6. Suppose that an FI holds two loans with the following characteristics. Annual Spread between Loss to FI Given Expected Default Loan Rate and FI's Annual Loan X Cost of Funds Fees Default Frequency 4.0% 1 ? 5.5% 1.50% ?% P12 -0.10 2 ? 2.5 1.15 ? 1.5 The return on loan 1 is R = 6.25%, the risk on loan 2 is o = 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, op, using Moody's Analytics Portfolio Manager. 6. Suppose that an FI holds two loans with the following characteristics. Annual Spread between Loss to FI Given Expected Default Loan Rate and FI's Annual Loan X Cost of Funds Fees Default Frequency 4.0% 1 ? 5.5% 1.50% ?% P12 -0.10 2 ? 2.5 1.15 ? 1.5 The return on loan 1 is R = 6.25%, the risk on loan 2 is o = 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, op, using Moody's Analytics Portfolio Manager