Suppose that the risk-free zero curve is flat at 3.5% per annum with continuous compounding and that defaults can occur a quarter of the way through each year in a three-year credit default swap. Suppose that the recovery rate is 28% and the default probability for the first-year conditional on no earlier default is 3.5% and the default probability for the remaining two years is 4.5%. What is the credit default swap spread? Assume payments are made annually. Show all tables and workings.