CBOT Dow Jones U.S. Total Market Index Futures. CBOT DJ U.S. Total Market Index TMI Futures

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1 CBOT Dow Jones U.S. Total Market Index Futures 100 Percent Electronic Large Contract Size Broad Market Coverage CBOT DJ U.S. Total Market Index TMI Futures 1

2 Stock Index Chartbook Month Ending December 31, 2003 CBOT DJ Index Review MTD MTD YTD 52 week Volatility Close Net Chg Pct Chg Pct Chg High Low 10 day 30 day 60 day DJ Indexes Total Market Index % 28.44% Large Cap % 24.53% Mid Cap % 38.13% Small Cap % 44.82% DJ Averages DJ Industrial Avg % 25.32% DJ Transports Avg % 30.18% DJ Utility Avg % 24.04% DJ Composite Avg % 26.35% Launch date for CBOT Dow Jones U.S. Total Market Index is February 10, The Dow Jones U.S. Total Market Index (TMI) is the U.S. component of the DJ Global Index. The TMI is a broad market index, covering the large, mid and small cap sectors, and representing 95 percent of the U.S. stock market universe. Major advantages of the TMI: Strictly rules based methodology. Market capitalization weighted. Free float adjusted. Fixed percentage of the U.S. market not a fixed number of issues. Major Advantages of the CBOT DJ U.S. Total Market Index Futures contract: 100 percent electronically traded. Competing electronic market makers. Large size - $500 multiplier contract value over $100,000 Minimum tick.05, or $25 per contract. Major Advantages of the new platform: e-cbot powered by Liffe Connect The Host - Dynamically updated in real time. The Gateway Increase in # orders/second sent to the host. The Network Speed All lines are T1s. 2

3 DJ U.S. Total Market Index 12/31/2003 Market Cap Percentage $ Billions Weight #stocks Size Indexes Large Cap 8, % 247 Mid Cap 2, % 513 Small Cap % 840 DJ US Total Market Index 11, % /30/2003 Market Cap Percentage $ Billions Weight #stocks Size Indexes Large Cap 7, % 240 Mid Cap 2, % 495 Small Cap % 852 DJ US Total Market Index 11, % /31/2003 Market Cap Percentage $ Billions Weight #stocks Size Indexes Large Cap 7, % 240 Mid Cap 2, % 498 Small Cap % 854 DJ US Total Market Index 10, % /30/2003 Market Cap Percentage $ Billions Weight #stocks Size Indexes Large Cap 7, % 240 Mid Cap 1, % 498 Small Cap % 858 DJ US Total Market Index 10, % /31/2003 Market Cap Percentage $ Billions Weight #stocks Size Indexes Large Cap 7, % 232 Mid Cap 1, % 494 Small Cap % 850 DJ US Total Market Index 10, %

4 Dow Jones U.S. Total Market Index Futures - Salient Features Trading Unit $500 times the Dow Jones U.S. Total Market Index (TMI). The TMI is a capitalization-weighted index representing 95 percent of the total U.S. stock market universe. Tick Size.05 Index points = $25.00 per contract Price Quote Points and.05 points. Contract Months Mar, Jun, Sep, Dec Last Trading Day The trading day preceding the final settlement day. Final Settlement Day The third Friday of the contract month. Settlement Cash settlement on the final settlement day. The final settlement price is $500 times a Special Opening Quotation of the underlying index. Trading Hours Electronic (e-cbot): 7:15 p.m. to 4:00 p.m. Chicago time, Sun.-Fri. Daily Price Limit Successive 10%, 20%, and 30% price limits based on the average daily close of the cash index in the last month of the preceding quarter. Price limits are effective only for limit moves below the previous day's close. Daytime price limits are coordinated with NYSE circuit-breakers. All price limits are recomputed at the beginning of every quarter. Position Limits Net long/short position in all contract months combined of 25,000 with a reportable limit of 25 contracts. 4

