A Hedge Fund needs money to invest in a Bond that is offered at a very attractive price. The Fund is long in Treasury Bills. Its manager is planning to do a REPO to borrow the funds using part of the Treasury Bills as collateral. 1M Repo Rates (31 days) are trading with a BID/ASK spread of 4.50 % / 4.60%. If the manager goes ahead with the REPO, the final details will be: The Reference Price for the Treasury Bills is 95.55

He will Buy T-Bills at 95.55 on the spot value and Sell them at 95.9285 in 1M

He will Buy T-Bills at 95.55 on the spot value and Sell them at 95.9203 in 1M

He will Sell T-Bills at 95.55 on the spot value and Buy them at 95.9203 in 1M

He will Sell T-Bills at 95.55 on the spot value and Buy them at 95.9285 in 1M