Group 1: Dividend Statistics of Broad-based Index Constituents - In 2026, the dividend progress for broad-based index constituents shows that among the CSI 300 constituents, 1 company is in the implementation stage, while the SSE 50, CSI 500, and CSI 1000 each have 1 company in the implementation or proposal stage [11][12]. - The total dividends for the year 2026 for the CSI 300 and SSE 50 are both 1.251 billion, while the CSI 500 has 0.13 billion, and the CSI 1000 is still in the proposal stage [12][11]. - The dividend yield for 2026 has been compared to 2025, indicating a slight increase in yields across the indices [13][14]. Group 2: Dividend Statistics of Industry Index Constituents - The dividend progress for industry index constituents shows that in the pharmaceutical sector, 2 companies are in the implementation stage, while the utilities, machinery, coal, and oil sectors each have 1 company in the implementation stage [15][17]. - The total dividends for the pharmaceutical sector amount to 0.066 billion, utilities 1.251 billion, machinery 0.063 billion, coal 0.13 billion, and oil 0.014 billion [17][15]. - The comparison of dividend yields for 2026 against 2025 shows variations across different sectors, with some sectors experiencing increases [18][19]. Group 3: Index Futures Basis - The annualized basis rates for index futures considering dividends are as follows: CSI 300 near-month 7.15%, far-month 5.10%, near-quarter 3.95%, and far-quarter 3.73%; SSE 50 near-month 1.24%, far-month 0.51%, near-quarter -0.59%, and far-quarter 0.03%; CSI 500 near-month 10.25%, far-month 8.74%, near-quarter 5.96%, and far-quarter 6.66%; CSI 1000 near-month 12.25%, far-month 12.21%, near-quarter 10.95%, and far-quarter 10.81% [6][25]. - The basis data reflects the impact of dividends on the futures contracts, with specific figures for each contract's closing price and basis [25][21]. - Historical basis data for various contracts shows trends in the basis rates over time, indicating fluctuations influenced by dividend announcements [30][31][32][33][36][37].

1. Index Trends - On March 16, the Shanghai Composite Index fell by 0.26% to close at 4084.79 points, with a trading volume of 1037.224 billion yuan. The Shenzhen Component Index rose by 0.19% to close at 14307.58 points, with a trading volume of 1288.107 billion yuan [1]. - The CSI 1000 Index fell by 0.04% with a trading volume of 489.125 billion yuan. Its opening price was 8212.27, closing price was 8211.35, the highest price of the day was 8226.03, and the lowest price was 8089.49 [1]. - The CSI 500 Index fell by 0.66% with a trading volume of 460.797 billion yuan. Its opening price was 8227.69, closing price was 8185.15, the highest price of the day was 8233.66, and the lowest price was 8060.78 [1]. - The SSE 50 Index fell by 0.09% with a trading volume of 143.862 billion yuan. Its opening price was 2952.42, closing price was 2954.09, the highest price of the day was 2955.0, and the lowest price was 2927.94 [1]. - The SSE 300 Index rose by 0.05% with a trading volume of 598.799 billion yuan. Its opening price was 4669.22, closing price was 4671.56, the highest price of the day was 4673.69, and the lowest price was 4621.81 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 Index decreased by 2.94 points compared to the previous closing price. Sectors such as electronics, computer, and national defense and military industry had a significant upward pull on the index, while sectors like basic chemicals, power equipment, and non - ferrous metals had a downward pull [3]. - The CSI 500 Index decreased by 54.65 points compared to the previous closing price. The electronics sector had an upward pull on the index, while power equipment, basic chemicals, and non - ferrous metals had a downward pull [3]. - The SSE 300 Index increased by 2.42 points compared to the previous closing price. Sectors such as electronics, food and beverage, and communication had an upward pull on the index, while construction decoration, basic chemicals, and non - ferrous metals had a downward pull [3]. - The SSE 50 Index decreased by 2.76 points compared to the previous closing price. Sectors such as food and beverage, electronics, and banks had an upward pull on the index, while basic chemicals, non - bank finance, and non - ferrous metals had a downward pull [3]. 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, the average daily basis of IM00 was - 23.32, IM01 was - 92.02, IM02 was - 260.35, and IM03 was - 468.87 [13]. - For IC contracts, the average daily basis of IC00 was - 17.65, IC01 was - 63.43, IC02 was - 195.77, and IC03 was - 361.05 [13]. - For IF contracts, the average daily basis of IF00 was - 9.86, IF01 was - 27.29, IF02 was - 80.65, and IF03 was - 157.08 [13]. - For IH contracts, the average daily basis of IH00 was - 0.27, IH01 was - 2.68, IH02 was - 9.56, and IH03 was - 47.77 [13].

