파생상품계약의 중도청산과 손익귀속시기

Abstract

This paper examined cases in which tax timing of gain or loss from early termination of derivatives became an issue, and discussed the provisions of the United States tax law that could be applied to them. This paper therefore attempts to find out the deficiencies and improvements of Korea's tax laws, compared to the US taxation of derivatives. In the first case, a domestic branch of a foreign bank terminated built-in-loss derivative contracts before maturity and entered into new contracts with similar economic effects. Tax authorities disallowed the deductions of the reported loss, asserting that the transactions were shams and had no economic substance. Tax Tribunal however, did not accept the claims of the tax authorities. For this case, we investigated the applicability of wash sale rule which is stipulated in the United States tax law. According to the applicable precedents and regulations, it is uncertain whether or not it is allowed as a deduction in the US. However, since a dealer in securities, including derivatives, must compute its income using the mark-to-market method of accounting, it is impossible in the US for the taxpayer of this case to abuse the normal realization-based taxation principles. It is recommended for Korea to consider the introduction of a mark-to-market system in the case of the dealer in financial derivatives. In the second case, a corporation managed foreign currency risk with respect to a US dollar borrowing by entering into an currency swap. Consequently this had the same effect as borrowing Korea won at a fixed interest rate. The taxpayer terminated the currency swap before maturity and on the same day, entered into a new swap contract with the same counterparty. As a result, the corporation realized the built-in gain on the hedging transaction which had the effect of raising cash from the swap bank. For the tax timing of the realized gain, administrative interpretation concluded that the realized gains were to be deferred until the original expiry of the hedging currency swap was reached. This interpretation is questionable in light of precedents of Korea tax law which have disregarded the hedging integration transaction in the past. Under tax integration rules of the US tax law, a qualifying hedged item and hedging transaction are integrated on a synthetic basis. In such a case, if a taxpayer disposes one or both of the components of the hedging transaction, the taxpayer is treated as having disposed of the synthetic instrument for its market value. The provisions of tax hedge and integration rules of the United States, which are not included in existing Korea tax law, will provide sufficient reference to the development of Korea's tax law. In addition, mark-to-market tax provision for regulated futures, and tax treatment of NPCs with upfront payment which are cleared by registered clearing house will be helpful to the improvement of our tax laws.