21. Assume that the S&P 500 currently has a value of 200 (in "index" terms). The dividend yield on the underlying stocks in the index is expected to be 4% over the next six months. New-issue six-month Treasury bills now sell for a six-month yield of6%.

a. What is the theoretical value of a six-month futures contract on the S&P 500?

b. What potential problems are inherent in this calculation?