We want to find the credit spread for a 3-year CDS where payments are made annually and default, if it occurs, occurs mid year. The probability of a reference entity defaulting during any given year (conditional on no default during previous years) is 3%. The risk-free rate (LIBOR) is 1% per year, continuously compounded. The recovery rate is R= 27%. What is the CDS spread? Use the CDS template. Please report your answer in percent 3.45% would be 3.45%.

We waint to find the cedt spiesd for a 3 year co5 where pbyments are made annualy and destal if it occurs, cecurs mid-yea, The probabuly of a reference ently cebauting dumng any gren jewr Pleste report your anwer in percent 345% would be 3.45 Hortidr Heipatise