5 Dow Jones U.S. Total Market Index Dow Jones U.S. Size and Sector Indexes M E T H O D O L O G Y O V E R V I E W INDEX UNIVERSE The index universe is defined as all stocks traded on the major U.S. stock exchanges, minus any noncommon issues and illiquid stocks. STOCK SELECTION 1. The index universe is sorted by free-float market capitalization. 2. Size category definitions are established as follows: The sum of the free-float market capitalizations of stocks above the 70th percentile is established as the cut-off for large-caps. The sum of the free-float market capitalizations of stocks above the 90th percentile is established as the cut-off for mid-caps. 3. Stocks in the top 95% of the index universe by free-float market capitalization are selected as components of the U.S. Total Market Index, skipping stocks that fall within the bottom 1% of the universe by free-float market capitalization and within the bottom.01% of the universe by turnover. 4. The components of the U.S. Total Market Index are re-ranked by full market capitalization. 5. Stocks are categorized into size classes as follows based on stocks float-adjusted market values: Stocks falling above the large-cap cut-off established in #2 are designated as large-caps. Stocks falling below the large-cap cut-off but above the mid-cap cut-off established in #2 are designated as mid-caps. Remaining stocks are designated as small-caps. TopCaps are defined as large-caps plus mid-caps. LowCaps are defined as mid-caps plus small-caps. SECTOR CLASSIFICATION Sector indexes are constructed by categorizing the component stocks of the Dow Jones U.S. Total Market Index into the 10 Economic Sectors, 18 Market Sectors, 51 Industry Groups and 89 Subgroups defined by the Dow Jones Global Classification Standard. A separate index is maintained for each group at each of the four levels. Companies are classified into Subgroups, the most specific level of classification, based on their primary source of revenue. The Subgroups are rolled up into Industry Groups, which in turn are rolled up into Market Sectors and finally into Economic Sectors, the broadest level of classification. 5

6 REVIEW PROCEDURE / BUFFER RULES 1. The universe is ranked by free-float market capitalization, and size categories are established as described in Step #2 of the Selection Process. 2. New large-cap and mid-cap companies (IPOs) are assigned to the large-cap and mid-cap indexes based on full market cap (above the 70th percentile large-cap, above the 90th percentile mid-cap). 3. Current large-cap components that rank above the 75th percentile when sorted by full market cap are retained in the large-cap index; current mid-cap components that rank between the 67.5th and 92.5th percentiles when sorted by full market cap are retained in the mid-cap index. 4. Current mid-cap or small-cap components that rank above the 67.5th percentile when sorted by full market cap are reclassified into the large-cap index; current small-cap that rank above 85th percentile when sorted by full market cap are reclassified into the mid-cap index. 5. Remaining companies are re-sorted based on full market capitalization and average quarterly turnover. Stocks are added to the small-cap index until 93% of the total universe is represented. 6. Remaining components and noncomponents that fall within the bottom 1% of stocks by free-float market capitalization or within the bottom.01% of stocks by turnover are excluded from further selection. 7. Beginning with the components list, and continuing with the noncomponents list if necessary, companies are added to the small-cap index until total universe coverage reaches 95%. REVIEW FREQUENCY The composition of the U.S. Total Market Index and the U.S. Size and Sector indexes is reviewed quarterly. WEIGHTING The U.S. Total Market Index and U.S. Size and Sector indexes are weighted by freefloat market capitalization. Source: Dow Jones Indexes 6

7 U.S. Broad Market Stock Indexes Float Adjusted Reconstitution Frequency Buffer Zone for Sizes Transparent, Rules-based Methodology Calculation for Cap breaks DJ U.S. TMI Yes Quarterly Yes Yes Russell 3000 Yes Annual No Yes S&P 1500 No Ad-hoc Yes No Market Cap Percent Fixed Number of Stocks Fixed Number of Stocks Wilshire 5000 No Monthly Yes Yes None DJ U.S. TMI : Quarterly Review of Index Composition Quarterly Reviews are conducted in March, June, September and December. Changes resulting from Quarterly Reviews are implemented after the close of trading on the third Friday of the month of each of the above stated months. Quarterly Reviews coincide with futures expirations. 7

