Suppose that an Fl holds two loans with the following characteristics. Annual Spread between Loan Rate and Fl's Cost of Funds 4.0% 25 Loss to FI Given Default Loan X 1 ? 2 ? Annual Fees 1.50% 1.15 Expected Default Frequency 4.0% 15 7 2 P-0.10 The return on loan 1 is R1 -6.25%, the risk on loan 2 is 02- 1.8233%, and the return of the portfolio is R - 4.555%. Calculate of the loss given default on loans 1 and 2, the proportions of loans 1 and 2 in the portfolio. and the risk of the portfolio, Os, using Moody's Analytics Portfolio Manager