1. Index Trends - On May 27th, the Shanghai Composite Index dropped by -0.18% to close at 3340.69 points with a trading volume of 394.409 billion yuan; the Shenzhen Component Index fell by -0.61% to close at 10029.11 points with a trading volume of 604.517 billion yuan [1]. - The CSI 1000 Index decreased by -0.34% with a trading volume of 193.606 billion yuan, opening at 6019.54, closing at 6008.46, reaching a high of 6023.14 and a low of 5971.35 [1]. - The CSI 500 Index declined by -0.31% with a trading volume of 125.276 billion yuan, opening at 5666.3, closing at 5652.15, reaching a high of 5667.87 and a low of 5629.13 [1]. - The SSE 50 Index went down by -0.52% with a trading volume of 49.856 billion yuan, opening at 2699.69, closing at 2685.28, reaching a high of 2709.29 and a low of 2684.71 [1]. - The CSI 300 Index decreased by -0.54% with a trading volume of 178.467 billion yuan, opening at 3857.63, closing at 3839.4, reaching a high of 3865.43 and a low of 3834.85 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 dropped 20.33 points from the previous close. Sectors such as Medicine and Biology, and Basic Chemicals had a significant positive impact, while sectors like Computer, Machinery, and Electronics had a negative impact [2]. - The CSI 500 dropped 17.31 points from the previous close. The Medicine and Biology sector had a positive impact, while Machinery, Non - ferrous Metals, and Electronics had a negative impact [2]. - The CSI 300 dropped 20.71 points from the previous close. The Banking sector had a positive impact, while Automobile, Non - ferrous Metals, and Electronics had a negative impact [2]. - The SSE 50 dropped 14.14 points from the previous close. The Banking sector had a positive impact, while Food and Beverage, Electronics, and Non - ferrous Metals had a negative impact [2]. 3. Futures Basis and Annualized Opening Costs - For IM contracts, the daily average basis was -98.04 for IM00, -190.8 for IM01, -349.56 for IM02, and -527.69 for IM03 [12]. - For IC contracts, the daily average basis was -76.59 for IC00, -151.74 for IC01, -269.32 for IC02, and -399.41 for IC03 [12]. - For IF contracts, the daily average basis was -29.87 for IF00, -68.48 for IF01, -100.62 for IF02, and -139.97 for IF03 [12]. - For IH contracts, the daily average basis was -17.04 for IH00, -48.29 for IH01, -54.82 for IH02, and -57.71 for IH03 [12]. 4. Futures Roll - over Point Differences and Annualized Costs - For IM contracts, data on roll - over point differences and their annualized costs at different time points (e.g., 09:45, 10:00, etc.) are provided, including values for IM00 - 01, IM00 - 02, etc. [21]. - For IC contracts, data on roll - over point differences and their annualized costs at different time points are provided, including values for IC00 - 01, IC00 - 02, etc. [23]. - For IF contracts, data on roll - over point differences and their annualized costs at different time points are provided, including values for IF00 - 01, IF00 - 02, etc. [23]. - For IH contracts, data on roll - over point differences and their annualized costs at different time points are provided, including values for IH00 - 01, IH00 - 02, etc. [25].

gtaxinstitute@essence.com.cn 综合晨报 2025年05月28日 (原油) 隔夜国际油价小幅收跌，布伦特07合约跌0.8%。此前我们谈到原油市场短期支撑与中期宽松压力并 存，目前市场驱动或向中期逻辑切换。上周五美伊核谈未达成协议,但美伊及阿曼均释放偏积极信 号，谈判破裂的极端情景得以避免，市场关注焦点或重回供需面。上周原油累库、成品油去库，总 体石油库存增加1.1%,累库速度较一季度略有加快,即便考虑到三季度夏季需求旺季,在OPEC+增 产路径下累库压力依然存在，5月31日0PEC+会议前后油价或以震荡偏弱行情为主。 【贵金属】 隔夜贵金属回落。全球不确定性前景和美元信用风险下黄金长期依然看涨，近期贸易战以及地缘冲 突各方均处于谈判阶段，消息纷扰情绪反复，责金属仍处于震荡调整格局中，金价在3000美元/盎 司强支撑位置上方表现抗跌，维持回调买入思路。 【铜】 隔夜伦铜震荡收阴，价格波动有限。LME库存延续去库转移，0-3月现货升水40美元。美国密歇根大 学消费者信心指数强于预期。国内上海现铜升水降至150元， 广东延续220元升水，精费价差仍在 1000元以下。下半年合约高位空单持有 ...

