Consider a 5-year credit default swap with annual payments and a notional principal of $90,000,000. Assume that defaults can happen only halfway through each year. The hazard rate is 3% with continuous compounding and the recovery rate is 30%. The risk-free rate is 4% with continuous compounding, for all maturities.

A) What is the present value of expected payments, expressed as a multiple of the CDS spread?

B) What is the present value of the expected payoff (per dollar of notional principal)?

C) What is the present value of the accrual payment, expressed as a multiple of the CDS spread?

D) What is the fixed annual CDS payment (in $)?

E) What is the value of the swap to the protection buyer if the credit default swap spread is 180 basis points instead (in $)?