An interest rate swap has three years of remaining life. Payments are exchanged annually. Interest at $3\%$ is paid and $12-$month LIBOR is received. A exchange of payments has just taken place. The one$-$year, two$-$year and three$-$year LIBOR$/$swap zero rates are $2\%,3\%$ and $4\%.$ All rates an annually compounded. What is the value of the swap as a percentage of the principal when OIS and LIBOR rates are the same?

$0\mathrm{.}00$

$2\mathrm{.}66$

$2\mathrm{.}06$

$1\mathrm{.}06$