ELS 델타헷지의 정당성과 시세조종에 관한 연구 - 대상판결 : 대법원 2016. 3. 24. 선고 2013다2740 판결을 대상으로 -

ELS(equity-linked securities) is hybrid debt securities whose return is connected to an underlying asset price or price index of asset. ELS pay a higher yield than fixed deposit account, if the price of underlying asset moves within fixed section within in the period of 1~2 year. At maturity, ELS will pay back the investor purchased ELS, or if the linked asset has fallen below a pre-determined price, then the investor face loss. Delta hedging is an options strategy that aims to reduce the risk associated with price movements in the underlying asset by offsetting long and short positions. In practice, maintaining a zero delta is very complex because there are risks associated with re-hedging on large movements in the underlying asset's price. One of the most distinguishing ELS characteristics is that the size and nature of the principal repayment is determined by the linked asset's price. The ELS disputes such as the Deutsche Bank, ELS market manipulation cases are related to hedge trading. In this paper, author observes the profit structure of ELS after studing the theory of delta hedge trading and examples. Especially, it is generally recognized that, as a delta hedge trading is performed to avoid a risk in accordance with certain formula, and if there are no conflicts of interest with customers, it is safe and fair. However, in the sensitive situation at maturity, it is quite different. It might be considered as manipulation and unfair trade practices as a speculative trading. Therefore, it is necessary to study what standard is used to distinguish a legitimate hedge trading and a illegal speculative trading. This is to point out that there is a gap between the theory and the reality, the practical difficulty of distinguishing a hedge trading from a speculative trading. Lastly, author present how to improve ELS structure on a new aspect.