Consider a CDS with a life of 5 years. Assume that the hazard rate of the reference entity is 3% per annum for the whole of the 5-year life of the CDS and the risk-free rate is 4% per annum with continuously compounding for all maturities. Assume that the defaults always happen at the end of the third quarter of a year and that payments on the CDS are made once a year at the end of each year. The recovery rate is 60%. Calculate the fair value of the CDS spread. Show all works