파생상품과 도박규제

김홍기(Hong-Ki Kim) 한국비교사법학회 2007 比較私法 Vol.14 No.1

  Derivatives help to manage risks, lower funding costs, enhance yield and diversity portfolios. Market participants clearly have legitimate interest in hedging against lost sales, and derivatives could provide opportunities for investments. For this reason, derivatives are treated as a legitimate investment scheme.<BR>  Derivatives set the trend of the new era for the financial transaction. Global market for derivatives barely existed until 1970s, but today it appear that the term ‘derivatives’ gained widespread usage. As markets for derivatives have rapidly grown, relevant legal issues emerged from such growth. However, difficult legal issues that people have not anticipated have been raised because derivatives are naturally complex, opaque, difficult instruments to manage, and more risky than other traditional financial products.<BR>  One of the most difficult legal issues has been defining the relationship with gambling law. In contrast to derivatives, gambling is not generally viewed as a productive activity or one that provides any benefit to society beyond its entertainment value. Gambling laws have traditionally had barriers to activating derivatives transaction; as those barriers are dwindling as legalization increases. Although investment opportunities on derivatives may be limited to sophisticated investors, but the sophistication and wealth barriers do not protect against speculating and gambling  regulation of derivatives. There should be some parallels between the gambling laws and the derivatives laws.<BR>  However, the management of corporations and market participants used to concentrate on the business or finance aspects of derivatives, and does not carefully concern about the legal issues, especially in relation to gambling law, which accompany with derivatives transactions. Therefore it is recommendable to prepare a scheme to resolve doubt of market participants, use derivatives with safely and manage the risks which will rise with the growth of derivatives transactions. It it necessary to provide an obvious scheme to determine the standard of judgment between legitimate derivatives transaction and illegal derivatives transaction which falls within the categories of gambling laws.<BR>  This article focus on the gambling aspects on derivatives transactions. The purpose of this article is to propose a scheme for legal analysis of derivatives, especially associated with the violation of gambling law. This article first discuss general theory and similarity relating to derivatives and gaming and wagering. Next, this article closely examine the standards of judgment, whether or not derivatives constitute or violates gambling laws. The final chapter of this article considers regulatory aspects of derivatives. All of these issues are considered in depth in separate chapter of this article. <BR>  The financial derivatives markets continue to grow, as everyone expected that they would. Actually Asian-pacific derivatives markets incredibly grow. This article pursue the gambling aspect of derivatives into questions. This study is written in the hope of attempting to contribute those discussion.

장외파생상품의 투자자보호에 관한 고찰

이희종(Lee, HeeJong) 한양법학회 2012 漢陽法學 Vol.23 No.1

Derivatives are one of the ways that the firm may enter into specialized financial contracts that fix theirs costs or prices. Many different types of futures, options, swaps and other derivatives are traded by firms, banks, professional investors and individuals. Derivatives are divided into “"exchange-traded derivatives”"and “"over-the-counter derivatives”". The “"over-the-counter derivatives (OTC derivatives)”"means the derivatives that are traded directly between counterparties without the infrastructure of an exchange. The size of the OTC derivatives markets is many times larger than the exchange-traded derivatives markets. The OTC derivatives offer many benefits to our economy, they also hold the potential for being misused. OTC derivatives are individually and privately negotiated by the contractual counterparties. So there are the following regulations in the Financial Investment Services and Capital Markets Act. Duty to Explain : A financial investment business entity shall, whenever it makes an investment recommendation to an ordinary investor, explain the details of the financial investment instrument, the risks contingent upon the investment, and other matters specified by Presidential Decree with such sufficiency as to allow the ordinary investor to understand them. Principle of suitability : No financial investment business entity shall recommend an ordinary investor to make an investment, if the investment is deemed unsuitable for the investor in light of the investment purpose, status of property, experience in investment, etc. of the investor. The protection method about the OTC derivative investors is insufficient. The financial investment business explain the danger, worst result, change of the business partner, economic condition, solution of the dispute etc. The financial investment business explain considering the customer’"s character. The clearing house becomes the seller to every buyer on the exchange and the buyer to every seller on the exchange through to it of all transactions that are dealt on the exchange. Through the novation of transactions to the clearing house, the counterparty risk that the exchange members would otherwise have to each other is eliminated. Our country will introduce the clearing house this year.

