Patriot Bank looks for opportunities to do arbitrage in the foreign currency market. It undertakes arbitrage transactions in British Pound (GBP) using a sum of $1 million. Assume that annual interest rates are 8.7 per cent in Australia and 4.7 per cent in the UK. The bank can borrow or lend at these rates. The spot rate is $0.65/GBP1. What is the expected spread, if the forward rate is $0.69/GBP1? a. 3.1760% b. 1.4658% c. None of the options is correct d. 2.4431% e. 2.0766%