(20 pts) Suppose that an FI holds two loans with the following characteristics. Annual Spread between Loan Rate and FI's Loss to FI Expected Loan 1 Xi Cost of Funds ? 2 ? 4.5% 3.0 Annual Given Default Fees Default Frequency 1.50% ?% 4.5% P12 -0.10 1.15 ? 2.0 The return on loan 1 is R = 6.45%, the risk on loan 2 is 2 = 1.9233%, and the return of the portfolio is Rp = 4.665%. 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.