Report Summary 1. Report Industry Investment Rating - No specific industry investment rating is provided in the report. 2. Core Views - **Stock Index**: After Trump postponed 50% of the tariffs, the EU stated that the EU - US trade negotiations had "new impetus" and planned to "advance rapidly." Japan planned to use LNG projects and shipbuilding technology to seek tariff concessions from the US, aiming to reach an agreement by mid - June. ECB President Lagarde said the euro could become an alternative to the US dollar. Domestically, the market rotation was fast, the main driving force was weak, and trading volume was insufficient, so the stock index might fluctuate weakly [1]. - **Treasury Bonds**: Since early May, factors such as the profit - taking after the "dual cuts," the bond market's risk - aversion sentiment due to the 90 - day tariff suspension, concerns about "deposit migration" after the deposit rate cut, and worries about bond issuance supply had a bearish impact on the bond market. Current bond market investors were generally cautious, and the view of "bullish but not buying" limited the depth of market adjustment to some extent and provided the probability and odds for subsequent trading [3]. 3. Strategy Recommendations - **Stock Index**: Adopt a defensive and wait - and - see strategy [2]. - **Treasury Bonds**: Bullish in the short term [4]. 4. Market Review - **Stock Index**: The main contract futures of CSI 300 fell 0.61%, that of SSE 50 fell 0.46%, that of CSI 500 rose 0.33%, and that of CSI 1000 rose 0.69% [6]. - **Treasury Bonds**: The 10 - year main contract rose 0.00%, the 5 - year main contract rose 0.01%, the 30 - year main contract rose 0.13%, and the 2 - year main contract rose 0.03% [9]. 5. Technical Analysis - **Stock Index**: The KDJ indicator of the Shanghai Composite Index suggested a weak trend [7]. - **Treasury Bonds**: The KDJ indicator of the T main contract showed a fluctuating and strong trend [10]. 6. Futures Data | Date | Futures Variety | Closing Price (yuan/contract) | Change (%) | Trading Volume (lots) | Open Interest (lots) | | ---- | ---- | ---- | ---- | ---- | ---- | | 2025 - 05 - 23 | CSI 300 Continuous | 3,831.20 | - 0.61 | 62,863 | 138,782 | | 2025 - 05 - 23 | SSE 50 Continuous | 2,684.40 | - 0.46 | 34,244 | 51,685 | | 2025 - 05 - 23 | CSI 500 Continuous | 5,594.60 | 0.33 | 56,454 | 110,791 | | 2025 - 05 - 23 | CSI 1000 Continuous | 5,925.00 | 0.49 | 133,893 | 181,503 | | 2025 - 05 - 23 | 10 - year Treasury Bond Continuous | 108.855 | 0.00 | 52,310 | 166,526 | | 2025 - 05 - 23 | 5 - year Treasury Bond Continuous | 106.060 | 0.01 | 48,389 | 125,742 | | 2025 - 05 - 23 | 30 - year Treasury Bond Continuous | 119.760 | 0.13 | 58,787 | 91,927 | | 2025 - 05 - 23 | 2 - year Treasury Bond Continuous | 102.430 | 0.03 | 31,127 | 102,629 | [12]

Report Summary 1. Investment Ratings - No specific industry investment ratings are provided in the report. 2. Core Views - **Equity Index**: The Trump tax - cut bill barely passed in the House of Representatives and still faces challenges in the Senate. Fed理事沃勒 said the tax - cut bill triggered the selling of US Treasuries, and if tariffs stabilize, there may be an interest rate cut in the second half of the year. US May Markit manufacturing and services PMIs exceeded expectations and expanded, with the price index rising again. The Eurozone's May PMI unexpectedly contracted, and the service sector had its worst performance in 16 months. After the US - Japan finance ministers' meeting, the US said "no exchange - rate discussion, the current exchange rate reflects fundamentals", and Japan said "no discussion on US Treasuries". In the domestic market, the rotation is fast, the main driving force of the market is weak, and the equity index may fluctuate [1]. - **Treasury Bonds**: Recently, the market has entered a data vacuum zone, lacking new positive or negative factors, and oscillation has become the consensus. From the futures trend, the long - and short - side forces are evenly matched. During the oscillation period, when it touches the upper or lower limit of the range, there will be short - term confrontations between the long and short sides. Without incremental information or fundamental data guidance in the short term, the oscillation pattern is expected to continue, and the market may continue to focus on spread mining [3]. 