8 CBOT Dow Jones U.S. Total Market Index: Product Overview Ticker Symbol Contract Value Price Quotations TMI $500 x Dow Jones U.S. Total Market Index Price quotation in full index points and.05 index points, e.g Minimum Fluctuation.05 index points = $25 Final settlement price in hundredths of index points, e.g Contract Months Trading Hours (U.S. Central Time) March, June, September and December Electronic: 7:15 p.m. - 4:00 p.m. Sunday - Friday Price Limits and Trading Halts Price Limits and Trading Halts (Circuit-Breakers): 10%, 20%, 30% Position Limits Net long/short position in all contract months combined of 25,000 contracts with a reportable limit of 25 contracts. Margins Initial and Maintenance Margins to be determined Settlement Cash settlement on the Final Settlement Day Final Settlement Day Last Day of Trading 3rd Friday of contract month 3:15 p.m. (U.S. Central time) on Thursday preceding Final Settlement Day Final Settlement Price Special Opening Quotation (SOQ) of DJ U.S. Total Market Index calculated from opening prices of TMI stocks on final settlement day. Exchange for Physicals (EFPs) Fair Value Calculation ishares DJ U.S. Total Market Index Fund and suitable baskets of DJ U.S. TMI stocks are eligible EFP assets for CBOT DJ U.S. TMI futures contracts Fair value is the theoretical price of CBOT DJ U.S. TMI futures contract based on interest rates, the dividend yield, and the current price of the DJ U.S. Total Market Index 8

9 % 50 Day Rolling Correlations of Percent Price Changes % % % % % % % % % % TMI / Russell 3000 TMI / Russell 1000 TMI / SP 1500 T M I / W ils hire % % 12/31/02 01/15/03 01/30/03 02/13/03 02/28/03 03/14/03 03/28/03 04/11/03 04/28/03 05/12/03 05/27/03 06/10/03 06/24/03 7/9/ /23/03 08/06/03 08/20/03 09/04/03 09/18/03 10/02/03 10/16/03 10/30/03 11/13/03 11/28/03 12/12/03 12/29/03 01/13/04 01/27/04 02/10/04 02/24/ % 50 day Rolling Correlations of Percent Price Changes 99.95% 99.90% 99.85% 99.80% 99.75% 99.70% 99.65% 99.60% 99.55% 99.50% 99.45% TMI / Russell 3000 TMI / Wilshire 5000 Russell 3000 / Wilshire 5000 TMI / SP500 TMI / Russell % 04/01/03 04/11/03 04/24/03 05/06/03 05/16/03 05/29/03 06/10/03 06/20/03 7/2/2003 7/15/ /25/03 08/06/03 08/18/03 08/28/03 09/10/03 09/22/03 10/02/03 10/14/03 10/24/03 11/05/03 11/17/03 11/28/03 12/10/03 12/22/03 01/05/04 01/15/04 01/27/04 02/06/04 02/18/04 9

10 TMI vs. SP500 : 50 day rolling correlation of percentage price changes % % % % % % % % % % % % % % % % % % % % % 01/02/01 02/05/01 03/09/01 04/11/01 05/15/01 06/18/01 07/20/01 08/22/01 10/01/01 11/01/01 12/05/01 01/09/02 02/12/02 03/18/02 04/19/02 05/22/02 06/25/02 07/29/02 08/29/02 10/02/02 11/04/02 12/06/02 01/10/03 02/13/03 03/19/03 04/22/03 05/23/03 06/26/03 07/30/03 09/02/03 10/03/03 11/05/03 12/09/03 01/13/04 02/13/ % M id Cap & Small Cap Correlations DJ Mid Cap / SP 400 DJ Small Cap / R % 98.00% 97.00% 96.00% 95.00% 94.00% 93.00% 12/19/01 01/15/02 02/08/02 03/06/02 04/01/02 04/24/02 05/17/02 06/12/02 07/08/02 07/31/02 08/23/02 09/18/02 10/11/02 11/05/02 11/29/02 12/24/02 01/21/03 02/13/03 03/11/03 04/03/03 04/29/03 05/22/03 06/17/03 7/11/ /05/03 08/28/03 09/23/03 10/16/03 11/10/03 12/04/03 12/30/03 01/23/04 02/17/04 10