「자본시장과 금융투자업에 관한 법률」상 장외파생상품 개념에 관한 고찰

심인숙 한국상사법학회 2008 商事法硏究 Vol.27 No.3

The Capital Market and Financial Investment Business Act(the “CMFIBA”), to become effective early 2009, will introduce a comprehensive regulatory system on the OTC derivatives products. For purposes of such regulation, the CMFIBA attempts to surmount a difficulty in defining the ever-changing and variable OTC derivatives, using two different approaches at the same time: Top-down Tiered approach and Building-block approach. According to the Top-down Tiered approach, an “OTC derivatives product” means (i) a “financial investment product”(that is a right that an investor obtains as a result of his/her/its agreement to pay money, etc. currently or in the future for profits or to avoid losses and there exists a risk that the purchase price exceeds the returns) (ii) that is not a “security”(accordingly the investor should be obligated to pay money, etc. in addition to the purchase price that he/she/it has paid at the time of the acquisition of the product) and (iii) that is not traded on an exchange. On the other hand, according to the Building-block approach, an “OTC derivatives product” means a contractual right under one of the three contract types: forward, option and swap, each in extremely simplified terms. This Article focuses on the under-inclusiveness of the “OTC derivatives product” definition under the CMFIBA. Part II of this article goes through the meaning of the OTC derivatives generally accepted in the market and emphasizes that there is essentially no limit on the types or terms of OTC derivatives. Besides presenting some basic building-blocks of the OTC derivatives, it points out that parties to an OTC derivatives transaction are not bound by such building-block concepts when they formulate a product to satisfy their financial needs. Part III of this article analyzes the definition of the “OTC derivatives product” pursuant to both approaches under the CMFIBA(Top-down Tiered approach and Building-block approach). It argues that the criteria under both approaches are unclear and sometimes it is hard to interpret them consistently. Also the Building-block approach would not be flexible enough to accommodate every possible OTC derivatives. Furthermore, there is no assurance that one approach would not conflict with another approach. Part IV shows examples of typical OTC derivatives in the market(including NDF, rate swap, cap, collar, corridor, swaption, KIKO and CDS) in order to verify the arguments and concerns raised in Part III. It turns out that the approaches adopted by the CMFIBA do not work in most cases, as expected through logical analysis of the criteria thereunder in Part III. Based upon the foregoing analysis and practical tests, Part V concludes that the definition of the “OTC derivatives product” under the CMFIBA is under-inclusive and therefore it is necessary to amend the CMFIBA in this regard. This Article proposes that (i) the CMFIBA should scrap the Top-down Tiered approach. Rather it should first define each of the “security” and “OTC derivatives product” through reference to its generic nature and thereafter the sum of the two should constitute the “financial investment product”; (ii) the function of the additional payment requirement that currently classifies “OTC derivatives product” from “security” in general should be confined to discern certain products that has mixed features(eg. hybrid instruments); and (iii) the CMFIBA should reinforce the Building-block approach by extending the list of building-blocks constituting the “OTC derivatives product” to allow combination of, and variation, to the basic building-blocks, and should also reflect the prevailing market practice of using ISDA master agreement or similar standardized forms in defining the term. The Capital Market and Financial Investment Business Act(the “CMFIBA”), to become effective early 2009, will introduce a comprehensive regulatory system on the OTC derivatives products. For purposes of such regulation, the CMFIBA attempts to surmount a difficulty in defining the ever-changing and variable OTC derivatives, using two different approaches at the same time: Top-down Tiered approach and Building-block approach. According to the Top-down Tiered approach, an “OTC derivatives product” means (i) a “financial investment product”(that is a right that an investor obtains as a result of his/her/its agreement to pay money, etc. currently or in the future for profits or to avoid losses and there exists a risk that the purchase price exceeds the returns) (ii) that is not a “security”(accordingly the investor should be obligated to pay money, etc. in addition to the purchase price that he/she/it has paid at the time of the acquisition of the product) and (iii) that is not traded on an exchange. On the other hand, according to the Building-block approach, an “OTC derivatives product” means a contractual right under one of the three contract types: forward, option and swap, each in extremely simplified terms. This Article focuses on the under-inclusiveness of the “OTC derivatives product” definition under the CMFIBA. Part II of this article goes through the meaning of the OTC derivatives generally accepted in the market and emphasizes that there is essentially no limit on the types or terms of OTC derivatives. Besides presenting some basic building-blocks of the OTC derivatives, it points out that parties to an OTC derivatives transaction are not bound by such building-block concepts when they formulate a product to satisfy their financial needs. Part III of this article analyzes the definition of the “OTC derivatives product” pursuant to both approaches under the CMFIBA(Top-down Tiered approach and Building-block approach). It argues that the criteria under both approaches are unclear and sometimes it is hard to interpret them consistently. Also the Building-block approach would not be flexible enough to accommodate every possible OTC derivatives. Furthermore, there is no assurance that one approach would not conflict with another approach. Part IV shows examples of typical OTC derivatives in the market(including NDF, rate swap, cap, collar, corridor, swaption, KIKO and CDS) in order to verify the arguments and concerns raised in Part III. It turns out that the approaches adopted by the CMFIBA do not work in most cases, as expected through logical analysis of the criteria thereunder in Part III. Based upon the foregoing analysis and practical tests, Part V concludes that the definition of the “OTC derivatives product” under the CMFIBA is under-inclusive and therefore it is necessary to amend the CMFIBA in this regard. This Article proposes that (i) the CMFIBA should scrap the Top-down Tiered approach. Rather it should first define each of the “security” and “OTC derivatives product” through reference to its generic nature and thereafter the sum of the two should constitute the “financial investment product”; (ii) the function of the additional payment requirement that currently classifies “OTC derivatives product” from “security” in general should be confined to discern certain products that has mixed features(eg. hybrid instruments); and (iii) the CMFIBA should reinforce the Building-block approach by extending the list of building-blocks constituting the “OTC derivatives product” to allow combination of, and variation, to the basic building-blocks, and should also reflect the prevailing market practice of using ISDA master agreement or similar standardized forms in defining the term.

