Quantitative Models and Construction Methods - **Model Name**: Index Dividend Points Estimation Model **Model Construction Idea**: This model aims to estimate the dividend points of stock indices to account for the impact of constituent stock dividends on index futures' premium/discount levels. It is essential for accurately calculating the basis and premium/discount levels of index futures contracts[11][44][47] **Model Construction Process**: 1. **Formula**: Dividend Points = $ \sum_{n=1}^{N} \frac{\text{Dividend Amount of Constituent Stock}}{\text{Total Market Value of Constituent Stock}} \times \text{Constituent Stock Weight} \times \text{Index Closing Price} $ - \( N \): Number of constituent stocks - Dividend amounts are considered only if the ex-dividend date falls between the current date (\( t \)) and the contract expiration date (\( T \))[44] 2. **Steps**: - Obtain constituent stock weights and index closing prices - For stocks with announced dividend amounts and ex-dividend dates, use the provided data - For stocks without announced data, estimate dividend amounts based on historical net profit and payout ratios, and predict ex-dividend dates using historical patterns[45][47] **Model Evaluation**: The model demonstrates high accuracy for indices like the SSE 50 and CSI 300, with prediction errors around 5 points. However, the accuracy for the CSI 500 index is slightly lower, with errors around 10 points[64] - **Model Name**: Dynamic Prediction of Net Profit **Model Construction Idea**: This model predicts annual net profit for constituent stocks based on historical profit distribution patterns, enabling the estimation of dividend amounts for stocks without disclosed data[50][53] **Model Construction Process**: 1. Classify companies into two categories: stable and unstable profit distribution 2. For stable companies, predict based on historical profit distribution patterns 3. For unstable companies, use the previous year's corresponding period profit as the prediction value[53][55] **Model Evaluation**: The model effectively captures profit trends for stable companies but may face challenges with companies exhibiting irregular profit patterns[53] - **Model Name**: Historical Dividend Payout Ratio Estimation **Model Construction Idea**: This model estimates the dividend payout ratio for constituent stocks based on historical averages, assuming stability in payout ratios for companies with consistent operations[54] **Model Construction Process**: 1. If the company paid dividends last year, use the previous year's payout ratio 2. If no dividends were paid last year, use the average payout ratio of the past three years 3. If the company has never paid dividends, assume no dividends for the current year 4. Cap the payout ratio at 100% to avoid unrealistic estimates[56] **Model Evaluation**: The model is suitable for companies with stable operations but may not be accurate for firms with volatile financial policies[54] - **Model Name**: Ex-Dividend Date Prediction Model **Model Construction Idea**: This model predicts the ex-dividend dates of constituent stocks based on historical intervals between announcement and ex-dividend dates[54][59] **Model Construction Process**: 1. If the ex-dividend date is announced, use the provided date 2. If not, estimate based on historical intervals between announcement and ex-dividend dates 3. Default dates are used for companies with no historical data or when historical dates are deemed unreliable[59] **Model Evaluation**: The model effectively predicts ex-dividend dates for most companies, with approximately 90% of firms completing dividends by the end of July[59] Model Backtesting Results - **Index Dividend Points Estimation Model**: - SSE 50 Index: Prediction error ~5 points[64] - CSI 300 Index: Prediction error ~5 points[64] - CSI 500 Index: Prediction error ~10 points[64] Quantitative Factors and Construction Methods - **Factor Name**: Constituent Stock Weight Adjustment Factor **Factor Construction Idea**: Adjust constituent stock weights dynamically to reflect daily changes in stock prices and corporate actions[48][49] **Factor Construction Process**: 1. Formula: $ W_{n,t} = \frac{w_{n0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{i})} $ - \( w_{n0} \): Weight of stock \( n \) at the last disclosed date - \( r_{n} \): Non-adjusted return of stock \( n \) since the last disclosed date 2. Use daily disclosed weights from the China Securities Index Company to ensure accuracy[48][49] **Factor Evaluation**: This factor improves the precision of weight adjustments, especially during periods of corporate actions like stock splits or rights issues[49] Factor Backtesting Results - **Constituent Stock Weight Adjustment Factor**: - Daily weight adjustments align closely with disclosed weights, ensuring high accuracy in index calculations[49]

