Due to adding together the various categories of debt, this is fairly tricky to interpret. Countries with large private-sector corporations and advanced financial sectors (like the U.S. and Western Europe) generally have more corporate debt, because leveraging up is almost ubiquitous--- even conservative companies often use leverage, they just don't do it to as high a multiple. Meanwhile, in countries with a lot of mom-and-pop businesses and small or heavily regulated finance sectors, business debt is quite low. The bottom three on the financial-sector debt, for example, are Russia, India, and China, three countries in which the financial sector is heavily state-controlled.

Not that that necessarily makes the debt good or ok, but to a large extent it seems it just correlates with "has a non-government-controlled financial sector".