임의상환 상품의 발행수익 인식 시기가 상품 운용에 미치는 영향

The profit generated from the issuing new structured product arises from the difference between the actual cash from the customer and the theoretical value calculated by sell side house. This profit is either recognized immediately or deferred and recognized over the product’s maturity according to accounting regulations. However, the financial engineering, which studies the valuation method and how to hedge the products, does not deal with the such accounting policies, which actually affects the core of the book management method in real world. In this paper, the necessity of handling deferred issuance revenue in the theoretical valuation itself for the issuer call product is discussed in an attempt to integrate the finance and accounting. The traditional DDRR, Divided Deferred Revenue Recognition, which separates the theoretical value and revenue from issuing, is explained, and IDRR, Implied Deferred Revenue Recognition, which inserts revenue from issuing as the input of theoretical value, are introduced. Then the stability of mark to market, explaining power of the greeks, probability of issuer call, and the particularly greek profile when issuer determine to terminate contract are compared with respect to two deferred profit recognitions methods. Through this discussion, the usefulness of applying IDRR method is recommended, especially when the product has the condition that issuer has early termination option.