2. Suppose that an FI holds two loans with the following characteristics. Loan 1 2 Annual Spread Between Loan Rate and FI-s Cost of Funds 4.5% 3.5% X .6 .4 Annual Fees 2.5% 2% Loss to FI Expected Given Default Default Frequency 30% 3% 20% 5% 212=-4 Calculate of the return and risk on the two-asset portfolio using KMV Portfolio Manager