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Suppose that an Fl holds two loans with the following characteristics Annual Spread between Loss to FI Loan Rate and FI's Annual Given Loan X

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Suppose that an Fl holds two loans with the following characteristics Annual Spread between Loss to FI Loan Rate and FI's Annual Given Loan X Cost of Funds Fees Default 1 0.45 5.0% 2.25% 30% 2 0.55 3.0 1.75 20 Expected Default Frequency 3.5% 1.0 P12= 0.15 Calculate of the return and risk on the two-asset portfolio using Moody's Analytics Portfolio Manager

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