- The report introduces a quantitative model for estimating dividend points in stock indices, which is crucial for accurately assessing the premium or discount in stock index futures contracts. The model incorporates factors such as component stock weights, dividend amounts, total market capitalization, and index closing prices[38][44][46] - The model calculates the dividend points for a stock index during the period from the current date (t) to the futures contract expiration date (T) using the formula: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount of Stock n}}{\text{Total Market Cap of Stock n}} \times \text{Weight of Stock n} \times \text{Index Closing Price} \right) $$ This formula ensures that only stocks with ex-dividend dates between t and T are included[38][44] - Component stock weights are dynamically adjusted using the formula: $$ W_{n,t} = \frac{w_{n0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{i})} $$ Here, \( w_{n0} \) represents the weight of stock \( n \) at the last disclosed date, and \( r_{n} \) is the non-adjusted return of stock \( n \) between the last disclosed date and the current date[45] - The model estimates net profit for stocks without disclosed data by categorizing companies into stable and unstable profit distribution groups. Stable companies are predicted based on historical patterns, while unstable ones use the previous year's profit as a proxy[47][50] - Dividend payout ratios are estimated using historical averages. If a company paid dividends in the previous year, that ratio is used; otherwise, a three-year average is applied. Companies with no dividend history are assumed not to pay dividends[51][53] - Ex-dividend dates are predicted using a linear extrapolation method based on historical intervals between announcement and ex-dividend dates. Default dates are applied if historical data is insufficient or inconsistent[51][56] - The model's accuracy was validated by comparing predicted dividend points with actual values for the Shanghai 50, CSI 300, and CSI 500 indices in 2023 and 2024. The Shanghai 50 and CSI 300 predictions showed errors within 5 points, while the CSI 500 had slightly larger errors, around 10 points[57][61][66]

Report Industry Investment Rating No information provided in the given text. Core Viewpoints - **Macro**: The US tariff exemption extension is entering its final week, and negotiations with countries like the EU, India, and Mexico are in a tense phase, with uncertainties regarding potential tariff counter - measures. Overseas is in a week of intensive macro - events, including the Fed's interest - rate meeting and key economic data releases. China will hold a Politburo meeting, and attention should be paid to economic work guidance and PMI data to confirm economic recovery. The real estate sales remain at a low level, the service industry is structurally differentiated and has declined due to summer heat, and the manufacturing's rush - to - export phase is ending, posing potential downward pressure on the Q3 economy. However, anti - involution policies are expected to gradually reverse deflation [4]. - **Funds**: Domestic liquidity is generally loose but marginally tightening. Bond market redemptions are flowing into the stock market, providing incremental funds. Overseas financial conditions have improved, with a decline in the real interest rate of US bonds, leading to foreign capital inflows into the domestic stock market. Passive ETF shares are being re - increased, equity financing such as IPOs has cooled, margin trading funds are continuously flowing in, and the pressure of restricted - share unlocks has increased, overall favoring liquidity [4]. - **Valuation**: After a short - term rebound, the valuations of various indices are still at a historically neutral - to - high level. The stock - bond yield spreads at home and