Determine the annualized implied repo rate on a treasury, Financial Management

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Determine the annualized implied repo rate on a treasury

Determine the annualized implied repo rate on a Treasury bond spread in which the March is bought at 60 and the June is sold at 61.5. The March CF is 1.1 and the June CF is 1.14. The accrued interest as of March 1 is 1.15 and the accrued interest as of June 1 is 1.3. (due to calculator precision, pick the closest answer) 21% 23% 28% 35% 31%

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Financial Management: Determine the annualized implied repo rate on a treasury

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