Capital Management Corp. is a depository institution that must maintain a Tier 1 capital ratio of 8%. It is considering using its US$ 10 billion in T1 capital to lend through 4 different types of loan portfolios. Its cost of funding is 1.50%. AAA-rated loans with a 20% risk weight, a 2.00% interest rate, and a 0.05% expected loss rate A-rated loans with a 50% risk weight, a 2.50% interest rate, and a 0.10% expected loss rate BBB-rated loans with a 100% risk weight, a 4.50% interest rate, and a 0.50% expected loss rate B-rated loans with a 150% risk weight, a 7.25% interest rate, and a 4.00% expected loss rate . . Which portfolio has the highest expected return on regulatory capital? Assume they use their entire T1 capital to lend only to the one segment. (Note: all rates are stated p.a.) O A AAA-rated loan portfolio OB. A-rated loan portfolio O G BBB-rated loan portfolio ODH-rated loan portfolio