abroad have further declined, making the attractiveness of allocation funds average [4]. - **Strategy**: The current valuations of broad - based indices are not cheap, and the foreign - capital risk premium index has dropped to a low level. The pressure of US tariff policies may resurface. Considering that the stock market has prematurely priced in macro - expectations, the market is expected to oscillate, reach a peak, and then correct in the next 1 - 2 weeks when positive factors are realized or fall short of expectations. It is recommended to reduce long positions in stock indices after sharp rallies this week or use out - of - the - money put options to protect against black - swan risks. In terms of style, hold long positions in IC and IM, or conduct an arbitrage strategy of going long on IM and short on IF [4]. Summary by Directory 1. Market Review - **Stock Indices**: In the past week, the Science and Technology Innovation 50 Index led the gains, while the German stock market led the losses. The week - on - week changes of major indices are as follows: the Shanghai Composite Index rose 1.67%, the Hang Seng China Enterprises Index rose 1.83%, the Shenzhen Component Index rose 2.33%, and the ChiNext Index rose 2.76%, among others [8][9]. - **Sectors**: Coal led the gains, and banks led the losses. Coal > Steel > Non - ferrous metals > Building materials... > Electric power and public utilities > Communications > Comprehensive finance > Banks [12]. - **Futures**: The basis rates of the four major stock index futures (IH, IF, IC, and IM) changed by 0.21%, 0.09%, - 0.39%, and - 0.31% respectively, with IH reaching par and the discounts of IC and IM slightly widening. The inter - period spread rates (current and next month) of the four major stock index futures changed by - 0.3%, - 0.25%, - 0.19%, and - 0.25% respectively, and the inter - period discounts of the four major futures began to widen. The inter - period spread rates (next quarter and current month) changed by - 0.21%, - 0.61%, - 1.32%, and - 1.81% respectively, with the long - term discounts of the four major futures widening significantly [19]. 2. Fund Flows - **Margin Trading and Market - Stabilizing Funds**: Last week, margin trading funds flowed in 39.65 billion yuan, reaching a total of 1.94 trillion yuan. The proportion of margin trading balance to the circulating market value of the Shanghai and Shenzhen stock markets remained unchanged at 2.26%. The scale of passive stock ETF funds was 3.17358 trillion yuan, an increase of 74.43 billion yuan from the previous week, and the share was 198.619 billion shares, with a net subscription of 290 million shares from the previous week [22]. - **Industrial Capital**: In July, the cumulative equity financing was 45.49 billion yuan, with 6 cases. Among them, IPO financing was 20.92 billion yuan, private placement was 24.58 billion yuan, and convertible bond financing was 8.79 billion yuan. The market value of stock market unlocks last week was 86.84 billion yuan, a significant increase of 58.38 billion yuan from the previous week [26]. 3. Liquidity - **Monetary Injection**: Last week, the central bank's OMO reverse - repurchase matured at 1.7268 trillion yuan, with a reverse - repurchase injection of 1.6563 trillion yuan, resulting in a net monetary withdrawal of 7.05 billion yuan. The MLF was injected with 400 billion yuan in July and matured at 300 billion yuan, with continuous monthly net injections for 5 months. Overall, the liquidity supply was neutral but marginally tightening [28]. - **Fund Prices**: The DR007, R001, and SHIBOR overnight rates changed by 14.5bp, 6.4bp, and 5.8bp respectively, reaching 1.65%, 1.55%, and 1.52%. The issuance rate of inter - bank certificates of deposit rebounded by 2.1bp, and the CD rate issued by joint - stock banks rebounded by 4.1bp to 1.67%. The fund supply tightened marginally, debt financing demand declined, but the real - economy financing demand recovered, and the fund prices generally rebounded slightly [34]. - **Term Structure**: Last week, the yields of 10 - year, 5 - year, and 2 - year Treasury bonds changed by 6.7bp, 6bp, and 5.2bp respectively; the yields of 10 - year, 5 - year, and 2 - year China Development Bank bonds changed by 8.9bp, 9.5bp, and 6.6bp respectively. The yield term structure continued to steepen, and the credit spreads between Treasury bonds and China Development Bank bonds widened at both the long and short ends, indicating a return of broad - credit expectations [38]. - **Sino - US Interest Rate Spread**: As of July 25, the US 10 - year Treasury yield changed by - 4.0bp to 4.40%, the inflation expectation changed by 3.0bp to 2.44%, and the real interest rate changed by - 7.00bp to 1.96%. The Sino - US interest rate spread inversion narrowed by 10.79bp to - 266.61bp, and the offshore RMB appreciated by 0.19% [41]. 