To identify the cheapest-to-deliver bond, compare the net delivery cost for each bond:

$$\text{Net cost} = \text{Bond price} - (\text{Futures price} \times \text{CF})$$

Using the settlement price of 99.00:

• Bond #1: $75.26 - 99 \times 0.7600 = 75.26 - 75.24 = 0.02$
• Bond #2: $36.18 - 99 \times 0.3600 = 36.18 - 35.64 = 0.54$
• Bond #3: $110.51 - 99 \times 1.1000 = 110.51 - 108.90 = 1.61$
• Bond #4: $129.41 - 99 \times 1.2900 = 129.41 - 127.71 = 1.70$

The smallest net cost is for Bond #1, so it is the cheapest to deliver.

Correct answer: A