Assume the Following Information: Spot Rate Today of Swiss Franc

Multiple Choice

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 ____ percent.

A) 5.00
B) 12.35
C) 15.50
D) 14.13
E) 11.22