A US FI 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 FI 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 FIs rate of return?

Select one:

a. 5.11%

b. 3.90%

c. 10.93%

d. 5.90%

e. 2.90%