On March 16, the June T-bond futures contract was priced at 100 17/32 and the September contract was at 99 17/32. Determine the implied repo rate on the spread.
Assume the cheapest bond to deliver on both contracts is the 11 1/4 maturing in 28 years and currently priced at 140 21/32. The CF for delivery in June was 1.3593, and the CF for delivery in September was 1.3581.
Delivery is on the first of the month, and the coupons are paid on February 15 and August 15. The accrued interest is 3.29 on June 1 and 6.16 on September 1.