Modify the data on theC

D

S

p

r

i

c

i

n

g

CDSpricing

worksheet in the workbookb

o

n

d

s

_

a

n

d

_

c

d

s

.

x

l

s

x

bonds_and_cds.xlsx

to compute a par spread in basis points for a 5yr CDS with notional principalN

=

10

N=10

million assuming that the expected recovery rateR

=

25

%

R=25%

, the 3-month hazard rate is a flat1

%

1%

, and the interest rate is5

%

5%

per annum.Submission Guideline:Give your answer inbasis pointsrounded to two decimal places (1 bps = 0.01%). For example, if you compute the answer to be 73.2367 bps, submit 73.24.

1 point