Breeden's consumption CAPM and Merton's Intertemporal CAPM are known not to be valid for non redundant forward contracts. Unlike futures, which are marked-to-market, using forwards gives rise to an additional risk, linked to the very optimal investment strategy. This risk is priced, then the CCAPM and ICAPM are derived for forwards that are different from what they are for cash assets and futures contracts.
LIOUI, A. and PONCET, P. (2001). General Equilibrium Pricing of Trading Strategy Risk. In: Proceedings of the International Finance Conference (Tunisia 2001). Financial Markets, Risk Management and Corporate Governance. International Finance Conference, Tunisia, pp. 127-147.