3. Strategy Recommendations - **Equity Index**: Adopt a defensive and wait - and - see strategy [2]. - **Treasury Bonds**: Bullish in the short term [4]. 4. Market Review - **Equity Index**: The main contract futures of the CSI 300 index fell 0.05%, the main contract futures of the SSE 50 index rose 0.1%, the main contract futures of the CSI 500 index fell 0.7%, and the main contract futures of the CSI 1000 index fell 0.81% [6]. - **Treasury Bonds**: The 10 - year main contract rose 0.01%, the 5 - year main contract rose 0.0%, the 30 - year main contract fell 0.04%, and the 2 - year main contract rose 0.0% [9]. 5. Technical Analysis - **Equity Index**: The KDJ indicator of the Shanghai Composite Index shows a possible oscillating operation with adjustment risks [7]. - **Treasury Bonds**: The KDJ indicator of the T main contract shows an oscillating operation and may rebound [10]. 6. Futures Data | Date | Futures Variety | Closing Price (Yuan/Zhang) | Increase/Decrease (%) | Trading Volume (Lots) | Open Interest (Lots) | | --- | --- | --- | --- | --- | --- | | 2025 - 05 - 22 | CSI 300 Main Continuous | 3879.60 | - 0.05 | 52835 | 143884 | | 2025 - 05 - 22 | SSE 50 Main Continuous | 2715.40 | 0.10 | 28918 | 51342 | | 2025 - 05 - 22 | CSI 500 Main Continuous | 5614.80 | - 0.70 | 53832 | 116140 | | 2025 - 05 - 22 | CSI 1000 Main Continuous | 5950.00 | - 0.81 | 148619 | 195203 | | 2025 - 05 - 22 | 10 - Year Treasury Bond Main Continuous | 108.81 | 0.01 | 65126 | 156071 | | 2025 - 05 - 22 | 5 - Year Treasury Bond Main Continuous | 105.98 | - 0.00 | 47004 | 116615 | | 2025 - 05 - 22 | 30 - Year Treasury Bond Main Continuous | 119.52 | - 0.04 | 67554 | 82843 | | 2025 - 05 - 22 | 2 - Year Treasury Bond Main Continuous | 102.37 | - 0.00 | 34274 | 100554 | [12]

Report Summary 1. Report Industry Investment Rating - No specific industry investment rating provided in the report. 2. Report Core Views - **Stock Index**: Extreme conservative House members threaten to block Trump's tax - cut bill, and the White House warns that killing the bill would be an "ultimate betrayal". The EU says the US negotiation proposal is unrealistic and has a new plan. The US states that the Treasury Secretary and the Japanese Finance Minister did not discuss exchange - rate levels at the G7 meeting. Shanghai releases a special action plan to boost consumption. The domestic market rotation is fast, the main driving force of the market is weak, and the stock index may fluctuate [1]. - **Treasury Bonds**: The suppression of bonds by the equity market is limited. Treasury bond futures show strong buying support near the technical support level in the afternoon. The market is looking for cost - effectiveness, and the allocation funds favor long - term local bonds in central regions with sufficient spread protection. In the medium - to - long term, the upside space of yields is relatively limited under the background that the logic of loose liquidity remains and the signal of fundamental recovery needs to be verified. However, the short - term market lacks clear catalysts and the trend is in a stalemate [3]. 3. Summary by Related Catalogs Stock Index - **Market Review**: The main contract futures of CSI 300 rose 0.43%, the main contract futures of SSE 50 rose 0.46%, the main contract futures of CSI 500 rose 0.13%, and the main contract futures of CSI 1000 fell 0.18% [6]. - **Technical Analysis**: The KDJ indicator of the Shanghai Composite Index shows that it may fluctuate and there is an adjustment risk [7]. - **Strategy Suggestion**: Adopt a defensive and wait - and - see strategy [2]. Treasury Bonds - **Market Review**: The 10 - year main contract rose 0%, the 5 - year main contract rose 0.03%, the 30 - year main contract rose 0.27%, and the 2 - year main contract rose 0.02% [9]. - **Technical Analysis**: The KDJ indicator of the T main contract shows an oscillating operation and may rebound [10]. - **Strategy Suggestion**: Bullish in the short term [4]. Futures Data - On May 21, 2025, the closing prices, price changes, trading volumes, and open interests of various stock index and treasury bond futures contracts are provided in a table [12].

