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The yield curve is upward sloping you have a short t-bond

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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

Reference no: EM13568764

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