Abstract: The paper discussed in detail the choices of the Cheapest-to-deliver(CTD) and delivery losses of various deliverable bonds.Using the real market data of U.S.Treasury-bond futures,empirical research and simulation analysis were conducted.The results indicate that various deliverable bonds have dramatic delivery loss and the CTD plays core role by connecting the real delivery,exchange with pricing of futures contracts.Analysis on the Cheapest-to-deliver Treasury-bond Futures has increasingly important theoretical and practical significances in resuming and developing Treasury bond Futures market in China to ensuresafe operation and sustainable development of the market.

Key words: treasury-bond futures, the cheapest-to-deliver, conversion factor, quality options