When market yields are below 6%, bonds with lower duration tend to be relatively cheaper versus the futures conversion-factor adjustment. That makes short-maturity, high-coupon bonds more likely to be the cheapest-to-deliver.

Why:

• Lower yields make bond prices rise above the 6% yield assumption used in the conversion factor.
• Long-maturity and low-coupon bonds are more sensitive to yield changes, so they become relatively more expensive.
• Short-maturity, high-coupon bonds tend to have the smallest disadvantage versus the futures invoice price.

Answer: B