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At initiation of a forward contract and a futures contract with identical terms, their prices are most likely to be different if:

A short-term interest rates are negatively correlated with futures prices.

Forward and futures prices may differ for otherwise identical contracts if interest rates are positively or negatively correlated with futures prices. The difference arises from the fact that futures are marked to market daily while forwards are not. A futures contract holder can earn interest on mark-to-market-gain and face an opportunity cost of interest of mark-to-market losses.

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