While the lending rates (for stressed countries) reflect credit risk, borrowers’ credit risk is in part endogenous.
High lending rates contribute to higher loan delinquencies, which in turn increase the need for banks to make provisions on past legacy loans by increasing lending rates; so, ex post, higher delinquencies justify high lending rates, and there is a mutually reinforcing spiral of high lending rates, high credit risk and poor macroeconomic conditions. The TLTROs are designed to contribute to breaking this spiral.