2 is 2 =1.8233%, and the return of the portfolio is Rp=4.555%. Calculate of the loss given default on loans 1 and 2 , the proportions of loans 1 and 2 in the portfolio, and the risk of the portfolio, p, using Moody's Analytics Portfolio Manager