Citi Bank uses Moodys Analytics Portfolio Manager to evaluate the risk-return characteristics of the loans in its portfolio. A specific $10 million loan earns 2% per year in fees and the loan interest rate has a 4% spread over the banks cost of funds. Because of collateral considerations, the loss to the bank if the borrower defaults will be 20% of the loans face value. The expected probability of default is 3%. What is the expected return on this loan? What is the risk of the loan?