股指分红点位监控周报：IC及IM主力合约深度贴水-20250910

• The report introduces the method for calculating the dividend points of stock indices, which is crucial for accurately estimating the premium and discount levels of stock index futures contracts. The calculation involves several key indicators such as component stock weights, dividend amounts, total market value of component stocks, and index closing prices[12][41][46] - The component stock weights are obtained from the daily closing weights disclosed by the China Securities Index Company, ensuring the accuracy of daily stock weights[48] - The dividend amount is estimated based on the historical distribution of net profits. For companies with stable profit distribution, historical profit distribution patterns are used for prediction; for companies with unstable profit distribution, the previous year's profit is used as the forecast value[49][52] - The dividend payout ratio is predicted using historical data averages. If a company has paid dividends in the past, the historical payout ratio is used as the estimate for the current year[53][55] - The ex-dividend date is predicted based on the stability of the interval days between the announcement of the dividend plan and the ex-dividend date in the past three years. If the interval days are stable, the average interval days are used for linear extrapolation; otherwise, historical ex-dividend dates are used for estimation[57][58] - The accuracy of the dividend point estimation model is analyzed by comparing the predicted dividend points with the actual dividend points at different time points. The model shows high accuracy for the Shanghai Stock Exchange 50 Index and the CSI 300 Index, with errors within 5 points, while the prediction error for the CSI 500 Index is slightly larger, but still within 10 points[59][63] - The report tracks the premium and discount levels of stock index futures contracts, including the daily basis, the trend of the main contract's premium and discount, the term structure of different contracts' basis, and the current basis level in historical percentiles[12][13][28] - The main contracts of IH, IF, IC, and IM show varying levels of annualized discount rates, with IH at 0.76%, IF at 9.98%, IC at 39.34%, and IM at 43.79%[4][13] - The historical percentile levels of the main contracts' basis indicate that the IH main contract is around the 36th percentile, the IF main contract is at the 23rd percentile, the IC main contract is at the 8th percentile, and the IM main contract is at the 6th percentile[28][29][38] Model Testing Results - IH main contract, annualized discount rate: 0.76%[4] - IF main contract, annualized discount rate: 9.98%[4] - IC main contract, annualized discount rate: 39.34%[4] - IM main contract, annualized discount rate: 43.79%[4]