A US Fl 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 FI's rate of return? Select one: a. 5.11% b. 3.90% c. 10.93% d. 2.90% e. 5.90%