Q.3680 Five years ago, American Banking Group approved a loan to Hazard Corp. with a total commitment of USD 120 million. Today, the outstanding balance of the loan is USD 80 million. The credit risk department provided the following details with regard to the riskiness of the loan:

• The standard deviation of the probability of default and the loss rate are 14 percent and 15 percent, respectively
• The probability of default over the next year is 2%
• The loss rate if the customer defaults is 25 percent

What is the unexpected loss for this loan today?