Loans Industry $1$ Industry $2$

Portfolio Weight $0\mathrm{.}650\mathrm{.}35$

Annual Spread $4\mathrm{.}25\%2\mathrm{.}75\%$

Fees Earned $3\mathrm{.}0\%2\mathrm{.}5\%$

Loss to FI given Default $50\%20\%$

Expected Default Frequency $5\mathrm{.}5\%3\%$

Correlation $0\mathrm{.}30$

Use the table to answer the question. A financial institution has outstanding loans to two industries: Industry $1$ and Industry $2.$ Use Moody's Analytics Portfolio Manager Model to calculate the portfolio standard deviation. $($Round intermediate answers to $4$ decimal places$).$

Group of answer choices