4. Macroeconomic Fundamentals - **Real Estate Demand**: As of July 24, the weekly trading area of commercial housing in 30 large - and medium - sized cities was 1.531 million square meters, showing a seasonal improvement from the previous week's 1.372 million square meters but still at a relatively low level compared to the same period. Second - hand housing sales declined seasonally, reaching the lowest level in nearly seven years. The real estate market sales generally returned to a low level, and attention should be paid to whether the Politburo meeting will propose signals to boost the real estate market [44]. - **Service Industry Activities**: As of July 25, the daily average subway passenger volume in 28 large - and medium - sized cities dropped significantly to 81.84 million person - times, a 1.2% decrease from the same period last year but a 21.8% increase from 2021. The Baidu congestion delay index of 100 cities decreased slightly from the previous week, indicating that the service industry's economic activities were cooling down [48]. - **Manufacturing Tracking**: Due to the anti - involution policy, the overall capacity utilization rate of the manufacturing industry declined. The capacity utilization rates of steel mills, asphalt, cement clinker enterprises, and coking enterprises changed by - 0.08%, - 4%, - 0.26%, and 0.44% respectively. The average operating rate of the chemical industry chain related to external demand changed by 0.01% from the previous week. Overall, the domestic and foreign demand trends of the manufacturing industry improved marginally, and it has entered the seasonal peak season [52]. - **Goods Flow**: The goods and people flow remained at a relatively high level. The postal express and civil aviation sectors showed a significant weekly decline, while railway transportation rebounded slightly, which may be related to the rush - to - export. There is a risk of a second seasonal decline from August to September [56]. - **Exports**: As the rush - to - export after the Sino - US trade talks is nearing its end, the port cargo throughput and container throughput have increased significantly. There is a risk of a second decline from August to September when the 90 - day tariff exemption period ends [61]. - **Overseas**: With the US Markit manufacturing PMI preliminary value in July falling back into the contraction range and the US durable goods orders data dropping more than expected, the financial market has revised its expectations for the Fed's interest - rate path. The market expects 2 interest rate cuts in 2025, with a reduction of 25 - 50bp, and the probability of a September rate cut has increased to 61.9% [63]. 5. Other Analyses - **Valuation**: The stock - bond risk premium was 3.07%, a 0.15% decrease from the previous week, at the 58.5% quantile. The foreign - capital risk premium index was 3.99%, a 0.05% decrease from the previous week, at the 21.2% quantile. The valuations of the Shanghai 50, CSI 300, CSI 500, and CSI 1000 indices were at the 81.1%, 76.8%, 87.3%, and 71.4% quantiles of the past 5 years respectively, and their relative valuation levels were not low [66][71]. - **Quantitative Diagnosis**: According to seasonal laws, the stock market is in a period of seasonal shock - driven growth and structural differentiation in July. The growth style is relatively dominant, and the cyclical style first rises and then falls. There are opportunities to go long on IC and IM on pullbacks and short on IF and IH on sharp rallies [74]. - **Financial Calendar**: China will release July's manufacturing and service industry PMI and industrial enterprise profits, which will help confirm economic recovery. Overseas, attention should be paid to the US non - farm payroll report, job vacancies, manufacturing PMI, PCE inflation data, and the Fed's interest - rate meeting [76].

