3. Covered interest arbitrage 1. 2 . 3. 4. 5 . STEP: 4 of 5 Suppose you observe that 90-day interest rate across the eurozone is 5%, while the interest rate in the U.S. over the same time period is 1%. Further, the spot rate and the 90-day forward rate on the euro are both $1.60. You have $800,000 that you wish to use in order to engage in covered interest arbitrage. After 90-days in the bank, you withdraw your 525,000 euros from the bank in the eurozone, and exchange them for dollars in order to fulfill the forward contract, receiving $ . This represents a profit of $| over your initial $800,000