March 2020: was there an arbitrage?

On 16 Mar 2020 the Nifty closed at 9,197.40 and the March future (expiring 26 Mar, 10 days) settled at 9,118.45. The repo rate was 5.15% and the Nifty dividend yield 1.66% (NSE). (a) Compute the basis, the implied annualised carry, and the model fair value. (b) A fund already holds the Nifty basket. It sells the basket at the close, buys the March future, and at expiry buys the basket back at the closing index (the final settlement price), so its index exposure is unchanged throughout. Taking STT of 0.1% on each equity leg, interest at 5.15% on the sale proceeds for 10 days and forgone dividends at 1.66% a year, and ignoring other costs, compute the profit in index points and as a percentage. (c) Give three reasons why such trades may not have been done in size in mid-March 2020. (d) Explain why the +0.53% basis on 25 Mar with one day to expiry is not evidence of a 194%-a-year arbitrage.