Group 1: Report Investment Rating - The report does not provide an investment rating for the industry. Group 2: Core Viewpoints - The A-share market continued to rise, with the Wind All A index up 0.89% and a trading volume of 1.22 trillion yuan. The CSI 1000 index rose 1.26%, the CSI 500 index rose 0.88%, the SSE 50 index rose 0.16%, and the SSE 300 index rose 0.37%. The defense and military industry led the gains, and the TMT sector strengthened. The Fed Chairman's remarks and the dot plot have led the market to price in interest rate cuts in advance, and the Nasdaq is approaching its all-time high. The A-share market has also been boosted and has risen for two consecutive days, but its valuation is above the historical average, making it difficult to continue a sharp upward trend. The stablecoin concept has been popular recently, but it is still a long way from replacing the US dollar as a trading medium. The domestic fundamentals show that the manufacturing PMI in June was 49.7, still in the contraction range; the PPI in May was -3.3% year-on-year, down from April; and the new RMB loans were 620 billion yuan, 330 billion yuan less than the same period last year. Under the background of debt reduction, credit contraction and insufficient demand are still the main contradictions, and the index is difficult to break through the center and rise significantly. On the other hand, the corporate profitability in the first half of 2025 has improved significantly compared with 2024, and with the support of allocation funds, the A-share index will not fall significantly in the short term. It is expected that the index will continue to fluctuate in the future [1][2]. Group 3: Summary by Directory 1. Daily Price Changes - **Stock Index Futures**: The IH contract rose 9.0 points (0.34%), the IF contract rose 9.2 points (0.24%), the IC contract rose 36.0 points (0.62%), and the IM contract rose 37.8 points (0.62%) [3]. - **Stock Indexes**: The SSE 50 index rose 4.4 points (0.16%), the SSE 300 index rose 14.3 points (0.37%), the CSI 500 index rose 51.7 points (0.88%), and the CSI 1000 index rose 79.2 points (1.26%) [3]. - **Treasury Bond Futures**: The TS contract fell 0.044 points (-0.04%), the TF contract fell 0.105 points (-0.10%), the T contract fell 0.15 points (-0.14%), and the TL contract remained unchanged [3]. - **Treasury Bond Yields**: The yields of 2-year, 5-year, 10-year, and 30-year treasury bonds increased by 1.32, 0.72, 0.81, and 1.5 basis points respectively [3]. 2. Market News - On June 30, the National Bureau of Statistics and the China Federation of Logistics and Purchasing released data showing that the manufacturing PMI, non-manufacturing business activity index, and composite PMI output index all rebounded in June, reaching 49.7%, 50.5%, and 50.7% respectively. The manufacturing production and demand indexes were in the expansion range, and the price index rebounded; the construction industry in the non-manufacturing business activity expanded faster [4]. 3. Chart Analysis - **Stock Index Futures**: The report provides charts of the trends and basis of the IH, IF, IC, and IM contracts [6][7][8][9][10]. - **Treasury Bond Futures**: The report provides charts of the trends, basis, inter - period spreads, cross - variety spreads, and funding rates of treasury bond futures and the yields of treasury bond cash [13][14][15][16][17]. - **Exchange Rates**: The report provides charts of the central parity rates of the US dollar, euro against the RMB, forward exchange rates, the US dollar index, and exchange rates between major currencies [20][21][22][24][25].

Report Industry Investment Rating - No industry investment rating is provided in the report. Core Viewpoints - The A-share market rose rapidly yesterday, with the Wind All A index up 1.56% and a trading volume of 1.45 trillion yuan. The conflict between Iran and Israel has limited direct impact on the A-share market. Given the current credit contraction and insufficient demand, the index is unlikely to break through the central level and rise significantly. However, with the improvement in corporate earnings in H1 2025 compared to 2024 and the support of allocation funds, the A-share index will not experience a sharp decline in the short term. It is expected that the index will mainly fluctuate in the future [1]. - Treasury bond futures closed lower, with the 30-year main contract down 0.27%, the 10-year main contract down 0.11%, the 5-year main contract down 0.07%, and the 2-year main contract down 0.02%. The central bank