3I0-012 Question #436: Real Exam Question with Answer & Explanation

The correct answer is B. 1.39%. See the full explanation below for the reasoning.

Question

From the following CAD rates: 1M (31-day) CAD deposit 0.95% 1x2 CAD (30-day) FRA 1.21% 2x3 CAD (31-day) FRA 2.01% Calculate the 3-month implied cash rate.

Options

A1.42%
B1.39%
C2.01%
D4.21%

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