I am learning about interest rate futures. The way I read things, receiving delivery on a futures contract would be a much cheaper way of acquiring treasury bonds than buying them in the bond market. It shouldn't be so, and I am looking for help to understand where I'm wrong. The "Treasury Futures Delivery Process (PDF)" document on cmegroup web site describes that upon delivery the price paid by the buyer (long contract holder is): principal amount + accrued interest Principal amount = futures settlement price x contract size x conversion factor For ZB With today's price of about 141'000 and conversion factor of 0.7950 (from cmegroup.com), principal amount = $112,095 Accrued interest = $520 Invoice amount (the amount the buyer will pay the seller to receive $100,000 face value of treasury bonds) is $112,615. However, the price of the 05/15/2038 bond today (one of the deliverable grades for ZB) is 139'160 ($139,500 to buy $100,000 face value). What am I missing? I will appreciate any pointers. Thanks in advance.