You have the option to enter into a five-year credit default swap at the end of one

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You have the option to enter into a five-year credit default swap at the end of one year for a swap spread of 100 basis points. The principal is $100 million. Payments are made on the swap semiannually. The forward swap spread for the period between year 1 and year 6 is 90 basis points, and the volatility of the forward swap spread is 15%, LIBOR is flat at 5% (continously compounded). The risk-neutral probability of a default by the reference entity during the first year is

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