Analysis On The Application Of Interest Rate Swap In Assets And Liabilities Management Of China 's Commercial Banks

Interest rate swap is one of the most active financial innovation instruments within the swap category, which is engendered in the economic globalization and financial market integration, under the background of increasingly complex and increase the financial risk. Interest rate swap is widely applied to minimize the risk of interest, to save the cost of financing and to enhance the management of asset and liability. Especially in 2004 the People’s Bank issued a notice to allow commercial banks to issue long-term fixed-rate loans, announced the liberalization of the interest rate cap loans, commercial bank lending and deposit rates is not the case of a large number of possible matches, we need to use interest rate derivatives to hedge interest rate market bring the interest rate risk. Meanwhile, China’s commercial bank assets and liabilities management currently used mainly to asset liability management, capital adequacy management model of coexistence, there are many outstanding problems.With the rapid progress of interest rate marketization in our country, interest rate level fluctuates because of various factor influences, such as capital supply and demand, economic, politics and so on, which there are huge instability and uncertainty. Domestic commercial banks bear huge interest rate risk. Additionally, our commercial banks’ liability takes short-term deposit as main business, whereas capital takes long-term loan as main business, having ubiquitous term structure of asset/liability mismatching problem that expand interest rate risk further. Then the thesis concretely analyses how commercial bank use interest rate swap for asset/liability management and to avoid interest rate risk. As a case study of China Everbright Bank and China CITIC Bank in different before and after the introduction of interest rate swap structure of assets and liabilities, the banking market value changes are analyzed. This article through to the interest rate swap product market application status study, found that in business development in the existing problems, and puts forward some policy suggestions of rationalization, like to take this opportunity to promote our country people’s interest rate swap the rapid development of the market.