You are asked to value a credit default swap on a bond with a $1,000,000 face value. In the event of default, the bond is expected to have a recovery rate of 60%. The probability of default is 10%. You will be purchasing 3 years of protection. The Treasury STRIP rates are as follows:

Maturity STRIP Rate

1 4%

2 6%

3 8%

What is the cost of the credit default swap?