There is an accounting firm that has been using puzzles of various types in their ads. Today on the train into work, I saw one of their ads, with a logic puzzle. I am posting the puzzle here and inviting readers to comment with their solutions and reasoning behind the solution. Comments will be screened until at least Wednesday (and maybe as long as Friday).

The Puzzle:

Three supermodels are invited into a swanky and exclusive Fifth Avenue shop. They are shown a shelf upon which are five pashminas - three in deep cerulean and two in saffron. All three are then blindfolded, and one pashmina is draped over each. The remaining two pashminas are returned to the shelf. The models are lined up so that none of them can see the shelf.

The third supermodel's blindfold is removed, and she is asked whether she can tell, by looking only at the other two supermodels, what color pashmina she is wearing. She replies that she cannot.

The second supermodel's blindfold is removed, and she is asked whether she can tell, by looking only at the first supermodel (and, obviously, having heard the third supermodel's reply), what color pashmina she is wearing. She, too, replies that she cannot.

The first supermodel, before her blindfold can be removed, says "I am wearing a ___________ pashmina - may I keep it?".

What color pashmina was the first supermodel wearing, and how do you know?