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There are four key observations regarding how the magnitude of the credit spread puzzle can vary across countries. Which of the following statements does not correctly identify one of these observations? A. Risk premia are a bigger percentage of the credit spread for countries with higher credit ratings. B. Average sovereign spreads are wider than average ratings-implied expected losses at every letter rating. C. Spreads widen more dramatically for higher credit ratings. D. Both average sovereign spreads and average ratings-implied expected losses widen as credit ratings decline. |