• The difference between a security’s Cash (spot) and Futures prices is known as the cash-futures basis. The basis narrows as the Bond Futures contract nears expiry. This is known as basis convergence. While Futures trading can eliminate price level risk, it cannot eliminate the risk that the basis will change unfavourably and unpredictably during the lifetime of the Futures Contract. It can be influenced by general market factors or changes in interest rates.