11 DJ US Total Market Index w/ 200 day m.a. 2/5/2000 4/5/2000 6/5/2000 8/5/ /5/ /5/2000 2/5/2001 4/5/2001 6/5/2001 8/5/ /5/ /5/2001 2/5/2002 4/5/2002 6/5/2002 8/5/ /5/ /5/2002 2/5/2003 4/5/2003 6/5/2003 8/5/ /5/ /5/2003 2/5/ DJ US Large Cap Index w/200d ma /5/2000 4/5/2000 6/5/2000 8/5/ /5/ /5/2000 2/5/2001 4/5/2001 6/5/2001 8/5/ /5/ /5/2001 2/5/2002 4/5/2002 6/5/2002 8/5/ /5/ /5/2002 2/5/2003 4/5/2003 6/5/2003 8/5/ /5/ /5/2003 2/5/

12 340 DJ US Mid Cap Index w/200d ma /5/2000 4/5/2000 6/5/2000 8/5/ /5/ /5/2000 2/5/2001 4/5/2001 6/5/2001 8/5/ /5/ /5/2001 2/5/2002 4/5/2002 6/5/2002 8/5/ /5/ /5/2002 2/5/2003 4/5/2003 6/5/2003 8/5/ /5/ /5/2003 2/5/ DJ US Small Cap Index w/200d ma /5/2000 4/5/2000 6/5/2000 8/5/ /5/ /5/2000 2/5/2001 4/5/2001 6/5/2001 8/5/ /5/ /5/2001 2/5/2002 4/5/2002 6/5/2002 8/5/ /5/ /5/2002 2/5/2003 4/5/2003 6/5/2003 8/5/ /5/ /5/2003 2/5/

13 D J U S T o ta l M a rk e t - D J L a rg e C a p : 1 to 1 s p re a d S trength in s m all and m id caps 1/6/2002 2/6/2002 3/6/2002 4/6/2002 5/6/2002 6/6/2002 7/6/2002 8/6/2002 9/6/ /6/ /6/ /6/2002 1/6/2003 2/6/2003 3/6/2003 4/6/2003 5/6/2003 6/6/2003 7/6/2003 8/6/2003 9/6/ /6/ /6/ /6/2003 1/6/2004 2/6/2004 3/6/ DJ US Total Market Index - DJ US Large Cap Index Large Caps laggingmid and Small caps since A pril /1/1997 4/1/1997 7/1/ /1/1997 1/1/1998 4/1/1998 7/1/ /1/1998 1/1/1999 4/1/1999 7/1/ /1/1999 1/1/2000 4/1/2000 7/1/ /1/2000 1/1/2001 4/1/2001 7/1/ /1/2001 1/1/2002 4/1/2002 7/1/ /1/2002 1/1/2003 4/1/2003 7/1/ /1/2003 1/1/

14 40.00% TMI LC MC SC Rolling 90 Day Returns 30.00% 20.00% 10.00% 0.00% % % % 1/1/2000 3/1/2000 5/1/2000 7/1/2000 9/1/ /1/2000 1/1/2001 3/1/2001 5/1/2001 7/1/2001 9/1/ /1/2001 1/1/2002 3/1/2002 5/1/2002 7/1/2002 9/1/ /1/2002 1/1/2003 3/1/2003 5/1/2003 7/1/2003 9/1/ /1/2003 1/1/ % Historical Volatilities - 20 day HV TMI LC MC SC 40.00% 35.00% 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% 1/6/2002 2/6/2002 3/6/2002 4/6/2002 5/6/2002 6/6/2002 7/6/2002 8/6/2002 9/6/ /6/ /6/ /6/2002 1/6/2003 2/6/2003 3/6/2003 4/6/2003 5/6/2003 6/6/2003 7/6/2003 8/6/2003 9/6/ /6/ /6/ /6/2003 1/6/2004 2/6/2004 3/6/