- Model Name: IC Futures Contract Basis Adjustment - Model Construction Idea: The model adjusts the basis of IC futures contracts by accounting for the expected dividends during the contract's life[8][9] - Model Construction Process: 1. Predict the dividend points for the underlying index of the futures contract based on historical dividend data[9] 2. Adjust the basis by adding the expected dividends to the actual basis 3. Annualize the adjusted basis using the formula: $ \text{Annualized Basis} = (\text{Actual Basis} + \text{Expected Dividend Points}) / \text{Index Price} \times 360 / \text{Remaining Days of Contract} $[20][21] - Model Evaluation: The model effectively accounts for the impact of dividends on the futures contract basis, providing a more accurate measure of the basis[8] - Model Test Results: The current basis for the IC contract is -6.73%, which is lower than the median since early 2022[21] - Model Name: IF Futures Contract Basis Adjustment - Model Construction Idea: The model adjusts the basis of IF futures contracts by accounting for the expected dividends during the contract's life[8][9] - Model Construction Process: 1. Predict the dividend points for the underlying index of the futures contract based on historical dividend data[9] 2. Adjust the basis by adding the expected dividends to the actual basis 3. Annualize the adjusted basis using the formula: $ \text{Annualized Basis} = (\text{Actual Basis} + \text{Expected Dividend Points}) / \text{Index Price} \times 360 / \text{Remaining Days of Contract} $[20][21] - Model Evaluation: The model effectively accounts for the impact of dividends on the futures contract basis, providing a more accurate measure of the basis[8] - Model Test Results: The current basis for the IF contract is -4.51%, which is lower than the median since early 2022[25] - Model Name: IH Futures Contract Basis Adjustment - Model Construction Idea: The model adjusts the basis of IH futures contracts by accounting for the expected dividends during the contract's life[8][9] - Model Construction Process: 1. Predict the dividend points for the underlying index of the futures contract based on historical dividend data[9] 2. Adjust the basis by adding the expected dividends to the actual basis 3. Annualize the adjusted basis using the formula: $ \text{Annualized Basis} = (\text{Actual Basis} + \text{Expected Dividend Points}) / \text{Index Price} \times 360 / \text{Remaining Days of Contract} $[20][21] - Model Evaluation: The model effectively accounts for the impact of dividends on the futures contract basis, providing a more accurate measure of the basis[8] - Model Test Results: The current basis for the IH contract is 0.38%, which is lower than the median since early 2022[29] - Model Name: IM Futures Contract Basis Adjustment - Model Construction Idea: The model adjusts the basis of IM futures contracts by accounting for the expected dividends during the contract's life[8][9] - Model Construction Process: 1. Predict the dividend points for the underlying index of the futures contract based on historical dividend data[9] 2. Adjust the basis by adding the expected dividends to the actual basis 3. Annualize the adjusted basis using the formula: $ \text{Annualized Basis} = (\text{Actual Basis} + \text{Expected Dividend Points}) / \text{Index Price} \times 360 / \text{Remaining Days of Contract} $[20][21] - Model Evaluation: The model effectively accounts for the impact of dividends on the futures contract basis, providing a more accurate measure of the basis[8] - Model Test Results: The current basis for the IM contract is -9.56%, which is lower than the median since early 2022[34] - Factor Name: VIX Index - Factor Construction Idea: The VIX index reflects the market's expectation of future volatility of the underlying asset[57][58] - Factor Construction Process: 1. Calculate the implied volatility of options on the underlying asset 2. Construct the VIX index to represent the expected volatility over different time horizons[58] - Factor Evaluation: The VIX index provides valuable insights into market sentiment and expected volatility, aiding in risk management and trading decisions[57] - Factor Test Results: As of March 13, 2026, the 30-day VIX levels for the major indices are as follows: - Shanghai 50 VIX: 20.45 (64th percentile since 2024) - CSI 300 VIX: 19.98 (58th percentile since 2024) - CSI 500 VIX: 29.63 (72nd percentile since 2024) - CSI 1000 VIX: 27.82 (59th percentile since 2024)[58][60] - Factor Name: SKEW Index - Factor Construction Idea: The SKEW index measures the skewness of implied volatility across different strike prices, indicating the market's perception of tail risk[62] - Factor