You live in a world with three securities A, B, and C. You are provided with the following risk-return profile for the risky securities. Additionally, the correlation between securities A and B is 0.0 , between securities A and C is -1.0 , and between securities B and C is 0.0 . The statistics represent the annualised expected return, annualized standard deviation and annualized correlations. What is the implied one-year spot rate if no arbitrage opportunities exist? 1.12 8.11 3.77 3.00 0.92