U.S. Treasury futures are contractual obligations to either buy (take delivery of) or sell (make delivery of) U.S. Treasury bonds or notes. Though most contracts are offset prior to contract expiration, the delivery process exerts significant influence on the prices at which Treasury futures contracts trade. This booklet describes the rules and procedures that govern the Treasury futures delivery process. It is intended as an introduction for those who wish to better understand the mechanics of delivery and how delivery can affect pricing of Treasury futures.
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