Determine the Annualized Implied Repo Rate on a Treasury Bond

Multiple Choice

Determine the annualized implied repo rate on a Treasury bond spread in which the March is bought at 98.7 and the June is sold at 99.5.The March CF is 1.225 and the June CF is 1.24.The accrued interest as of March 1 is 0.75 and the accrued interest as of June 1 is 1.22.

A) 5.21 percent
B) 10.03 percent
C) 1.28 percent
D) 2.42 percent
E) 0.81 percent