John h a portfolio manager is shorting a us treasury bond

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John H., a portfolio manager, is shorting a U.S. Treasury bond futures contract and has decided to deliver. The quoted futures price is USD 95.5. Among the four deliverable bonds, which is the cheapest-to-deliver?

Bond

A

B

C

D

Quote

125.69 90.31 87.6 128.56

Conversion Factor

1.1979 0.8109 0.8352 1.2249

A. Bond A

B. Bond B

C. Bond C

D. Bond D

Reference no: EM13568841

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