Considering the strong synchronism and linkage on economies, trades, and currencies between China and 6 countries of ASEAN (Association of Southeast Asian Nations) , based on financial data of main commercial banks in the 6 countries of ASEAN from 2000 to 2015, using three-year moving standard deviation of net interest margin as the proxy for interest rate risk, this paper examines how the deposit insurance system affects commercial banks' interest rate risk. Moreover, whether this influence would be different due to commercial banks' sizes, concentration of banking industries and legal institutions in the 6 countries of ASEAN is also examined. The results show that deposit insurance system can alleviate commercial banks' variability of net interest margin and stabilize the interest rate risk. Moreover, this stabilization effect can be influenced by commercial banks' sizes, concentration of banking industries and legal institutions in the 6 countries of ASEAN. This stabilization effect of deposit insurance system on commercial banks' interest rate risk is statistically significant, with reduction of the concentration in banking industries strengthening the stabilization effect, no matter in short-term or long-term. The promotion of the legal institutions in the 6 countries of ASEAN would weaken the stabilization effect in short-term but strengthen the effect in long-term. Besides, compared with commercial banks in high income counties in the sample, deposit insurance system has a more significant stabilization effect in middle-high and middle-low income countries of ASEAN.