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Imagine that you can borrow or lend at a risk-free rate of 3.00% in the US, and you can borrow or lend at a risk-free

Imagine that you can borrow or lend at a risk-free rate of 3.00% in the US, and you can borrow or lend at a risk-free rate of 4.25% in Europe. You have $1 million to invest for one-year. The exchange rate is: 1.0000 USD = 0.9562 EUR.

What would the one-year futures contract FX rate have to be (approximate out to 4 decimals) to eliminate the arbitrage opportunity?

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