The current interest rates for 1-year T-strips and 1-year B-rated corporate strips are 3% and 6%, respectively. The rates for their 2-year strips are 6% and 10%, respectively. If the recovery rate is 40% for the bank, what is the marginal default probability on a B-rated loan in year 2? O A. 4.72% B. 7.39% C. 4.43% D. 7.13%

The current interest rates for 1-year T-strips and 1-year B-rated corporate strips are 3% and 6%, respectively. The rates for their 2 -year strips are 6% and 10%, respectively. If the recovery rate is 40% for the bank, what is the marginal default probability on a B-rated loan in year 2 ? A. 4.72% B. 7.39% C. 4.43% D. 7.13%