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The acceptable Treasury security with the highest implied repo rate; the rate that a seller of a futures contract can earn by buying an issue and then delivering it at the settlement date.

Copyright © 2005, Campbell R. Harvey. All Worldwide Rights Reserved. Do not reproduce without explicit permission.

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Settlement date
Notice Period
Futures price
Futures option

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Cheapest to deliver issue

Treasury security

US Treasury

U.S. Treasury

repo rate

futures contract

settlement date