Consider now that party A wishes to get covered from a potential loss of the face value () of an asset in case of a credit event. Hence, party A decides to purchase today (0 = 0) some protection from party B that lasts until some specified maturity date . To pay for this protection, party A makes a regular stream of payments to party B. The size of these payments is a fixed percentage of the face value of the asset being insured and it is based on the yearly contractual spread 1, which represents the percentage used to determine the payments amount over one year. The payments are made every 3 months until maturity of the contract or until a credit event occurs, whichever occurs first. Assume that the credit event occurs as the first event of a Poisson counting process2 and hence default time is exponentially distributed with parameter . Denote the short rate with . The aim is to value the premium leg, i.e. to write a mathematical expression for this stream of payments taking into account both the appropriate discounting and the probabilities of default