A borrower utilized $3m of a credit line of $4m. The bank estimates the firm's probabiity of default at 2%, the usage given default at 75% and recovery rate of 60%. The standard deviation of the probability of default is 15%, and the standard deviation of the loss given default is 20%. What fraction does the unexpected loss represent and how should the bank prepare for the loss? The bank should charge a hietier interest rate from the borrower by 6.6% The bank should set 3.7% anide as capital to absorb this loss The bank should set 6.6% aside as capital to abrorb this loss The bank should set 10.4X aside as capital to absorb this loss