Yen Bank Wishes to Invest in Yen Loans at a Rate

Yen Bank wishes to invest in Yen loans at a rate of 10 percent. The bank will fund the loans in the domestic GIC market at a rate of 6.3 percent. This on-balance-sheet FX risk will be hedged in the spot market at a forward rate of $0.62/¥. The spot rate on yen is $0.60/¥. What must be the spot exchange rate to eliminate the preference for the yen loans if the forward rate remains $0.62/¥?

A) $0.6416/¥.
B) $0.5798/¥.
C) $0.6118/¥.
D) $0.5991/¥.
E) Insufficient information.