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Assume the following information: Spot rate today of Swiss franc = $

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Assume the following information:

Spot rate today of Swiss franc

=

$.60

1-year forward rate as of today for Swiss franc

=

$.63

Expected spot rate 1 year from now

=

$.64

Rate on 1-year deposits denominated in Swiss francs

=

7%

Rate on 1-year deposits denominated in U.S. dollars

=

9%

From the perspective of U.S. investors with $1,000,000, covered interest arbitrage would yield a

rate of return of ____%.

a.

5.00

b.

12.35

c.

15.50

d.

14.13

e.

11.22