Suppose that a company defaults always happen halfway through a year and that payments on its credit default swap (CDS) are made once a year, at the end of each year. Suppose that the risk-free rate is 4% per annum with continuous compounding, the recovery rate is 30% and the default probability of the company in the CDS is 4% in any year conditional on no earlier default. What is the credit default swap spread in a two-year swap in basis points?

a. 297 b. 280 c. 291 d. 250