Suppose that the risk-free zero curve is flat at 6% per annum with continuous compounding and that defaults can occur three quarters of the way through each year in a five-year credit default swap. Suppose that the recovery rate is 30% and the default probability for the first three years conditional on no earlier default is 2% and the default probability for the remaining two years is 3.5%. What is the credit default swap spread? Assume payments are made annually. Show all tables and workings