Table 2: Rating classification for the test portfolios.

RatingPortfolio APortfolio B
Issuers%Issuers%

AAA-0.00%33.75%
AA-0.00%33.75%
A-0.00%2227.50%
BBB15.56%3948.75%
BB1583.33%911.25%
B211.11%33.75%
CCC/C-0.00%11.25%