Calculated annual discount rate: 0.0655/2.0714 *100% = 3.16%, which is less than the spread. Through arbitrage, the currency pound with lower interest rate is immediately converted into dollars for investment, and the principal and interest of the dollar investment for one year are sold at the same time. Upon maturity, the principal and interest of the US dollar investment shall be recovered and exchanged according to the forward agreement.

1 * 2.07 14 * ( 1+5.8%)/(2.07 14+0.0655)- 1 * ( 1+2.5%) = 0.000577.