Construction Process: 1. Calculate the implied volatility for options with different strike prices 2. Construct the SKEW index to represent the skewness of the implied volatility curve[62] - Factor Evaluation: The SKEW index helps in understanding the market's expectations of extreme events and tail risks, providing valuable information for risk management[62] - Factor Test Results: As of March 13, 2026, the 30-day SKEW levels for the major indices are as follows: - Shanghai 50 SKEW: 104.95 (96.2nd percentile since 2024) - CSI 300 SKEW: 108.19 (94.5th percentile since 2024) - CSI 500 SKEW: 107.52 (97.7th percentile since 2024) - CSI 1000 SKEW: 106.80 (86.7th percentile since 2024)[63][65]

Group 1: Index Trends - On March 10th, the Shanghai Composite Index rose 0.65% to close at 4123.14 points, with a trading volume of 1,036.427 billion yuan; the Shenzhen Component Index rose 2.04% to close at 14354.07 points, with a trading volume of 1,361.46 billion yuan [1] - The CSI 1000 Index rose 1.78% with a trading volume of 533.511 billion yuan, opening at 8272.94, closing at 8350.09, with a daily high of 8351.67 and a low of 8271.49 [1] - The CSI 500 Index rose 1.58% with a trading volume of 465.082 billion yuan, opening at 8341.14, closing at 8410.3, with a daily high of 8412.93 and a low of 8330.93 [1] - The SSE 50 Index rose 0.64% with a trading volume of 121.762 billion yuan, opening at 2973.82, closing at 2981.84, with a daily high of 2985.31 and a low of 2969.91 [1] - The SSE 300 Index rose 1.28% with a trading volume of 557.608 billion yuan, opening at 4648.79, closing at 4674.76, with a daily high of 4677.6 and a low of 4648.79 [1] Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 146.22 points from the previous closing price, with sectors such as electronics, machinery, and communications significantly driving the index up [3] - The CSI 500 rose 130.82 points from the previous closing price, with sectors such as electronics, communications, and power equipment significantly driving the index up [3] - The SSE 300 rose 59.3 points from the previous closing price, with sectors such as electronics, communications, and power equipment significantly driving the index up [3] - The SSE 50 rose 18.85 points from the previous closing price, with sectors such as electronics, non - bank finance, and non - ferrous metals significantly driving the index up, while coal and petroleum & petrochemical sectors pulled the index down [3] Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, the average daily basis for IM00 was - 33.66, IM01 was - 89.87, IM02 was - 243.03, and IM03 was - 444.71 [14] - For IC contracts, the average daily basis for IC00 was - 21.7, IC01 was - 64.35, IC02 was - 184.6, and IC03 was - 349.85 [14] - For IF contracts, the average daily basis for IF00 was - 8.89, IF01 was - 26.62, IF02 was - 73.75, and IF03 was - 145.44 [14] - For IH contracts, the average daily basis for IH00 was 0.54, IH01 was - 1.51, IH02 was - 6.84, and IH03 was - 45.78 [14]

Index Trends - On March 5th, the Shanghai Composite Index rose 0.64% to close at 4,108.57 points, with a trading volume of 1.068044 trillion yuan. The Shenzhen Component Index rose 1.23% to close at 14,088.84 points, with a trading volume of 1.321994 trillion yuan [1]. - The CSI 1000 Index rose 0.95%, with a trading volume of 508.72853430000005 billion yuan. The opening price was 8,235.37, the closing price was 8,171.12, the highest price of the day was 8,243.83, and the lowest price was 8,121.38 [1]. - The CSI 500 Index rose 0.73%, with a trading volume of 472.941 billion yuan. The opening price was 8,383.55, the closing price was 8,309.17, the highest price of the day was 8,391.04, and the lowest price was 8,251.11 [1]. - The SSE 50 Index rose 0.48%, with a trading volume of 139.933 billion yuan. The opening price was 2,993.59, the closing price was 2,988.45, the highest price of the day was 3,001.02, and the lowest price was 2,978.09 [1]. - The SSE 50 Index rose 0.48%, with a trading volume of 139.933 billion yuan. The opening price was 2,993.59, the closing price was 2,988.45, the highest price of the day was 3,001.02, and the lowest price was 2,978.09 [1]. Impact of Sector Movements on Indexes - The CSI 1000 rose 76.6 points from the previous closing price. Sectors such as electronics, power equipment, and machinery had a significant upward pull on the index [2]. - The CSI 500 rose 60.23 points from the previous closing price. Sectors such as electronics, power equipment, and machinery had a significant upward pull on the index, while sectors such as non-ferrous metals had a downward pull [2]. - The SSE 300 rose 45.07 points from the previous closing price. Sectors