2002 ISDA 기본계약서의 내용과 장외파생상품거래를 위한 국내용 표준계약서의 필요성

김홍기(Kim Hong-ki) 부산대학교 법학연구소 2007 법학연구 Vol.47 No.2

'파생상품’(derivatives)은 그 이름이 의미하는 것처럼 그 가치가 다른 기초자산, 기준금리 또는 지수에서 파생하는 쌍무계약 또는 지급교환약정을 의미한다. 이러한 파생상품은 위험의 관리, 자금조달비봉의 감소, 산출의 증대, 포트폴리오의 다양화 등 다양한 목적에 사용되며, 금융거래의 새로운 지평을 열고 있는 첨단의 금융기법이라는 평가를 받고 있다. 파생상품시장의 성장과 더불어 파생상품거래에 수반하여 발생하는 법적 문제점 역시 주목을 받고 있다. 파생상품거래는 전통적인 금융상품거래에 비교하여 난해하고, 관리하기 어려운 측면이 있다. 따라서 고도로 복잡한 파생상품거래의 법률관계를 규율하기 위해서는 합리적이고 상세한 계약서를 작성할 필요가 있다. 그런데 표준화된 조건에 따라 거래소에서 거래되는 장내파생상품과 달리, 거래소 밖에서 이루어지는 장외파생상품거래에서는 일일이 계약조건을 협의하여 계약서를 작성하는 것이 현실적으로 불가능하다. 따라서 이를 극복하기 위한 효율적인 방안으로 장외파생상품계약의 표준화가 불가피하게 되었다. 구체적으로 이 논문은 최근에 개정된 2002 lSDA 기본계약서를 위주로 장외파생상품거래의 계약철차 및 계약조건에 대하여 살펴보았다. 주제의 성격상 실무적인 내용이 위주로 되어 있으나, 이론적인 측면에서 분석하려고 노력하였다. 현재 국내 증권사나 은행들 역시 대부분의 장외파생삼품거래에서 ISDA 기본계약서 또는 ISDA 기본계약서에 기초한 국내용 계약서를 사용하고 있는 실정이다. 따라서 국내법이 강행적으로 적용되는 일부 쟁점을 제외하고는 이 논문에서 논의되는 내용의 대부분이 국내에서 사용되는 장외파생상품거래에서도 동일하게 적용된다고 보아도 무방할 것이다. 국내의 경우에 향후 장외파생상품거래가 증가하면 법적인 문제 역시 증가할 것이 예상된다. 국내 금융기관들 사이에서 이루어지고 있는 소수의 전형적인 장외파생상품거래에서는 복잡한 문제가 발생할 소지가 적지만, 향후 기업의 위험관리를 위한 맞춤형 장외파생상품거래가 증가할 경우에는 전문적이고 복잡한 계약상의 문제가 수시로 제기될 것이기 때문이다. 따라서 국내의 장외파생상품거래의 실정에 적합한 국내용 표준계약서를 마련하는 것이 시급하다. 대륙법 체계를 채택한 우리나라에서는 우리나라의 법률 체계에 부합하는 독자적이고 일반적인 표준계약서를 마련할 필요가 있다. A derivatives transaction is a bilateral contract or payments exchange agreement whose value derives, as its name implies, from the value of an underlying asset or underlying reference rate or index. As markets for derivatives have rapidly grown, relevant legal issues emerged from such growth. There are many who see derivatives as complex, opaque, difficult to manage, and more risky than other traditional financial products. Therefore it is recommendable to prepare a detailed contract to resolve doubt of market participants, use derivatives with safely and manage the risks which will rise with the growth of derivatives transactions. This study closely examines contracts terms and procedures of OTC derivatives, especially those of 2002 ISDA Master Agreement which are widely used in international OTC derivatives transactions. This study also attempts to present both scholarly and practical analysis of the law relating to the use of OTC derivatives. Most of Korean banks and securities companies uses ISDA agreements and/or similar agreements which are based on ISDA agreements. Therefore, Most of relevant issues discussed in this study also apply to derivatives transactions within Korea. Legal disputes in relation to derivatives will continue to increase, as everyone expects as the size of derivatives in Korean market will increase. Therefore, it is necessary to provide standard agreement which is proper under Korean circumstances where civil law system is adopted.

