On the settlement date of May 14, 2007, Dealer X wanted to finance a $10 million par amount of a 6.375%, August 15, 2027, Treasury bond overnight (i.e., for a day). The clean price of the bond was 118.842. The prevailing overnight repo rate was 6% (annualized). At what price should the lender of cash sell the bond on May 15, 2007, so as to earn a repo rate of 6%?

On the settlement date of May 14,2007 , Dealer X wanted to finance a $10 million par amount of a 6.375%. August 15,2027 , Treasury bond overnight (i.e., for a day). The clean price of the bond was 118.842 . The prevailing overnight repo rate was 6% (annualized). At what price should the lender of cash sell the bond on May 15,2007 , so as to earn a repo rate of 6%