A five-year fixed-rate loan of $ 100 million carries a 7 percent annual interest rate. The borrower is rated BB. Based on hypothetical historical data, the probability distribution given below has been determined for various ratings upgrades, downgrades, status quo, and default possibilities over the next year. Information also is presented reflecting the forward rates of the current Treasury yield curve and the annual credit spreads of the various maturities of BBB bonds over Treasuries. Rating Probability. New Loan Value AAA 0.01% $114.82m 0.31 114.60m A 1.45 114.03m BBB 6.05 ? BB 85.48 108.55m B 5.60 98.43m CCC 0.90 86.82m Default 0.20 54.12m One year t forward Credit Spread curve 1 3.00% 0.72% 2 3.40 0.96 3 3.75 1.16 4 4.00 1.30 What is the mean (expected) value of the loan at the end of year 1? What is the standard deviation of the loan value at the end of year 1