[Session 5 발표논문] 미국세법상 파생금융거래에 대한 기본과세제도

鄭永珉(Young Min Chung) 한국세법학회 2005 조세법연구 Vol.11 No.2

1980년 이후 급격히 그 거래규모가 확대되고 거래상품이 다양화되고 있는 파생금융상품은 세계 금융시장에서 중요한 역할을 담당하고 있으며, 1997년 말 현재 전 세계 파생금융상품의 시장규모는 60조여 달러에 이르는 것으로 추정되고 있다. 많은 금융전문가들은 금융시장에서 파생금융상품이 매우 중요한 역할을 하고 있다는 점을 인식하고 그 거래에서 내재하는 큰 손실위험에도 불구하고 파생금융상품의 규제보다는 활성화를 위한 정책이 계속 필요하다는 의견을 표명하고 있다. 파생금융상품거래에 따른 조세문제는 다른 거래와 마찬가지로 그 거래로부터 인식하여야 할 이익과 손실의 크기, 그 이익과 손실의 귀속시기, 그 이익과 손실의 성격, 그리고 그 이익과 손실의 원천지국 등을 규명하는 데 있다. 그런데 일반적으로 미국 납세자들은 파생금융상품의 특성을 이용하여 다음과 같은 조세상 이득을 얻고자 할 동기가 있다. 첫째, 파생금융상품의 특성을 이용하여 가능한 한 세금을 늦게 납부하는 과세이연의 혜택을 누릴 수 있다. 둘째, 개인 납세자의 경우 손익의 특성을 일상이익보다는 자본이익으로, 단기 자본이익보다는 장기 자본이익으로, 자본손실보다는 일상손실로 구분시켜 더 낮은 세율로 과세되도록 할 수 있다. 셋째, 법인의 경우 세무목적상 부채로 구분되게 하여 이자비용 공제 등의 혜택을 누리는 반면, 회계?규제법령?신용평가 목적상 자본으로 구분되어 건전한 재무구조를 가지는 것으로 보이도록 할 수 있다. 따라서 미국 과세당국은 파생금융상품의 거래를 규제하기 위한 조세제도의 입법보다는 매우 전문적이고 복잡한 파생금융상품거래를 이용한 조세회피행위를 막고자 하는 데 치중하는 조세제도를 마련하고 있다. 일반적으로 파생금융상품은 포워드(forwards), 퓨쳐(futures), 옵션(options)을 기본으로 하여 만들어지며, 스왑(swaps), 캡(caps), 플로어(floors)와 기타 관념적 기본계약(notional principal contracts)들은 상대적으로 새로운 금융상품이지만, 경제적인 관점에서 볼 때 그런 상품들은 포워드나 옵션의 일종이라고 볼 수 있다. 그런데 경제적으로는 유사하지만 이들 상품에 대한 조세제도는 다소 상이하게 마련되어 있으며, 특정 파생금융 상품거래에 대하여 어떤 규정을 적용할 것인가를 결정하는 문제는 그 과세결과가 실질적으로 달라지므로 매우 중요하다. 예를 들어, 옵션과 퓨쳐의 거래를 다루는 미국세법 제1256조하의 규정들은 포워드거래를 다루는 규정들과 매우 다르다. 더구나 많은 포워드와 옵션거래는 외국통화(foreign currency)거래와 관련되어 이루어지므로 그런 거래를 규율하는 미국세법 제988조와 밀접한 관련을 가지게 된다, 또한 포워드?옵션?스왑과 유사한 금융상품과 관련하여 손익의 귀속시기(timing)와 손익의 성격(character)에 영향을 미칠수 있는 내용들이 미국세법 제1233조, 제1234조와 제1234A조 등에 규정되어 있다. 포워드(forwards)?퓨쳐(futures)?옵션(options)?스왑(swaps)?캡(caps) 및 플로어(floors) 등에 관한 일반적 과세원칙에 우선하여 적용되는 금융상품 및 파생금융상품과 관련된 주요 예외규정으로 미국세법 제475조의 Dealer Mark-to-Mark 규정, 미국세법 제1091조의 Wash Sale 규정, 미국세법 제1233조의 Short sale 규정, 미국세법 제1092조 및 제263조(g)의 Straddle 규정 등이 있다. 미국은 파생금융상품거래와 관련된 과세제도를 가장 잘 마련하고 있는 국가로 인정되고 있다. 따라서 이러한 미국세법 규정들을 살펴봄으로써 우리나라의 파생금융상품 과세제도를 마련하는 데 기초가 될 수 있을 것이다. Derivatives transactions which have been enlarged and varied since early 1980 play a important role in the world financial markets and it was estimated that the transaction volume of derivatives had reached to 60 trillions US dollars. Many financial experts recognize the key role of derivatives in the financial markets and insert that government would make laws and policy not to