기초증권 배당이 복합파생상품 가격결정과 회계보고에 미치는 영향

[Purpose]This paper analyzes the various issues in pricing and accounting reporting of structured derivatives arising from differences in the dividend base date of domestic underlying securities and proposes ways to improve them. [Methodology]A case study is conducted by selecting ELS as a representative structured derivative. [Findings]First, it is an ELS price assessment issue. ELS, which is based on the KOSPI index or individual securities, manages the dividend schedule by paying cash dividends on the day of dividend payments, and in calculating dividend rates, the dividend rate decreases as cash dividends are withdrawn on the day of dividend payments. The falling dividend rate will increase the size of securities firms’ debt in the case of ELS price evaluation, and temporarily result in losses from the perspective of securities firms that issued ELS. To improve the dividend yield, it is deemed desirable to calculate the dividend yield based on the declared date of the dividend, rather than the date of the dividend payment. Second, it is a revenue/cost mismatch. Securities companies that hold individual securities for ELS headings will incur losses this year due to loss of valuation of ELS at the date of dividend fall, but dividend income will occur the following year, resulting in inconsistencies in the timing of earnings and expenses incurred. Most securities firms will change their accounts from the end of March to the end of December, causing problems of discrepancies in accounting periods when profits/costs occur. It is deemed desirable to calculate dividend yield based on the declared date of the dividend, rather than the date of the dividend yield, in order to resolve the issue of mismatch in profit or loss due to dividends from ELS underlying securities. Third, it is a fair value hierarchy issue. Currently, if the dividend rate is calculated based on the dividend schedule and the derivative is assessed, it is classified as hierarchical. However, Korea does not have a fixed dividend on the day of dividend payout, and how much will be paid on the day of dividend payout is based on estimates, not on the data that is published in the market. For dividend data, the assessment of share options is highly influenced by the valuation of the share option and the information disclosed is not simply observable as estimated dividend information, so it may be reasonable to classify the dividend as a Tier 3 commodity rather than a Tier 2 product for share options that assess the dividend as an input component. [Implications]This paper presents a coherent pricing alternative considering accounting reporting by linking the pricing and accounting reporting of structured derivatives.