In McCauley’s VoxEU post (first of three), he presents a pictorial depiction of exorbitant privilege:

As McCauley notes:

While the US Treasury downgrade did not drag down US states’ credit ratings, it did drag down the credit ratings of US government-sponsored enterprises that underwrite US home mortgages. On May 19, Moody’s followed up its US Treasury downgrade with a downgrade of its housing wards, Fannie and Freddie, as well as the Federal Home Loan Banks (those lenders of penultimate resort to US banks).