regulate the derivatives itself, but to activate them. Taxation on derivatives transactions deals with issues on tax base, timing of taxation, characteristics of income or loss, and source country of the income or loss from thereon likewise other transactions. US tax payers seem to have incentives to get tax benefits with derivatives transactions. Firstly, taxpayers can enjoy deferral of tax using the characteristics of derivatives. Secondly, individual tax payers get tax saving as transferring ordinary income to capital income, doing short term capital to long term capital, or capital loss to ordinary loss. Thirdly, derivatives can be deemed as debt for the tax purpose and as equity for the financial reporting purpose simultaneously, and thereby taxpayers can deduct interest as expense only for tax purpose. Therefore, US tax authorities have made laws and regulations to prevent taxpayers from tax evasion activities through very sophisticated derivatives transactions. Generally, each derivatives such as forwards, futures, and options, swaps, caps, floors and notional principal contracts is comparatively new kinds of financial instruments, but such derivatives can be a sort of forwards or options in the economic view point. Even if each derivatives has economic similarity among them, however, it is very important how we classify the derivatives because tax laws and regulations applied to each derivatives are quite different. For example, laws and regulations under IRC 1256 dealing with options and futures are different from those doing forwards. Moreover, a lot of forward and option transactions are conducted connecting with foreign currency transactions which are regulated according to IRC 1233, 1234, and 1234A, etc. On the other hand, main special rules on Dealer Mark-to-Market rules under IRC 475, Wash sale rules under IRC 1091, Short sale rules under IRC 1233, Straddle rules under IRC 1092 and 263(g), etc, override basic taxation rules on forwards, futures, options, swaps, caps, and floors. Currently, USA is considered to make up the best sophisticated tax regime on derivatives transactions in the world, Therefore, it is very helpful to understand US tax regime on derivatives transactions when we have to make tax rules to regulate a derivatives transaction.

