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?
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Bond
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A
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B
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C
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D
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Quote
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125.69 90.31 87.6 128.56
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Conversion Factor
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1.1979 0.8109 0.8352 1.2249
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A. Bond A
B. Bond B
C. Bond C
D. Bond D