such as power equipment, electronics, and communications had a significant upward pull on the index [2]. - The SSE 50 rose 14.24 points from the previous closing price. Sectors such as electronics, banks, and non-bank finance had a significant upward pull on the index, while sectors such as non-ferrous metals and petroleum and petrochemicals had a downward pull [2]. Stock Index Futures Basis and Annualized Opening Costs - The average daily basis for IM00 was -41.77, IM01 was -89.02, IM02 was -237.54, and IM03 was -435.62 [12]. - The average daily basis for IC00 was -42.7, IC01 was -73.85, IC02 was -195.98, and IC03 was -362.05 [12]. - The average daily basis for IF00 was -19.89, IF01 was -33.06, IF02 was -76.46, and IF03 was -146.36 [12]. - The average daily basis for IH00 was -3.43, IH01 was -4.89, IH02 was -14.54, and IH03 was -52.46 [12].

1. Report Industry Investment Rating - No industry investment rating is provided in the report. 2. Core Views of the Report - After reviewing the two high - intensity geopolitical conflicts in the past five years, the short - to - medium - term performance of convertible bonds may be weak. In the current situation, it is recommended to focus on pro - cyclical sectors such as petroleum and petrochemicals. Considering the convergence of the stock index futures basis, convertible bonds may face short - term correction risks. [2][4][7] - The A - share market strengthened during the week, with the small - and medium - cap and pro - cyclical manufacturing sectors outperforming, and the trading volume slightly expanding. [2][4][7] - The convertible bond market oscillated weakly, the medium - cap convertible bonds were relatively strong, and the trading volume converged. The overall valuation was compressed, especially in the high - parity and high - market - value ranges. The implied volatility declined but remained at a high level, and the median market value slightly increased. [2][4][7] - Structurally, cyclical sectors such as steel and non - ferrous metals were relatively good, and some of the top - performing targets showed negative premiums. The primary issuance was stable. In terms of terms, the willingness to downward - revise was weak, while the probability of non - call increased. It is recommended to pay attention to the performance of new bonds and the disturbances of term games. [2][4][7] 3. Summary According to the Directory 3.1 Geopolitical Conflicts and the Convertible Bond Market - In the two high - intensity geopolitical conflicts in the past five years (the Russia - Ukraine conflict in late February 2022 and the escalation of the Palestine - Israel conflict in early October 2023), the short - to - medium - term performance of CSI Convertible Bond Index was weak. The Wande Convertible Bond Equal - Weighted Index performed relatively well in the short term after the Russia - Ukraine conflict. [11] - In the Russia - Ukraine conflict, the petroleum and petrochemical industry performed well in the short term, while in the Palestine - Israel conflict, the social service industry performed well in the short term. Given the current situation is more similar to the energy - power game during the Russia - Ukraine conflict, attention can be paid to energy and cyclical industries such as petroleum and petrochemicals. [11][12] - From a futures perspective, there may be short - term correction risks. When the annualized yield of the next - month continuous basis of CSI 500 futures approaches zero, the convertible bond market often faces short - term correction pressure. The high correlation between the CSI Convertible Bond Index and the CSI 500 Index (97.9% from the beginning of 2025 to the current Friday) indicates that this futures sentiment indicator can also reflect the sentiment changes of convertible bond market investors. [12] 3.2 Market Theme Weekly Review - From February 24 to February 28, 2026, the equity market strengthened overall, and the pro - cyclical direction performed well. Among them, metal zinc, metal lead, phosphate chemicals, small - metal concepts, and metal copper in the non - ferrous metal direction were good, while AI corpus, Xiaohongshu concept, Kuaishou concept, short - drama games, and Sora concept (text - to - video) in the AI Internet direction were under pressure. [16] 3.3 Market Weekly Tracking 3.3.1 Main Stock Indexes Strengthened, with Medium - and Small - Cap Indexes Performing Strongly - The main A - share stock indexes strengthened overall during the week. The Shenzhen Component Index performed well, while the ChiNext Index was relatively weak. In terms of style, medium - and small - cap indexes were relatively strong, while the science - innovation and large - cap indexes were relatively weak. [16] - In terms of funds, the net outflow of market main funds converged during the week. The average daily trading volume expanded, and the net outflow of main funds slightly decreased. [17] - The cyclical manufacturing sectors in the A - share market were strong during the week. Sectors such as metal materials and mining, environmental protection, national defense and military industry, and chemicals led the gains, while sectors such as social services, insurance, and media Internet were relatively weak. [21] - In terms of trading volume, the electronics, metal materials and mining, and power and new energy equipment sectors were the focus of trading during the week. The trading volume of most sectors rebounded compared with last week, and the average daily trading volume of the public utilities sector increased by more than 62% week - on - week. [22] - The congestion degree of market sectors still differed significantly during the week. The congestion degree of cyclical directions such as petroleum and petrochemicals, basic chemicals, and steel increased, while that of sectors such as commercial retail, media, and transportation decreased. [24] 3.3.2 Convertible Bond Market Oscillated Weakly, with the Large - Cap Index Performing Weakly - From February 24 to February 28, 2026, the convertible bond market oscillated slightly weakly. The CSI Convertible Bond Index oscillated weakly, with the large - cap convertible bond index performing relatively weakly and the medium - cap convertible bond index performing relatively strongly. The trading volume converged slightly. [28] - In terms of valuation, when divided by the parity range, the overall valuation of the convertible bond market was compressed, except for a slight increase in the 120 - 130 yuan parity range, and the conversion premium rate in the 140 - yuan - and - above parity range was significantly compressed. When divided by the market value range, the overall valuation was also compressed, except for a slight increase in the 110 - 120 yuan market value range, and the conversion premium rate in the 150 - yuan - and - above market value range was significantly compressed. [32] - The weighted implied volatility of the convertible bond market balance oscillated weakly during the week, still at a historical high. The median market value of convertible bonds oscillated and slightly increased, remaining higher than the high point in August 2025. [36] - Convertible bonds in cyclical sectors performed relatively well. Sectors such as steel, non - ferrous metals, public utilities, and basic chemicals led the gains. In terms of trading volume, the trading was mainly concentrated in the power equipment, basic chemicals, and electronics sectors, with the combined trading volume of these three sectors accounting for more than 35%. [39] - Most individual convertible bonds weakened during the week. Only 143 convertible bonds had a range increase greater than or equal to 0, accounting for 37.0% of the total number of outstanding convertible bonds in the market. Among the convertible bonds in the conversion period, the top five in terms of weekly increase were Youcai Convertible Bond, Dazhong Convertible Bond, Guanglian Convertible Bond, Yitian Convertible Bond, and Huaya Convertible Bond, while the top five in terms of weekly decrease were Fuxin Convertible Bond, Hengshuai Convertible Bond, Ruichuang Convertible Bond, Huicheng Convertible Bond, and Xinfu Convertible Bond. Some of the top - five - increasing individual bonds had negative premiums. [44] 3.4 Convertible Bond Issuance and Term Tracking 3.4.1 Primary - Market Pre - issuance Situation - One convertible bond, Aiwei Convertible Bond, was listed during the week from February 24 to February 28, 2026. [47] - Five listed companies updated their convertible bond issuance plans in the primary market during the week, with two in the exchange - acceptance stage and three having passed the general meeting of shareholders. [48] - The total disclosed scale of ongoing projects at the exchange - acceptance stage and later was 8.302 billion yuan. There were 5 companies approved by the CSRC with a planned issuance scale of 439 million yuan, 7 companies having passed the listing committee meeting with a planned issuance scale of 697 million yuan, and 44 companies in the exchange - acceptance stage with a planned issuance scale of 6.989 billion yuan. [49][52] 3.4.2 Downward - Revision - Related Announcement Summary - No convertible bonds were expected to trigger downward revision during the week. Three convertible bonds announced not to downward - revise, with a market - value - weighted average PB of the underlying stocks of 2.5. Two convertible bonds proposed downward revision, with a market - value - weighted average PB of the underlying stocks of 1.6. [53][58] 3.4.3 Redemption - Related Announcement Summary - Two convertible bonds were expected to trigger redemption during the week. Seven convertible bonds announced not to redeem in advance, and four convertible bonds announced early redemption. [59]

