A US bank invested $100 million in one-year loans in Germany yielding 5%. At the beginning of the year, the spot rate was 1.147 $/. To hedge against the currency risk, the US bank entered into a currency option with a strike rate of 1.135 $/ and paid 1% premium. If the spot rate fell to 1.076 $/ at the end of the year, what was the US banks rate of return?

Select one:

a.

4.27%

b.

5.11%

c.

2.90%

d.

3.53%