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% with continuous compounding. What is the value of the swap as a percentage of the principal when LIBOR discounting is used assuming that the principal is $100?

A.1.00%

B.1.05%

C. 0.00%

D.2.88%