한국기업의 통화파생상품 사용과 기업가치

김정교,반혜정 대한경영학회 2002 大韓經營學會誌 Vol.15 No.3

This study examines the impact of foreign currency derivatives on firm value in a sample of korean nonfinancial firms. We focus the analysis of this study on the subsample of firms that are exposed to exchange rate risk and we examine whether firms that have similar exposure differ in firm value, depending on whether they hedge or not. We expected that for firms that have higher exchange rate risk, users of currency derivatives have a higher value than nonusers. Using Tobin's Q as a proxy for firm value, we find that there is no evidence between firm value and the use of foreign currency derivatives. This results imply that the use of derivatives by korean firms is economically small in relation to their firm value. It can be potentially explained two aspects. First, korean firms use derivatives as one of their overall risk-management program that likely includes other means of hedging. Second, korean firms are not skilled in hedging through derivatives that can be from lack of recognition about risks management or imperfection of the accounting system about derivatives. Key WordsThis study examines the impact of foreign currency derivatives on firm value in a sample of korean nonfinancial firms. We focus the analysis of this study on the subsample of firms that are exposed to exchange rate risk and we examine whether firms that have similar exposure differ in firm value, depending on whether they hedge or not. We expected that for firms that have higher exchange rate risk, users of currency derivatives have a higher value than nonusers. Using Tobin's Q as a proxy for firm value, we find that there is no evidence between firm value and the use of foreign currency derivatives. This results imply that the use of derivatives by korean firms is economically small in relation to their firm value. It can be potentially explained two aspects. First, korean firms use derivatives as one of their overall risk-management program that likely includes other means of hedging. Second, korean firms are not skilled in hedging through derivatives that can be from lack of recognition about risks management or imperfection of the accounting system about derivatives.

