The Euro-Bund Future is an exchange-traded futures contract based on a hypothetical federal bond with a remaining maturity of ten years and a coupon of 6%. This sets the price ceiling, considering the annual coupon payment of 6% over ten years and a nominal amount of 100%, at 160%, as otherwise the yield would become negative. Why has the Euro-Bund Future, however, consistently traded above 160% since January 2016, reaching an all-time high of 168.32% in early September 2017? The Euro-Bund Future contract includes a special delivery option at maturity, which allows the seller of the contract to choose from a basket of specific federal bonds to fulfill their delivery obligation. Under rational considerations, the futures seller will select the federal bond that is most favorable for them to deliver, known as the Cheapest-to-Deliver bond. This book aims to provide an answer to the question of the potential value of this Cheapest-to-Deliver option through an empirical study.