Now assume that there is a credit default swap (CDS) on this bond. Anytime (at either t=1 or t=2), if firm ABC still survives at that time, the protection buyer has to pay a CDS fee s (which is also called CDS spread), and the protection seller pays nothing. Also, assume that there is no CDS fee payment at t=0. But anytime (at either t=1 or t=2), if firm ABC defaults at that time, the protection seller has to pay the present value (at that time) of bond's loss due to default (and no more), and the protection buyer pays nothing. What is the fair value of CDS spread s now (at t=0)? (Recall from class that the ac- tual dollar payment of the CDS fee is sF, where F = $1 mil USD is the face value of the bond)