주가연계증권 연계 불공정거래행위 - 상환평가일에 이루어진 기초자산 대량매각행위의 위법성을 중심으로 -

ELS, Equity-Linked Securities are a kind of derivative linked securities. The amount of repayment is decided, depending on the price of underlying securities at maturity. At maturity, if the stock price is beyond the striking price, investors will receive both the principal and high gains. On the contrary, if the stock price falls below the pre-set price, investors’ original pricipal can be diminished. Here, conflict of interest between the issuer of ELS and the investors occur. Many cases have happened, where the issuer of ELS sold the underlying stocks in a large quantity at maturity and as a result, the price of the stock fell to under the striking price, which let the investors lose their money. In some of those cases, the traders of the issuers were prosecuted in charge of manipulation. The investors sued issuers for damages. In those litigations, issuers argued that their mass-sales of underlying securities were lawful, because they followed the principle of delta hedge, which is one of generally accepted risk managing devices in the capital market. The appellate court agreed to the argument of the issuers and dismissed the suits. I do not agree with the decisions of the courts. According to the principle of delta hedge, the issuer can offset the loss by the profit only when he or she holds underlying securities corresponding to the delta. But in above litigated cases, the issuers sold most of the underlying securities they had held in spite of rising delta. These actions cannot be explained by the delta hedge principle. There are enough evidence to suspect the issuer of intentionally manipulating stock price. The decisions of the appellate court should be reconsidered.