Summary of Key Points Core Viewpoint - The article provides an overview of the dividend progress of various indices and their constituent stocks, highlighting the current status of dividend implementation and the impact on futures contracts' basis rates. Group 1: Dividend Progress of Broad Indices - In the CSI 300 index, 1 stock is in the implementation stage with a total dividend of 12.51 billion [4] - In the SSE 50 index, 1 stock is also in the implementation stage with a total dividend of 12.51 billion [4] - In the CSI 500 index, 1 stock is in the implementation stage with a total dividend of 1.30 billion [4] - In the CSI 1000 index, 1 stock is in the shareholder proposal stage [4] Group 2: Dividend Progress of Industry Indices - In the pharmaceutical and biological sector, 1 stock is in the implementation stage with a total dividend of 0.66 billion, and another stock has passed the shareholder meeting [5] - In the public utilities sector, 1 stock is in the implementation stage with a total dividend of 12.51 billion [5] - In the machinery and equipment sector, 1 stock is in the implementation stage with a total dividend of 0.63 billion, and another stock is in the shareholder proposal stage [5] - In the coal sector, 1 stock is in the implementation stage with a total dividend of 1.30 billion [5] - In the oil and petrochemical sector, 1 stock is in the implementation stage with a total dividend of 0.14 billion [5] Group 3: Futures Contracts Basis Rates - The annualized basis rates for the CSI 300 index futures are -1.11% for the near month, 0.54% for the far month, 0.67% for the near quarter, and 0.79% for the far quarter [3] - The annualized basis rates for the SSE 50 index futures are -3.26% for the near month, -1.82% for the far month, -2.07% for the near quarter, and -1.65% for the far quarter [3] - The annualized basis rates for the CSI 500 index futures are 2.50% for the near month, 2.97% for the far month, 1.59% for the near quarter, and 3.28% for the far quarter [3] - The annualized basis rates for the CSI 1000 index futures are 5.71% for the near month, 6.35% for the far month, 6.70% for the near quarter, and 7.52% for the far quarter [3]

Group 1: Dividend Statistics of Broad-based Index Constituents - In 2026, the dividend progress for broad-based index constituents shows that among the CSI 300, one company is in the implementation stage with a total dividend of 12.51 billion; the SSE 50 also has one company in the implementation stage with the same dividend amount; the CSI 500 has one company in the implementation stage with a dividend of 1.30 billion; and the CSI 1000 has one company in the shareholder proposal stage [10][11]. - The dividend yield comparison between 2025 and 2026 indicates a slight increase in the yield for the CSI 300 and SSE 50, while the CSI 500 and CSI 1000 show lower yields in 2026 compared to 2025 [12][20]. Group 2: Dividend Statistics of Industry Index Constituents - The dividend progress for industry index constituents in 2026 shows that in the pharmaceutical sector, one company is in the implementation stage with a dividend of 0.66 billion, and another has passed the shareholder meeting stage; in the public utilities sector, one company is in the implementation stage with a dividend of 12.51 billion; in the machinery equipment sector, one company is in the implementation stage with a dividend of 0.63 billion, and another is in the shareholder proposal stage; in the coal sector, one company is in the implementation stage with a dividend of 1.30 billion; and in the oil and petrochemical sector, one company is in the implementation stage with a dividend of 0.14 billion [14][16][17]. Group 3: Index Futures Basis - The annualized basis rates considering dividends for the CSI 300 near-month, far-month, near-quarter, and far-quarter contracts are -1.11%, 0.54%, 0.67%, and 0.79% respectively; for the SSE 50, the rates are -3.26%, -1.82%, -2.07%, and -1.65%; for the CSI 500, they are 2.50%, 2.97%, 1.59%, and 3.28%; and for the CSI 1000, they are 5.71%, 6.35%, 6.70%, and 7.52% [5][26]. - The basis calculation process considering dividends is illustrated, showing how the basis is derived from the difference between the futures contract price and the spot index price [22].