conducted 4065 billion yuan of 7-day reverse repurchase operations, with a net injection of 2092 billion yuan. The bond market lacks the momentum to strengthen significantly and is likely to remain in a range-bound pattern [1][2]. Summary by Directory Research Viewpoints - **Stock Index Futures**: The A-share market showed a significant upward trend, with multiple sectors rising. The conflict between Iran and Israel had limited direct impact on the A-share market. The domestic economy faces challenges such as credit contraction and insufficient demand, but corporate earnings have improved, leading to an expected volatile trend for the index [1]. - **Treasury Bond Futures**: Treasury bond futures closed lower. The central bank's open market operations led to a slight tightening of the capital market. Given the economic resilience and the approaching half-year end, the bond market is likely to remain range-bound [1][2]. Price Changes in Futures Contracts - **Stock Index Futures**: On June 24, 2025, IH rose 1.10%, IF rose 1.45%, IC rose 1.79%, and IM rose 2.46% compared to the previous day [3]. - **Stock Indexes**: The Shanghai Composite 50 Index rose 1.16%, the CSI 300 Index rose 1.20%, the CSI 500 Index rose 1.62%, and the CSI 1000 Index rose 1.92% [3]. - **Treasury Bond Futures**: TS fell 0.03%, TF fell 0.08%, T fell 0.12%, and TL fell 0.30% [3]. Market News - An event to commemorate the 80th anniversary of the victory of the Chinese People's War of Resistance against Japanese Aggression and the World Anti-Fascist War will be held on September 3, including a military parade, and President Xi Jinping will deliver an important speech [4]. Chart Analysis - **Stock Index Futures**: The report presents the trends and basis trends of IH, IF, IC, and IM main contracts, providing a visual reference for the performance of stock index futures [6][7][9]. - **Treasury Bond Futures**: The report includes the trends of treasury bond futures main contracts, treasury bond spot yields, basis, inter - period spreads, cross - variety spreads, and capital interest rates, helping to analyze the treasury bond futures market [13][15][17]. - **Exchange Rates**: The report shows the exchange rate trends of the US dollar against the RMB, the euro against the RMB, and other currency pairs, as well as the trends of forward exchange rates, offering insights into the foreign exchange market [20][21][22].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The IC2507 has a discount of 59.43 points, and the IM2507 has a discount of 77.02 points, indicating a bearish signal [3]. - In terms of the market trend, IM > IC > IF > IH (main contracts). IM, IC, and IF are above the 20 - day moving average, showing a bullish sign, while IH is below the 20 - day moving average, suggesting a bearish outlook [3][4]. - For treasury bond futures, the uncertainty of the Israel - Iran situation, consecutive declines in the Hong Kong and A - share small - cap indexes, and a decrease in market hotspots are bearish factors. The margin trading balance increased by 1.4 billion yuan to 1.8167 trillion yuan, which is neutral. The discounts of IH2507 and IF2507 are also neutral [5]. - The main positions of IH and IC show a reduction in long positions, while IF shows an increase in long positions, overall presenting a bullish tendency. Due to concerns about US intervention, increased uncertainty in the Israel - Iran situation, limited positive effects from the Lujiazui Forum, a rebound in crude oil prices, and global stock market adjustments, the domestic index faces increased upward pressure and is expected to undergo a weak adjustment [6]. 3. Summaries by Related Catalogs 3.1 Futures Market - **Index Futures Quotes**: The report provides detailed quotes of various index futures including IH, IF, IC, and IM, such as contract prices, price changes, trading volumes, index prices, price - to - earnings ratios, price - to - book ratios, dividends, spreads, discount ratios, annualized discounts, contract values, delivery dates, and remaining maturities [7]. - **Index Futures Basis and Spreads**: It presents the historical basis and spreads of the Shanghai Composite 50 and CSI 500 index futures, helping to analyze the price relationships between different contracts [9][12]. 