If prices are increasing the futures value will be lower than the forward value.
Why? If prices are increasing and I am long the futures contract I have better reinvestment opportunities for the cash received from the MTM so I would rather go for a futures and not a forward.
Hmm, might it be that if spot prices are rising, rates are falling, which as a result make the mark to market excess cash less desirable because the reinvestment rates are offering less and less?
Maybe someone else can chime in here, but from what I remember was discussed in the L1 material it depended on the relationship of the futures price to interest rates. If they were positively related (rates rise, futures price rise) there would be a preference for futures over forwards as the cash that is available for withdrawal from the margin account can be invested at a rising rate; if they were negatively related (rates rise, futures price fall) there would be a preference for forwards over futures as the rate charged to borrow to meet margin calls is more costly.
Yes the correlation btw prices and interest rates. This is what I also remember, that’s why the sentence which I cited form one answer of the BBs made no sense.