An interest rate swap has two years of remaining life. Payments are exchanged once each year. A fixed interest of 3% (annual rate with annual compounding) is received and a LIBOR floating rate of 12 months is paid. An exchange of payments has just taken place.

The zero-coupon 1-year and 2-year LIBOR rates are 2% and 3% respectively (annual rates with continuous compounding). The annual rates with annual compounding corresponding to these continuously compounded rates are 2.02% and 3.05%.

The annual forward rate with annual compounding for a loan (or a deposit) starting in one year and ending in two years is 4.08%.

What is the value of the swap with a notional of $100 when the OIS and LIBOR rates are the same?