3.2 Spot Market - **Important Index Daily Returns**: The daily returns of important indexes such as the Shanghai Composite Index, Shanghai Composite 50, CSI 300, etc., are shown, reflecting the overall performance of the spot market [15][16]. - **Style Index Daily Returns**: The daily returns of style indexes including cyclical, non - cyclical, low - P/E, large - cap, small - cap, etc., are provided, which can be used to analyze the performance of different market styles [18][19][21]. - **Sector Index Daily Returns**: The daily returns of various sector indexes in the Shenwan classification are presented, such as agriculture, basic chemicals, steel, etc., helping to understand the performance of different industries [22]. 3.3 Market Structure - **AH Share Premium**: The historical data of the Hang Seng AH Premium Index is provided, which is useful for analyzing the price differences between A - shares and H - shares [24][25][26]. - **Price - to - Earnings Ratio (PE) and Price - to - Book Ratio (PB)**: The historical P/E and P/B ratios of the Shanghai Composite 50, CSI 300, CSI 500, and ChiNext Index are presented, which can be used to evaluate the valuation levels of different indexes [27][29]. 3.4 Market Fundamentals - **Stock Market Fund Inflows**: The historical data of A - share fund net inflows and the CSI 300 index are shown, reflecting the fund flow situation in the stock market [31][32]. - **Margin Trading Balance**: The historical data of margin trading balance and the CSI 300 index are provided, which can be used to analyze the leverage situation in the market [33][34]. - **Northbound Capital Inflows**: The historical data of northbound capital net inflows are presented, showing the flow of foreign funds into the A - share market [35][36]. - **Fund Costs**: The historical data of SHIBOR overnight, SHIBOR one - week, and SHIBOR two - week rates are provided, reflecting the short - term fund costs in the market [41][42]. 3.5 Market Sentiment - **Trading Activity**: The historical turnover rates of the Shanghai Composite 50, CSI 300, CSI 500, and ChiNext Index are presented, which can be used to analyze the trading activity in the market [44][47][49]. - **Public - Offering Hybrid Fund Positions**: The historical data of public - offering hybrid fund positions are provided, which can reflect the market sentiment of institutional investors [50]. 3.6 Other Market Indicators - **Dividend Yield and Treasury Bond Yield**: The historical data of index futures dividend yields and the 10 - year treasury bond yield are presented, which can be used to compare the investment returns of different assets [53][54]. - **Exchange Rate**: The historical data of the US dollar against the Chinese yuan exchange rate are provided, which can be used to analyze the impact of exchange rate fluctuations on the market [55][56]. - **New Account Openings and Index Tracking**: The relationship between new account openings and the Shanghai Composite Index is tracked, which can reflect the participation enthusiasm of retail investors [57]. - **Newly Established Fund Sizes**: The changes in the newly established sizes of stock - type, hybrid, and bond - type funds are presented, which can reflect the fund - raising situation in the market [59][61][63].

Group 1 - As of June 18, 2025, the dividend progress of component stocks in major indices shows that in the SSE 50 Index, 11 companies are in the proposal stage, 16 in the decision stage, 6 in the implementation stage, 14 have distributed dividends, and 3 do not distribute dividends [1] - In the CSI 300 Index, 65 companies are in the proposal stage, 87 in the decision stage, 23 in the implementation stage, 99 have distributed dividends, and 26 do not distribute dividends [1] - In the CSI 500 Index, 55 companies are in the proposal stage, 107 in the decision stage, 46 in the implementation stage, 215 have distributed dividends, and 77 do not distribute dividends [1] - In the CSI 1000 Index, 59 companies are in the proposal stage, 195 in the decision stage, 81 in the implementation stage, 447 have distributed dividends, and 218 do not distribute dividends [1] Group 2 - The current dividend yield statistics show that the coal, banking, and steel industries rank the highest in terms of dividend yield among disclosed dividend proposals [4] - As of June 18, 2025, the realized dividend yields for major indices are as follows: SSE 50 Index at 0.43% with a remaining yield of 1.90%, CSI 300 Index at 0.61% with a remaining yield of 1.37%, CSI 500 Index at 0.74% with a remaining yield of 0.61%, and CSI 1000 Index at 0.60% with a remaining yield of 0.45% [6] Group 3 - The annualized premium and discount for major stock index futures as of June 18, 2025, are as follows: IH main contract at a premium of 0.28%, IF main contract at a discount of 2.78%, IC main contract at a discount of 11.22%, and IM main contract at a discount of 16.42% [1][3] - The tracking of stock index futures' premium and discount levels will consider the impact of component stock dividends on the index point drop [2] Group 4 - The methodology for estimating dividend points in indices is crucial for accurately assessing the premium and discount of stock index futures, as it accounts for the natural drop in index points due to dividends [27] - The report outlines a detailed process for estimating dividend amounts based on net profit and dividend payout ratios, ensuring accurate predictions for future dividends [34][39]

