Interest rate parity) The spot exchange rate for the Canadi

an dollar on January 6, 2014 was

1.0671 C$/US$, while 3-month Eurorates on that day (bid-ask ave

rage) were quoted at 1.14% per

annum and 0.26% per annum for the Canadian and U.S. dollars, re

spectively (bid-ask averages).

Taking "3 months" to mean 90 days, and remembering the conventi

ons for quoting Eurorates, what

must the 3-month forward rate be to preclude profitable arbitra

ge opportunities?