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 4%, 3% and 2%. 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?

Select one:

a. 2.66%

b. -2.06%

c. -2.77%

d. 0.00%