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Dividend Analysis Updated: Friday, July-04-2008 6:30pm ET Why are dividends important for determining index arbitrage conditions? The fair value premium equals the interest earned on the spot index minus dividends earned by the stocks that comprise the index. The relevant time period is from the current date until the future's expiration. As you might imagine, controversy exists about how to implement the above equation: some arbitrageurs measure dividends by yield; others (correctly in our opinion) by amount. Both measures are presented here.   Dividend Yields  Index Aggregate Value of Index Components [S&P and Nasdaq in millions. Dow Jones in units.] Aggregate Dividends [Next four quarters] [S&P and Nasdaq in millions. Dow Jones in units.] Dividend Yield (%) [Aggregate Dividends divided by Aggregate Value] Link Button to Individual Stock Dividend Yields  S&P [Floating Capitalization Weighted: stock price and per-share dividend are multiplied by the number of floating shares and then scaled to millions.] 11,015,490.607 262,887.478 2.39  Nasdaq 100 [Modified Cap. Weighted: stock price and per-share dividend are multiplied by the Nasdaq weight factors and then scaled to millions.] 2,903,355.318 15,726.607 0.54  Dow Jones [Price Weighted: Sum of prices and dividends of stocks in the DJIA index. (N.B. Divide stock price sum by the DJIA divisor to get the index value.) ] 1,386.460 41.555 3.00

Dividend Amounts Futures Total Dividends in Index Futures Period [From July-07-2008 to each future's expiration] [S&P and Nasdaq 100 dividends are cap. weighted and in millions; Dow Jones dividends are unweighted and in units.] Divisor Adjusted Dividends Total Dividends in Index Futures Period divided by the index divisor.  Index Divisors:   S&P 500 (Derived) 8,722.37754912   Nasdaq 100 1,598.45586927   Dow Jones Ind. Avg. 0.12282011 Link Button to Individual Stock Dividends S&P 500           SEP 2008 56,050.869      6.426          DEC 2008 121,102.309      13.884          MAR 2009 188,199.069      21.577          JUN 2009 254,335.464      29.159          SEP 2009 319,848.590      36.670          DEC 2009 393,372.717      45.099      Nasdaq 100           SEP 2008 3,170.867      1.984          DEC 2008 7,767.545      4.859          MAR 2009 11,460.677      7.170          JUN 2009 15,500.063      9.697      Dow Jones           SEP 2008 9.637      78.468          DEC 2008 20.135      163.939          MAR 2009 30.493      248.270

Notes to the Calculations Internal values have a precision of at least twelve decimal places. Displayed values, however, are rounded to three decimal places. Therefore, if you divide the rounded amounts in the above two tables, you may get slightly different values. [For example, division of the rounded values for Total Dividends in Index Futures Period by the appropriate index divisor to obtain the Divisor Adjusted Dividends may produce slightly different values.] The correct values are those displayed.

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