1: implied forward interest rate: due to the low interest rate of short-term treasury bonds, the 45-day short-term treasury bonds are less than 135 days, so there are still 90 days between the maturity date of the 45-day short-term treasury bonds and 135 days. During this period, the implied actual income of the Fund is implied forward interest rate.

2: 135 days of national debt income minus 45 days of national debt income, divided by the 90-day interval, is the implied forward interest rate for the period:

( 135* 10.5-45* 10)/90= 10.75%

3. Because the forward interest rate implied by short-term treasury bonds is higher than that implied by short-term treasury bonds futures by 10.75%, the following arbitrage operations can be taken:

The implied interest rate of treasury bonds futures with a selling period of 45 days and delivery after 90 days is 10.6%, which is the cost.

Short-term treasury bonds with a maturity of 135 days will become short-term treasury bonds with a maturity of 45 days after 90 days, and the implied income of 10.75% will be obtained by buying them.

The difference is the net income.