A credit analyst at a bank is asked to estimate the credit VaR (CVaR) for three loans in the bank's credit portfolio. The analyst assembles the following loan information:

| Loan | Maturity (years) | Exposure (SGD) | Loss given default | S&P rating |

|------|------------------|----------------|--------------------|-----------|

| S | 2 | 55,000,000 | 0.8 | BBB |

| T | 3 | 36,000,000 | 0.9 | BB- |

| U | 4 | 50,000,000 | 0.7 | A |

In addition, the annual probability of default (PD) based on loan rating and maturity is provided in the table below:

| Loan maturity (years) | 2 | 3 | 4 |

|-----------------------|--------|--------|--------|

| PD (investment grade) | 1.5% | 2.5% | 3.5% |

| PD (non-investment grade) | 5.0% | 12.0% | 18.0% |

Assuming the 95th percentile of the unrecovered credit loss for the three loans are the same, which of the following is correct about the comparison of the 95% CVaR of the loans?