With respect to futures contract, it is the situation where the maturity of the futures and that of the underlying asset/ exposure (and hence the so-called cross hedging risk arises). For example, a bond futures that matures in 1 year, while its underlying bond’s expiration date is 6 months from now.
A currency futures hedge with maturity mismatch will not provide a perfect hedge against the currency risk involved.
By nature, a delta hedge suffers a maturity mismatch.
