Which of t-bonds will be delivered

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Trader Z holds short one T - Bond futures with delivery month DEC. It is now The 6th trading day in DEC and Z decides to deliver against her short position.

The DEC T-Bond futures settlement price was 101 - 12 yesterday.

Z considers the delivery of one of the following four deliverable T-Bonds:

Bond 

Market price

Conversion Factor

A

125-05

1.2131

B

142-15

1.3792

C

115-31

1.1149

D

144-02

1.4026.

Which of these T-Bonds will be delivered and why. Show all your calculations.

Reference no: EM133062515

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