In the ICAPM, if correlations i N = 0 for all securities i, which also implies that

In the ICAPM, if correlations ρi N = 0 for all securities i, which also implies that ρNM = 0 (where M is the market portfolio), but rN is perfectly negatively correlated with R _f (which is true by definition), the correlations of stocks with the future riskless rate would be zero. What happens to the ICAPM is this special case? What is the beta of security N in this case? Is N related to the zero-beta portfolio of Black in this case? If the market beta βi ,M = 0 but

β_i ,N > 0, is the expected return on the i asset equal to the riskless rate?