15 50.00% T M I H is to ric a l V o la tilitie s 45.00% 40.00% 10 day HV 30 day HV 35.00% 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% 3/11/2001 5/11/2001 7/11/2001 9/11/ /11/2001 1/11/2002 3/11/2002 5/11/2002 7/11/2002 9/11/ /11/2002 1/11/2003 3/11/2003 5/11/2003 7/11/2003 9/11/ /11/2003 1/11/2004 3/11/ % T M I His to ric a l V o la tilitie s 40.00% 35.00% 20 day HV 90 day HV 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% 3/11/2001 5/11/2001 7/11/2001 9/11/ /11/2001 1/11/2002 3/11/2002 5/11/2002 7/11/2002 9/11/ /11/2002 1/11/2003 3/11/2003 5/11/2003 7/11/2003 9/11/ /11/2003 1/11/2004 3/11/

16 80,000 CBOT mini-sized Dow - Volume w/ 30 day moving avg 70,000 60,000 50,000 40,000 30,000 20,000 10, /26/2002 4/26/2002 5/26/2002 6/26/2002 7/26/2002 8/26/2002 9/26/ /26/ /26/ /26/2002 1/26/2003 2/26/2003 3/26/2003 4/26/2003 5/26/2003 6/26/2003 7/26/2003 8/26/2003 9/26/ /26/ /26/ /26/2003 1/26/ ,000 CBOT mini-sized Dow (YM) - Average Daily Volume 70,000 65,000 60,000 55,000 50,000 45,000 40,000 35,000 30,000 25,000 20,000 15,000 10,000 5,000 0,000 Apr-02 May-02 Jun-02 Jul-02 Aug-02 Sep-02 Oct-02 Nov-02 Dec-02 Jan-03 Feb-03 Mar-03 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 16

17 600% CBOT m ini-sized Dow Futures v.s. Diamond ETF : $volume Traded 500% 400% 300% 200% 100% 0% Apr-02 May-02 Jun-02 Jul-02 Aug-02 Sep-02 Oct-02 Nov-02 Dec-02 Jan-03 Feb-03 Mar-03 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar ,000 90,000 m in i-sized D o w & D JIA fu tu res - O p en In terest YM DJ 80,000 70,000 60,000 50,000 40,000 30,000 20,000 10, /5/2002 5/5/2002 6/5/2002 7/5/2002 8/5/2002 9/5/ /5/ /5/ /5/2002 1/5/2003 2/5/2003 3/5/2003 4/5/2003 5/5/2003 6/5/2003 7/5/2003 8/5/2003 9/5/ /5/ /5/ /5/2003 1/5/

18 2,500 DJIA Options - ADV 2,000 1,500 1, Jan-02 Feb-02 Mar-02 Apr-02 May-02 Jun-02 Jul-02 Aug-02 Sep-02 Oct-02 Nov-02 Dec-02 Jan-03 Feb-03 Mar-03 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 CBOT DJIA Options on Futures Volume (left scale) Open Int (right scale) 12,000 11,500 11,000 10,500 10,000 9,500 9,000 8,500 8,000 7,500 7,000 6,500 6,000 5,500 5,000 4,500 4,000 3,500 3,000 2,500 2,000 1,500 1, /3/2002 2/3/2002 3/3/2002 4/3/2002 5/3/2002 6/3/2002 7/3/2002 8/3/2002 9/3/ /3/ /3/ /3/2002 1/3/2003 2/3/2003 3/3/2003 4/3/2003 5/3/2003 6/3/2003 Volume 7/3/2003 8/3/2003 9/3/ /3/ /3/ /3/2003 1/3/2004 2/3/ ,000 90,000 80,000 70,000 60,000 50,000 40,000 30,000 20,000 10,000 0 Open Interest 18

Russell 2000 Index Options

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