The yield curve is upward sloping. You have a short T-bond futures position. The following bonds are eligible for delivery:
|
Bond
|
A
|
B
|
C
|
|
Spot price
|
102-14/32
|
106-19/32
|
98-12/32
|
|
Coupon
|
4%
|
5%
|
3%
|
|
Conversion factor
|
0.98
|
1.03
|
0.952
|
The futures price is 103-17/32 and the maturity date of the contract is September 1. The bonds pay their coupon semiannually on June 30 and December 31. The cheapest to deliver bond is:
A. Bond A
B. Bond B
C. Bond C
D. Insufficient information