Letting the storage costs of the consumption asset be denoted as $U$, which is greater than zero, the value of the futures contract for the consumption asset will be $F = (S_0 + U) \times (1 + r)^T$. The investment asset, which does not have storage costs, will have a value of $F = S_0 \times (1 + r)^T$. Assuming all else equal, the storage costs will increase the futures price of the consumption asset relative to the investment asset. (Try plugging in numbers—the futures price of the consumption asset is higher). Note that if the convenience yield were some positive value, the pricing relationship between the investment and consumption assets could change.

(Book 3, Module 37.2, LO 37.b)