商业银行理财子公司净资本管理办法（试行）（征求意见稿）(159)
<P style="LINE-HEIGHT: 150%; MARGIN: 0cm 0cm 0pt; LAYOUT-GRID-MODE: char; mso-layout-grid-align: none" class=MsoNormal><SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US>10.<SPAN style="LINE-HEIGHT: 150%; FONT-FAMILY: 仿宋_GB2312; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-ascii-font-family: 'Times New Roman'">债券远期、国债期货、利率互换（包括利率上限<SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US>/<SPAN style="LINE-HEIGHT: 150%; FONT-FAMILY: 仿宋_GB2312; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-ascii-font-family: 'Times New Roman'">下限<SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US>/<SPAN style="LINE-HEIGHT: 150%; FONT-FAMILY: 仿宋_GB2312; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-ascii-font-family: 'Times New Roman'">双限、远期利率协议、反向浮动利率协议等）投资规模分别按照合约名义价值总额的<SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US>50%<SPAN style="LINE-HEIGHT: 150%; FONT-FAMILY: 仿宋_GB2312; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-ascii-font-family: 'Times New Roman'">、<SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US>5%<SPAN style="LINE-HEIGHT: 150%; FONT-FAMILY: 仿宋_GB2312; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-ascii-font-family: 'Times New Roman'">、<SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US>3%<SPAN style="LINE-HEIGHT: 150%; FONT-FAMILY: 仿宋_GB2312; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-ascii-font-family: 'Times New Roman'">计算。股指期货、权益互换投资规模分别按照合约名义价值总额的<SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US>15%<SPAN style="LINE-HEIGHT: 150%; FONT-FAMILY: 仿宋_GB2312; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-ascii-font-family: 'Times New Roman'">、<SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US>10%<SPAN style="LINE-HEIGHT: 150%; FONT-FAMILY: 仿宋_GB2312; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-ascii-font-family: 'Times New Roman'">计算。商品衍生品、外汇衍生品投资规模按照合约名义价值总额的<SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US>15%<SPAN style="LINE-HEIGHT: 150%; FONT-FAMILY: 仿宋_GB2312; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-ascii-font-family: 'Times New Roman'">和<SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US>3%<SPAN style="LINE-HEIGHT: 150%; FONT-FAMILY: 仿宋_GB2312; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-ascii-font-family: 'Times New Roman'">计算。买入期权投资规模按照期权的权利金价格之和计算。卖出场内期权投资规模以相关工具的本金值乘以<SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US>Delta<SPAN style="LINE-HEIGHT: 150%; FONT-FAMILY: 仿宋_GB2312; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-ascii-font-family: 'Times New Roman'">值所得结果的<SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US>15%<SPAN style="LINE-HEIGHT: 150%; FONT-FAMILY: 仿宋_GB2312; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-ascii-font-family: 'Times New Roman'">计算。卖出场外期权投资规模按照该期权在给定压力情形下的最大损失的<SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US>5<SPAN style="LINE-HEIGHT: 150%; FONT-FAMILY: 仿宋_GB2312; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-ascii-font-family: 'Times New Roman'">倍计算，且不低于名义金额的<SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US>5‰<SPAN style="LINE-HEIGHT: 150%; FONT-FAMILY: 仿宋_GB2312; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-ascii-font-family: 'Times New Roman'">；给定压力情形为期权标的价格以当前价格为基础上下波动<SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US>20%<SPAN style="LINE-HEIGHT: 150%; FONT-FAMILY: 仿宋_GB2312; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-ascii-font-family: 'Times New Roman'">。买入信用衍生品按照账面价值的<SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US>100%<SPAN style="LINE-HEIGHT: 150%; FONT-FAMILY: 仿宋_GB2312; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-ascii-font-family: 'Times New Roman'">计算。其他衍生产品按照合约名义价值计算。<SPAN style="LINE-HEIGHT: 150%; COLOR: black; FONT-SIZE: 14pt; mso-font-kerning: 0pt; mso-fareast-font-family: 仿宋_GB2312" lang=EN-US><o:p></o:p></FONT></P>


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