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首席点评： 宏观利好，内需接力 中美达成重要共识。中美经贸高层会谈 5月10日至11日在瑞士日内瓦举行。中美经贸中方牵头人、国务 院副总理当地时间11日晚在出席中方代表团举行的新闻发布会时表示，此次中美经贸高层会谈坦诚、深 入、具有建设性，达成重要共识，并取得实质性进展。国际方面：俄乌传出谈判迹象，特朗普表示今日 与双方领导展开沟通。巴以冲突仍在持续，暂无停火意向。印巴冲突导致克什米尔地区战火不断，核威 胁升级，大国博弈加剧。特朗普继续批评鲍威尔降息节奏太迟，但短期来看美联储尚未释放降息讯号。 在宏观面向好的预期下，商品将持续迎接不断的扰动冲击。坚定看好需求韧性下，各品种回到基本面轨 道，等待明确新的方向。 重点品种： 航运、原油、聚烯烃 集运欧线： 上周五 EC回调，08合约在传统旺季预期下回调相对有限。盘后公布的SCFI欧线为1154美 元/TEU，环比小幅下降7美元/TEU，基本对应于05.19-05.25期间的欧线订舱价，反映5月下旬运价的多 数沿用。在经过前期宏观情绪缓和及美线抢运潮带来的欧线旺季预期升温后，短期市场有所降温，逐渐 回归理性，预计将回归欧线本身的基本面及估值表现。以目前6月初大柜报价 ...

Quantitative Models and Construction Methods 1. Model Name: Dividend Impact Prediction Model - **Model Construction Idea**: The model aims to predict the impact of dividends on stock index futures pricing by estimating the dividend points for different contracts and calculating their influence on futures prices[7][10][19] - **Model Construction Process**: 1. **Estimate Component Stocks' Net Profit**: Use available financial data in the following priority: annual reports > quick reports > earnings warnings > trailing twelve-month (TTM) net profit from Q3 reports > analysts' earnings forecasts[21][22] 2. **Calculate Pre-Tax Dividend Total**: Based on the estimated net profit, calculate the total dividend amount using historical dividend payout ratios or directly use announced dividend plans[23][26] 3. **Assess Dividend Impact on Index**: - Dividend Yield = Post-Tax Dividend Total / Latest Market Value - Dividend Points Impact = Stock Weight × Dividend Yield - Adjust stock weights using the formula: $$\mathrm{w_{it}={\frac{w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}{\sum_{1}^{n}w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}}}$$ where \( w_{i0} \) is the initial weight, and \( R \) is the stock's return over the period[24] 4. **Predict Contract-Specific Impact**: Aggregate dividend impacts for all component stocks within the contract's maturity period, considering historical ex-dividend dates and adjustments for shareholder meeting schedules[25][27][28] 5. **Theoretical Pricing Formula**: - For discrete dividends: $$\mathbf{D}=\sum_{\mathrm{i=1}}^{\mathrm{m}}\mathbf{D}_{\mathrm{i}}\,/(1+\phi)$$ $$F_t = (S_t - D)(1 + r)$$ - For continuous dividends: $$F_t = S_t e^{(r-d)(T-t)}$$ where \( F_t \) is the futures price, \( S_t \) is the spot price, \( D \) is the dividend value, \( r \) is the risk-free rate, and \( d \) is the annualized dividend yield[30][31] - **Model Evaluation**: The model provides a systematic and logical framework for estimating dividend impacts, leveraging historical data and reasonable assumptions to enhance prediction accuracy[19][22][26] --- Model Backtesting Results 1. Dividend Impact Prediction Model - **Dividend Points for June Contracts**: - SSE 50: 18.48 - CSI 300: 23.58 - CSI 500: 44.47 - CSI 1000: 36.22[10][13] - **Annualized Hedging Costs (Excluding Dividends)**: - SSE 50: 1.14% - CSI 300: 5.23% - CSI 500: 12.69% - CSI 1000: 16.86%[7][10][13] - **Remaining Impact on June Contracts**: - SSE 50: 0.68% - CSI 300: 0.61% - CSI 500: 0.78% - CSI 1000: 0.60%[13]

