An interest rate swap has three years of remaining life. Payments are exchanged annually. A fixed 2.7% rate is paid and a 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 2.37%, 2.11%, and 2.58%. The one-year, two years and three-year OIS rates are 1.2%, 1.48%, and 1.07%. What is the value of the swap as a percentage of the principal? All rates are annually compounded, so use annual discounting. Answer: -0.37

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