The word covered means the currency risk is hedged with a fx-forward at the outset, so the profit is known at trade time. Because the trade is riskless in principle, competition normally removes the opportunity and enforces interest-rate-parity.
Since 2008, capital rules have made large balance-sheet arbitrage expensive for banks, so small deviations persist and are visible as the cross-currency-basis. They are not free money; they consume balance sheet and credit lines.
Example: forward EUR/USD prints 1.0650 when parity implies 1.0634. Borrowing $10,000,000 at 5%, converting at 1.0840, investing at 3%, and selling euros forward at 1.0650 returns about $15,000 more than the $500,000 interest cost.
Related: interest-rate-parity, cross-currency-basis, fx-forward, triangular-arbitrage