장외파생상품중앙청산소(OTC Derivatives CCP) 도입 관련 법적 쟁점 - 장외파생상품중앙청산소의 법적구조를 중심으로 -

오영표 대한변호사협회 2012 人權과 正義 : 大韓辯護士協會誌 Vol.- No.427

During Sub-prime Financial crisis, bankruptcy of Investment Banks or Insurance Companies, which invested sub-prime loans and RMBS excessively or provided credit derivatives,including CDS, in the process of securitization, gave rise to the worldwide systemic risk. On the analysis of the cause of Sub-prime Financial Crisis, it was pointed out that there was no function of collecting volumes of OTC derivatives transactions and no way of preventing transfer of systemic risk to the other financial institutions. Global efforts to solve these problems have been going through worldwide after G-20’s Pittsburgh Summit in september 2009. In line with these international movements, Financial Services Commission(hereinafter “FSC”) announced amendments of 「Financial Investment Services and Capital Markets Act」(hereinafter “FSCMA”) and Korea Exchange(hereinafter “KRX”) also announced the plan for providing OTC derivatives Central Counterparty(hereinafter “OTC derivatives CCP”). In this article the legal structure of OTC derivatives CCP will be discussed. The legal structure of OTC derivatives CCP should be decided in the manner of harmonizing with exiting Korean Laws, especially Korean Civil Law, Commercial law and 「Debtor Rehabilitation and Bankruptcy Act 」 (hereinafter “DRBA”). In my opinion, it’s better to adopt 「assumption of contracts (Gye-Yak-In-Su)」or 「novation」 instead of 「assumption of obligations(Chae-Mu-In-Su)」, which KRX announced to adopt in its plan for OTC derivatives CCP like CCP for exchange-trade securities and exchange-traded derivatives. It also better to adopt legal structure of 「commission agent(Wi-Tak-Mae-Mae)」 as the OTC derivatives clearing for Non-clearing members’ OTC trading. Finally, Article 120 of DRBA needs to be revised to cover the insolvency of OTC derivatives CCP as well as insolvency of its participants. 서브프라임 금융위기의 원인에 대한 분석과정에서 장외파생상품에 대한 정확한 정보취합제도가 없었다는 점과 특정 금융기관의 부도가 다른 금융기관으로 전이되는 현상(신용위험의 전이)을 막을방안이 없었다는 점이 중요한 원인으로 부각되었고, 2009. 9. 피츠버그 정상회의를 기점으로 세계적으로 장외파생상품시장을 개혁하는 방안을 구축하고자 노력하고 있다. 이러한 국제적인 움직임에 발맞춰우리나라 금융위원회는 장외파생상품중앙청산소 및 청산의무제도를 도입하는 내용의 자본시장법 개정안을 국회에 제출하였고, 아울러 한국거래소는 장외파생상품 청산서비스를 제공하겠다는 계획을 발표하였다. 이 글에서는 장외파생상품시장개혁안 중 중앙청산소와 관련한 법적 쟁점, 특히 중앙청산소의 법적구조의 선택문제를 중심으로 살펴보기로 한다. 장외파생상품중앙청산소의 법적구조와 관련하여 우리보다먼저 CDS 청산업무를 수행하고 있는 일본 청산결제기구 JSCC의 CDS거래 청산의 법적구조를 비교입법례로 살펴보기로 한다. 아울러 청산결제특례인 「채무자 회생 및 파산에 관한 법률」 제120조 제2항을개정할 필요성이 있는지에 대하여 검토하고자 한다. 현재 한국거래소가 채택하고자 하는 방식인 「채무인수」는 당사자의 지위가 중앙청산소로 이전되지아니하는 근본적인 문제점이 있기 때문에 재고(再考)가 필요하다. 「채무인수」 이외에 우리나라 민법상채택할 수 있는 법리는 「경개」, 「계약인수」 또는 「novation」인 것으로 판단되며, 그 중에서도 민법을개정할 필요가 없는 「계약인수」 또는 「novation」이 현실적으로 선택가능한 법리인 것으로 생각한다. 더불어 청산위탁자 간의 장외파생상품계약 또는 청산위탁자와 청산회원 간의 장외파생상품거래의 경우 청산위탁자와 청산회원 간의 법률관계는 「위탁매매의 법리」를 적용하는 것이 바람직하다. 마지막으로 장외파생상품중앙청산소의 회생절차 및 파산절차가 개시된 경우에도 장외파생상품거래 청산이적법·유효하게 집행될 수 있도록 「채무자 회생 및 파산에 관한 법률」 제120조 제2항을 개정할 필요가있다고 본다.

Determinants of Hedging and their Impact on Firm Value and Risk: After Controlling for Endogeneity Using a Two-stage Analysis

Sang-Ik Seok,Tae-Hyun Kim,Hoon Cho,Tae-Joong Kim 한국무역학회 2020 Journal of Korea trade Vol.24 No.1

Purpose – In this study, we investigate determinants of hedging with derivatives and its effect on firm value and firm risk for Korean firms. Design/methodology – To avoid the endogeneity problem pointed out in previous studies, we use a two-stage analysis by using gains and losses from derivatives as instrument variable for hedging with derivatives. Findings – Our analysis on the determinants of hedging shows that firms that are more leveraged and less profitable, and with more growth opportunities are likely to hedge through derivatives. Additionally, large firms, firms less diversified into industry, and firms more diversified geographically are likely to use derivatives. Our two-stage analysis shows that indicators of hedging with derivatives have an insignificant effect on firm value, and the indicator of futures/forwards use and of swaps use have significant negative effect on firm value. Whereas, the extent of hedging with derivatives has positive effect on firm value for all types of foreign currency derivatives, which suggests that moderately low hedgers use derivatives inefficiently, but extensive hedgers use derivatives properly. With regard to firm risk, hedging with derivatives increases market-based risk, but decreases accounting-based risk. Thus, we conclude that Korean firms use derivatives to manage operational volatility rather than to manage market risk, and accounting-based risk reduction through hedging is not directly translated into higher firm value. Originality/value – This is not the first study to investigate hedging behavior of Korean firms, but the sample period that that this study analyzed is the longest and various method are used to control the endogeneity problem. We investigate not only total foreign currency derivatives but also by types of derivatives, including futures/forwards, options, and swaps.