Group 1: Report Investment Ratings - The short - term outlook for treasury bonds is positive [4] Group 2: Core Views - For stock indices, China's April social financing increment was 1.16 trillion yuan, new RMB loans were 280 billion yuan, the M2 - M1 gap widened, and RMB deposits increased by 12.55 trillion yuan in the first four months. The establishment of the "National Venture Capital Guidance Fund" was announced. The North - bound 50 and Flush micro - cap stocks reached new highs, while bank ETFs also neared historical highs, indicating more volatile subsequent stock index movements. Currently, the market index is close to the March high, but the fundamentals, sentiment, hot topics, and trading volume are not as good as in March. It is advisable to adopt a defensive stance and wait for a clear direction [1] - For treasury bonds, in the short term, the market is in a state of multi - empty equilibrium. The trading around short - term tariff issues is almost over. The core issues driving the market are whether funds can remain stable and whether there will be a rebound in production and exports. There is no clear tendency in the game between reality and expectations, and the market trend is rather confusing. It is difficult for the yield to break through the oscillation range since April before the continuous loosening of funds is disproven and the expectation of fundamental improvement is confirmed [3] Group 3: Strategy Recommendations - For stock indices, adopt a defensive stance and wait and see [2] - For treasury bonds, be bullish in the short term [4] Group 4: Market Review - For stock indices, the futures of the CSI 300 index main contract rose 1.45%, the SSE 50 index main contract futures rose 1.85%, the CSI 500 index main contract futures rose 0.77%, and the CSI 1000 index main contract futures rose 0.77% [6] - For treasury bonds, the 10 - year main contract fell 0.12%, the 5 - year main contract fell 0.13%, the 30 - year main contract fell 0.23%, and the 2 - year main contract fell 0.05% [9] Group 5: Technical Analysis - For stock indices, the KDJ indicator of the Shanghai Composite Index shows possible oscillatory movement with adjustment risks [7] - For treasury bonds, the KDJ indicator of the T main contract shows oscillatory movement with a possible rebound [10] Group 6: Futures Data | Date | Futures Variety | Closing Price (yuan/piece) | Change (%) | Trading Volume (lots) | Open Interest (lots) | | --- | --- | --- | --- | --- | --- | | 2025 - 05 - 14 | CSI 300 Continuous | 3907.40 | 1.45 | 81957 | 164602 | | 2025 - 05 - 14 | SSE 50 Continuous | 2737.60 | 1.85 | 48329 | 61472 | | 2025 - 05 - 14 | CSI 500 Continuous | 5697.80 | 0.77 | 72621 | 117024 | | 2025 - 05 - 14 | CSI 1000 Continuous | 6043.00 | 0.77 | 189515 | 196475 | | 2025 - 05 - 14 | 10 - year Treasury Bond Continuous | 108.53 | - 0.12 | 68753 | 126019 | | 2025 - 05 - 14 | 5 - year Treasury Bond Continuous | 105.81 | - 0.13 | 55124 | 104037 | | 2025 - 05 - 14 | 30 - year Treasury Bond Continuous | 118.93 | - 0.23 | 78310 | 59236 | | 2025 - 05 - 14 | 2 - year Treasury Bond Continuous | 102.29 | - 0.05 | 35705 | 59021 | [12]

05 月 13 日，上证综指涨跌幅 0.17%，收于 3374.87 点，成交额 5066.09 亿元，深成指数涨跌幅-0.13%，收于 10288.08 点，成交额 7849.16 亿元。 中证 1000 指数涨跌幅-0.27%，成交额 2634.63 亿元，其中开盘价 6219.45，收盘价 6151.01，当日最高价 6220.44，最低价 6141.68； 中证 500 指数涨跌幅-0.21%，成交额 1942.52 亿元，其中开盘价 5838.03，收盘价 5781.67，当日最高价 5838.03，最低价 5772.07； 沪深 300 指数涨跌幅 0.15%，成交额 2675.86 亿元，其中开盘价 3915.59，收盘价 3896.26，当日最高价 3915.59，最低价 3890.69； 上证 50 指数涨跌幅 0.2%，成交额 693.58 亿元，其中开盘价 2713.11，收盘价 2708.06，当日最高价 2713.11，最低价 2702.06。 图表 1：中证 1000、中证 500、沪深 300、上证 50 日内走势（%） 图表 2：四大指数个股涨跌幅比例（%）统计 -0.6 -0 ...