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An analyst on the fixed-income derivatives desk at an investment bank is examining the method of determining the cheapest-to-deliver US Treasury bond when delivering into a short position in a Treasury bond futures contract. The analyst is focusing on the impact of the level and shape of the yield curve on determining which types of bonds are most likely the cheapest-to-deliver. Which of the following statements most likely to correctly describe the analyst's findings?
A
An upward sloping yield curve favors low-coupon, short-maturity bonds.
B
An environment where bond yields are greater than 6% favors high-coupon, long-maturity bonds.
C
An environment where bond yields are less than 6% favors high-coupon, short-maturity bonds.
D
A downward sloping yield curve favors low-coupon, long-maturity bonds.