Calculate the term structure of default probabilities (i.e. default probabilities for each maturity) over three years using the following spot rates from the Treasury and corporate bond spot rate curves. Be sure to calculate both the annual marginal and the cumulative default probabilities. Assume a recovery rate of 0 in all cases of default. Also assume periodicity of 1 (i.e. annual compounding) for all rates.

TreasuryBondsBBBratedBondsSpot1year5.0%7.0%Spot2year6.1%8.2%Spot3year7.0%9.3%