Research On The Effect Of The Management Of The Duration Gap Of Commercial Bank By Future Treasury Bond

On October 24,2015,the central bank of China announced that it will lift the restriction of the ceiling of commercial banks' one-year deposit rate.This marks China's interest rate will be decided by the market.The past lending rate for the upper and lower interest rate corridor can not really reflect the market situation.China's monetary policy is being changed from "quantity" to "price".At the same time,the Federal Reserve of US that has implemented multiple rounds of monetary easing after the financial crisis,began to plan to raise interest rate and shrinking table.This will not only lead to emerging market capital flows back to the United States,but also to capital outflow of market liquidity tightening,interest rates up.In the past,under the strict financial supervision system,even if interest rates fluctuate,it is also very small interval.Interest rates remain relatively stable,interest rate risk management has not been taken seriously.Now the unfavorable situation at home and abroad,China's commercial banks face rising interest rate risk.Domestic indirect financing accounted for a large proportion of the financial system,the interest rate fluctuations will make the commercial bank interest income is facing great uncertainty.Companies that rely on fixed spreads to maintain lucrative profits will change.Replaced by a more flexible,competitive asset business and more risk-oriented control of market interest rate fluctuations.September 6,2013,treasury bonds after 18 years in the China Financial Futures Exchange again listed.As a financial derivative products,for the domestic financial entities to provide a new interest rate risk management channels.Its use of small cost,good market liquidity,the characteristics of contract standardization to make it a financial institution risk control of the excellent tools.However,how to combine it with commercial banks to avoid interest rate risk,but also need further study.This paper attempts to use treasury bonds for long-term gap management,theoretically in the futures market to construct a short position,so that the value of change just to hedge a bank's net asset value changes.The use of both the value of the reverse changes to do interest rate risk immunization.First of all,this article briefly combs the research results of domestic and foreign interest rate risk control of commercial banks,and the research on domestic long-term gap management is not very mature.Then this paper introduces the causes of interest rate risk of commercial banks and two kinds of traditional management methods.As two static management methods,it has no good effect in managing interest rate risk when the current interest rate fluctuates greatly and frequently.And then introduced the development of domestic and foreign treasury bonds and its functions.Briefly describes the development of China's national debt futures twists and turns,as well as the current Shanghai Stock Exchange futures contract.Finally,the principle and application of hedging are analyzed in detail.The fourth part of the article attempts to link the treasury bond financial derivative contract with the commercial bank interest rate risk management.This paper introduces two ways of adjusting the interest rate risk of the national debt futures and the off-balance sheet.This paper puts forward the theoretical basis for the use of treasury bond futures hedging gap.This article then conducted a case study,is the fourth chapter of the hedge in the Industrial and Commercial Bank of China in 2016 US.dollar interest rate background of the specific use.Based on the semi-annual report of the Industrial and Commercial Bank of China in 2016 to develop a hedge program,and then examine the effect of the Fed's rate hike at the end of the year.In the last part,the paper summarizes the analysis of the full text,and gives some suggestions on the management of the interest rate risk after the interest rate tends to be marketed according to the current situation of our country,hoping to bring new ideas to the relevant practitioners.