An interest rate swap has three years of remaining life. Payments are exchanged annually. Interest at 4% is paid and 12-month LIBOR is received. An exchange of payments has just taken place. The one-year, two-year and three-year LIBOR/swap zero rates are 3.5%, 4%, and 4.5%. 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