Report Overview - Report Title: "Stock Index Futures Morning Report - June 12, 2025" - Report Author: Dushufang from the Investment Consulting Department of Dayue Futures - Date of Report: June 12, 2025 1. Report Industry Investment Rating - No industry investment rating is provided in the report. 2. Report's Core View - The domestic index is in an oscillating upward trend, but the upward pressure has increased. It is recommended to reduce holdings on significant intraday rallies and add positions on significant declines, and avoid intraday chasing [4]. 3. Summary by Relevant Catalogs 3.1 Futures Market - **Index Futures Basis and Spread**: - For the Shanghai Composite 50 index futures, the IH2506 contract had a basis of -9.74 points, with an annualized basis of -14.73%. The basis and spread of other contracts showed different degrees of deviation [5]. - For the CSI 300 index futures, the IF2506 contract had a basis of -15.83 points, with an annualized basis of -16.55% [5]. - For the CSI 500 index futures, the IC2506 contract had a basis of -31.75 points, with an annualized basis of -22.35% [5]. - For the CSI 1000 index futures, the IM2506 contract had a basis of -42.51 points, with an annualized basis of -28.06% [5]. - **Analysis of Index Futures Trends**: - The IM, IC, and IF were above the 20 - day moving average, showing a bullish signal, while the IH was below the 20 - day moving average, showing a bearish signal [3]. - The basis of IH2506 and IF2506 was neutral, while the basis of IC2506 and IM2506 indicated a bearish bias [3]. - The long positions of the IH and IC main contracts decreased, while the long positions of the IF main contract increased, showing a bullish signal overall [4]. 3.2 Spot Market - **Daily Returns of Major Indexes**: Different major indexes such as the Shanghai Composite Index, Shanghai Composite 50, CSI 300, etc., showed varying degrees of daily returns, with the Shanghai Composite Index standing above the 3400 mark [3][14]. - **Daily Returns of Style Indexes**: Style indexes such as the 300 - Cycle, 300 - Non - Cycle, and Low - P/E Index also showed different daily returns [17][20]. 3.3 Market Structure - **AH - Share Premium**: The Hang Seng AH Premium Index showed a certain trend over time [23]. - **Price - to - Earnings Ratio (PE) and Price - to - Book Ratio (PB)**: The historical trends of the PE and PB of the Shanghai Composite 50, CSI 300, CSI 500, and ChiNext Index were presented [26][28]. 3.4 Market Fundamentals - **Stock Market Fund Inflows**: The A - share market showed different levels of net fund inflows over time [30]. - **Margin Trading Balance**: The margin trading balance showed a certain trend in relation to the CSI 300 [32]. - **Northbound Capital Flows**: The net inflows of the Shanghai - Hong Kong Stock Connect and Shenzhen - Hong Kong Stock Connect showed fluctuations [34]. - **Fund Costs**: The SHIBOR overnight, one - week, and two - week rates showed changes over time [40]. 3.5 Market Sentiment - **Trading Activity**: The turnover rates of the Shanghai Composite 50, CSI 300, CSI 500, and ChiNext Index (based on free - floating market capitalization) showed different trends [43][46]. - **Positions of Public - Offering Hybrid Funds**: The positions of public - offering hybrid funds showed a certain trend [48]. 3.6 Other Indicators - **Dividend Yield and Treasury Bond Yield**: The dividend yields of index futures and the yield of the 10 - year treasury bond were presented [52]. - **Exchange Rate**: The exchange rate of the US dollar against the Chinese yuan showed a certain trend [54]. - **New Account Openings and Index Tracking**: The relationship between new account openings and the Shanghai Composite Index was tracked [55]. - **New Fund Establishment Scale**: The changes in the new establishment scales of stock - type, hybrid, and bond - type funds were presented [57][59][61].