This study presents the first examination of the value associated with long-term U.S. Treasury bonds related to their delivery eligibility in the Treasury bond futures market. The opportunity for study has recently become possible given the reduced maturity of Treasury's noncallable bonds in the market. Consistent with rational behavior, deliverable bonds are found to be more valuable than otherwise comparable, ineligible bonds, and the estimated premia are larger than those previously documented for deliverable bills. However, although detectable and statistically significant, the deliverability component of a cash bond's value is somewhat modest in economic terms; some policy implications of this result are discussed.
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