Group 1: Index Trends - On February 25th, the Shanghai Composite Index rose 0.72% to close at 4147.23 points, with a trading volume of 1085.97 billion yuan; the Shenzhen Component Index rose 1.29% to close at 14475.87 points, with a trading volume of 1376.578 billion yuan [1] - The CSI 1000 Index rose 1.52% with a trading volume of 533.141 billion yuan, opening at 8320.61, closing at 8426.33, with a daily high of 8449.76 and a low of 8310.33 [1] - The CSI 500 Index rose 1.6% with a trading volume of 506.849 billion yuan, opening at 8412.08, closing at 8527.56, with a daily high of 8551.53 and a low of 8401.6 [1] - The SSE 50 Index rose 0.45% with a trading volume of 150.623 billion yuan, opening at 3045.45, closing at 3054.92, with a daily high of 3080.08 and a low of 3041.59 [1] - The CSI 300 Index rose 0.6% with a trading volume of 596.904 billion yuan, opening at 4713.58, closing at 4735.89, with a daily high of 4766.56 and a low of 4713.34 [1] Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 126.56 points from the previous closing price, with sectors such as non - ferrous metals, electronics, and power equipment significantly pulling the index up [2] - The CSI 500 rose 134.65 points from the previous closing price, with non - ferrous metals, electronics, and national defense and military industries significantly pulling the index up [2] - The CSI 300 rose 28.35 points from the previous closing price, with electronics and non - ferrous metals significantly pulling the index up [2] - The SSE 50 rose 13.6 points from the previous closing price, with non - ferrous metals, food and beverage, and national defense and military industries significantly pulling the index up [2] Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 3.93, IM01 of - 32.87, IM02 of - 164.84, and IM03 of - 346.58 [13] - For IC contracts, IC00 had an average daily basis of 6.23, IC01 of - 8.89, IC02 of - 89.67, and IC03 of - 213.58 [13] - For IF contracts, IF00 had an average daily basis of - 0.83, IF01 of - 8.18, IF02 of - 39.1, and IF03 of - 95.31 [13] - For IH contracts, IH00 had an average daily basis of 4.34, IH01 of 5.52, IH02 of - 0.29, and IH03 of - 33.49 [13]

Group 1: Index Trends - On February 24, the Shanghai Composite Index rose 0.87% to close at 4117.41 points with a trading volume of 938.611 billion yuan. The Shenzhen Component Index rose 1.36% to close at 14291.57 points with a trading volume of 1.26345 trillion yuan [1]. - The CSI 1000 Index rose 1.16% with a trading volume of 469.516 billion yuan. The opening price was 8319.69, the closing price was 8299.77, the daily high was 8356.91, and the daily low was 8236.71 [1]. - The CSI 500 Index rose 1.12% with a trading volume of 449.714 billion yuan. The opening price was 8403.31, the closing price was 8392.91, the daily high was 8444.13, and the daily low was 8328.57 [1]. - The SSE 50 Index rose 0.23% with a trading volume of 128.243 billion yuan. The opening price was 3075.47, the closing price was 3041.32, the daily high was 3075.9, and the daily low was 3039.41 [1]. - The CSI 300 Index rose 1.01% with a trading volume of 526.084 billion yuan. The opening price was 4727.3, the closing price was 4707.54, the daily high was 4727.37, and the daily low was 4698.35 [1]. Group 2: Impact of Sector Fluctuations on Indexes - The CSI 1000 rose 94.94 points from the previous closing price. Sectors such as non - ferrous metals, basic chemicals, and power equipment significantly pulled the index up, while sectors such as media and computer significantly pulled it down [2]. - The CSI 500 rose 93.33 points from the previous closing price. Sectors such as electronics, basic chemicals, and non - ferrous metals significantly pulled the index up, while sectors such as media and computer significantly pulled it down [2]. - The CSI 300 rose 47.13 points from the previous closing price. Sectors such as non - ferrous metals, electronics, and communication significantly pulled the index up [2]. - The SSE 50 rose 6.97 points from the previous closing price. Sectors such as non - ferrous metals, petroleum and petrochemicals, and coal significantly pulled the index up, while sectors such as commercial retail, food and beverage, and non - banking finance significantly pulled it down [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, the average daily basis of IM00 was 0.65, IM01 was - 7.46, IM02 was - 164.07, and IM03 was - 342.05 [13]. - For IC contracts, the average daily basis of IC00 was 0.63, IC01 was - 1.82, IC02 was - 98.75, and IC03 was - 223.07 [13]. - For IF contracts, the average daily basis of IF00 was - 1.81, IF01 was - 20.12, IF02 was - 62.71, and IF03 was - 120.27 [13]. - For IH contracts, the average daily basis of IH00 was 0.08, IH01 was - 3.15, IH02 was - 7.86, and IH03 was - 39.6 [13].