delegate void F();
class A
{
    static void Foo()
    {
        F f = unchecked(delegate
                            {
                                const byte x = (byte)-1; // error CS0221: Constant value '-1' cannot be converted to a 'byte' (use 'unchecked' syntax to override)
                            });
    }
}

See C# 3.0 Specification Draft, 7.5.12 The checked and unchecked operators
The body of an anonymous function is not affected by checked or unchecked contexts in which the anonymous function occurs.

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