신용파생상품의 회계처리 논점

Accounting Treatment Issues on Credit Derivative Financial Instruments

Financial Instruments are exposed to the market risk based on the variability of interest rates and exchange rates, simultaneously being exposed to the credit risk based on the variability of credit rates and default. Credit derivative financial instruments separate the credit risk from the underlying asset and transfer the risk to the third party taking the risk with the premium paid. To reflect the recent trend of rapid expansion in credit derivative financial markets, this paper suggests accounting treatment issues on the credit derivative financial instruments in terms of enhancing accounting transparency and international convergence. Specifically, this paper analyzes the problems of accounting methods in the current accounting standards (interpretation 53-70), suggesting the improvements by broadening the scope of credit derivative financial instruments. Also, this paper suggests the new accounting standards include the provision explicitly clarifying the criteria of classifying financial instruments as a financial guarantee, in order to align with the expected full adoption of international financial reporting standards (IAS 39). This paper concludes that the credit derivative financial markets have a rapid growth potential in Korea, once the regulatory adjustments including the scope of market participants and incentives are carried out properly along with the improvements of existing accounting standards.