10 Consider a one-year credit default swap (CDS) written on $100 million worth of bonds issued by XYZ Corp (i.e., the reference entity). Assume that default can only occur at year-end and that premiums are paid at the beginning of the year. Also assume that the probability of default is 2.5% p.a. and the recovery rate on default is 60%. The one-year risk free rate is 4% p.a., continuously compounded (c.c.). The 'fair' price of this one-year CDS is closest to Select one alternative: O 77.64 bps O 144.12 bps 116.45 bps 96.08 bps