You observe that the current interest rates for 1-year T-strips and 1-year corporate strips are 2.4% and 6.5%, respectively. The rates for their corresponding 2-year strips are 3.2% and 9.8%, respectively. As a bank loan officer, you estimate that you can recover 60% from collateral of a loan in the event of default. What is the marginal default probability of the loan in the second year? A. 20.30% B. 12.31% C. 9.18% D. 14.66%