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To delete a local branch

git branch -d the_local_branch

To remove a remote branch (if you know what you are doing!)

git push origin :the_remote_branch

Someone else has already deleted the branch. try to synchronize your branch list with

git fetch -p

Clean merged remote branchs

git branch -r --merged |  grep origin |  grep -v '>' |  grep -v master |  xargs -L1 |  cut -d"/" -f2- | xargs git push origin --delete