資本市場法上 場外派生商品 淸算制度의 法的 爭點

김이수 한국상사법학회 2013 商事法硏究 Vol.32 No.2

Over the past years, the growth of derivatives markets led to the debates regarding the need for regulatory reforms around the world. Moreover, it is said that the downfall of the prominent financial companies, such as Lehman Brothers, AIG, during the financial crisis has been widely caused by these firms' active involvement in derivatives trading. In general terms, derivatives represent a contract, the value of which is based on the value of some other assets, such as stock or interest rate. The stock price or interest rate is determined at a particular point in the future, and it establishes the payoffs to the parties to derivatives product. Derivatives, on one hand, can serve as a safety mechanism against potential losses from changes in financial markets. On the other hand, derivatives have been said to trigger serious systemic problems. Due to the lack of a central regulatory system, a default of a major party on derivatives contract could lead to cascading losses at a big banks and brokerage firms. As a response to the negative effect of derivatives, the United States of America promulgated the Dodd-Frank Act. The Dodd-Frank Act provides for mandatory central clearing of certain derivatives trades. In EU, the European Market Infrastructure Regulation(‘EMIR’) intends to impose obligations similar to those of the Dodd-Frank Act. In Korea, the Financial Investment Services and Capital Markets Act('FISCMA') introduced regulatory reforms like US and EU in recent revision. The FISCMA contains two new provisions relating to OTC derivatives: (1) certain derivatives contracts concluded by certain qualified parties are eligible for CCP central clearing services by clearinghouses(Sec. 9(25)), mandatory or voluntary, (2) certain derivatives contracts by certain qualified parties should be cleared through CCP clearing services(Sec 166-3). This paper intends to analyze these provisions in respect of efficient operation and viability of CCP clearinghouses.

주제별 논단 : 키코 제2라운드 ; 외국의 장외파생상품 피해 관련 사례와 우리나라에 대한 시사점

윤성승 ( Sung Seung Yun ) 한국금융법학회 2011 金融法硏究 Vol.8 No.1

KIKOs are OTC currency option derivatives actively sold after 2007 in Korea. The loss of KIKO buyers was focused again by the public in November 2010, when the Seoul Central District Court decided 118 decisions on KIKO cases. Unfortunately, among the 118 cases, 99 plaintiffs lost in the first instance court. It was shocked to the plaintiffs since they were small and medium size corporations which, as they asserted, did not have enough knowledge and skill to understand and analyze the underlying risk of the KIKO financial derivatives. To decide the legal liability on KIKO derivatives, the characteristics of the structured financial derivatives must be considered. The designers and sellers of the derivatives have sufficient knowledge and skill to understand the inherent risk. However, the buyers are usually do not have such skill. Between seller and buyer, there is information asymmetry. In this article, I reviewed five cases related to OTC derivatives investment loss, including two Korean offshore funds` cases litigated in the U.S. (Diamond Fund case and Morning Glory Fund case), two U.S. cases (BT Securities(Gibson) case and P&G case), and one recent German Supreme Court case in March 2011. From the cases reviewed, I suggest some implications to consider to decide KIKO cases in higher courts in Korea. My suggestions are especially related to the fraud, misrepresentation, duty to explain, and suitability duty. First, since the buyer usually relies on the information and analysis provided by the seller to decide the purchase of the financial derivatives, the seller must clearly prove that the buyer has enough independent competence and skill to evaluate the relevant risk of the derivatives, if the seller asserts that the buyer decided independently or there was no reliance on the seller`s explanation on the risk. When there is information asymmetry between the parties of derivatives, it is usual for buyer to rely on the seller. It is exceptional that buyer does not rely on the seller when derivatives are purchased. Thus seller must prove for the exceptional circumstance. Second, the seller of derivatives has the duty to inform to the buyer on the value of the derivatives they sell. If the seller misinformed or omitted material information needed to decide the value, it can be a fraud or misrepresentation. Such duty can be an implied contactual obligation, even though it is not explicitly mentioned on the derivatives contract. Third, regarding the duty to explain and suitability duty, it is not enough for seller to explain theoretically the contents of the derivatives contract. The purpose of explanation and suitability is to make the buyer to understand the risk and product. To implement the principle of self decision to the buyer, it needs for buyer to have the same level of understanding on risk through the explanation of the seller. The seller must consider whether there is a gap of understanding to the buyer when the seller gives material information to the buyer or explain materiel factors on the risk. Such active duty to explain or suitability duty is based on the good faith and fair dealing. If the seller did not achieved such level of the buyer`s understanding by his explanation of the derivatives, it can be the breach of duty to explain or suitability duty.