The reason is because rising prices lead to futures profits that are
reinvested in periods of falling interest rates, and falling prices leads to
losses that occur in periods of rising interest rates.
Derivatives MCQ - Derivatives Section 2
If futures prices are positively correlated with interest rates, futures
contracts are more desirable to holders of long positions than are
forwards. This is because rising prices lead to future profits that are
reinvested in periods of rising interest rates, and falling prices lead to
losses that occur in periods of falling interest rates.
When futures prices are negatively correlated with interest rates, long
prefers forward contracts.
Value accumulates from the previous settlement and goes to zero when
distributed.f
