熱血流成河

https://www.cftc.gov/IndustryOversight/ContractsProducts/SecurityFuturesProduct/sfpoverview.html

A securities index is classified as a narrow-based security index if it meets any one of the following criteria:

• The index has nine or fewer component securities;
• Any one of the component securities comprises more than 30 percent of the index’s weighting;
• The five highest weighted component securities together comprise more than 60 percent of the index’s weighting; or
• The lowest weighted component securities comprising, in the aggregate, 25 percent of the index’s weighting have an aggregate dollar value of average daily trading volume (ADTV) of less than $50 million (or $30 million in the case of an index with 15 or more component securities). The dollar value of ADTV is calculated as of the preceding six full calendar months.

https://www.cftc.gov/sites/default/files/opa/press00/opasynposis.htm

Broad-Based Stock Indices

• If a futures contract on a stock index satisfies either of the criteria set forth in Path A or Path B below, it qualifies as a broad-based index under the CFTC�s exclusive jurisdiction:

• "Path A" defines a broad-based index as one that has:
• 1. ten or more securities;
  2. no single component constitutes more than 30% of the weighting;
  3. the five largest components by weight collectively constitutes no more than 60% of the weighting; and
  4. the bottom quartile of component stocks has a combined average daily dollar trading volume of more than $50 million, or $30 million if the index includes at least 15 securities.

• "Path B" alternatively defines a broad based index as one that has:
• 1. nine or more securities;
  2. no component constitutes more than 30% of the weighting; and
  3. each component is a "large" stock (defined as one of the top 500 stocks common to rankings of both the largest market capitalization and largest average daily trading volume).

• An index that does not qualify as "broad-based" under either Path A or Path B would be defined as a security future subject to the joint jurisdiction of the CFTC and SEC.

https://www.investopedia.com/terms/b/broad-basedindex.asp

What Is a Broad-Based Index?

A broad-based index is designed to reflect the movement of a group of stocks or an entire market—also called a market index. One of the broad-based indexes with the fewest stocks is the Dow Jones Industrial Average (DJIA), which has just 30 stocks. One of the largest is the FT Wilshire 5000 Index (FTW5000). Other examples of broad-based indexes include the S&P 500 Index, the Russell 3000 Index, and the NASDAQ Composite Index.

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台積電（2330）又變「一個人的武林」，今（9）日又大漲36元，市值破21兆元，占台股市值66兆元的占比為32.13%，市場憂慮「窄基指數」問題重啟，恐遭美國外資大賣？金管會證期局副局長高晶萍釋疑說，台股9成外資都在新加坡、香港跟英國，美國只占0.7%，比重不高，而且有3個月過渡期，目前都沒有任何一檔期貨有符合窄基指數定義。

所謂的「窄基指數」是據美國商品交易法（CEA）規定，美國散戶或機構投資人投資的海外指數期貨，若單一成份股占整體指數權重連續3個月中有超過45個交易日超過3成，將會認定為窄基指數期貨，屆時將禁止美國投資人交易。

過去110年4月曾發生過一次 一年後才恢復

而台積電過去「一個人的武林」現象，權值占台股過重，恐會面臨窄基指數賣壓。高晶萍說，美系外資曾發生過一次，110年4月1日時曾發生過大小台指期因台積電權重過大，而轉被視為窄基指數，於111年10月24日又恢復了，歷時約一年多的時間。高晶萍說，美系外資已發生過一次，他們應該知道可用其他方式來取代。

高晶萍強調，依規定要連續交易3個月中的45天符合窄基指數，即占三成的權重，就要被美國撤銷境內交易人交易許可，依公告三個月後不能買賣，即給3個月過渡期。

證期局：美國境內投資人比重只有0.7% 占比不大

證期局副局長高晶萍表示，據期交所統計，外資九成以上來自新加坡、香港跟英國，美國占0.7%，占比不高，會注意並請期貨商採相應措施。主要為請期貨商關懷一下美國投資人，境內投資人不能買賣，有沒有需要協助的地方。

不過高晶萍強調，要達到三個月45天，還是要關注後續交易狀況，期交所會關注，目前台積電還沒有達到這個標準。但她也說，有關這個窄基指數限制只會影響大小台指期貨商品，只有這一檔商品若符合是可能會遭撤銷，但其他有關台股指數的期貨商品不受此限制，境內美國人也都可以買。而且她說，美系外資在美國境內不能買賣，但是可透過集團其他境外公司來台灣交易，過去已經發生過一次，應該會找到可以取代的方法。