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FOREX MARKET (PASAR VALUTA ASING)
Jual - Beli Valuta Asing
MONEY MARKET (PASAR UANG)
Pinjam - Meminjam Uang
CAPITAL MARKET (PASAR MODAL)
Jual - Beli Saham (Stock) & Obligasi (Bond)
FUTURES MARKET (PASAR BERJANGKA)
Jual - Beli Kontrak Berjangka atas Valuta Asing, Suku
Bunga, Komoditi, Indeks Saham dan lain-lain
PASAR KEUANGAN
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Foreign Exchange Market
The market in which individuals, firms and banks buy and sell foreign exchange
Forex market (London+Tokyo+NY+Jakarta…) - connected electronically - enormous volume - integrated internationally
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PASAR VALUTA ASING
- Merupakan pasar yang berkembang sangat pesat
- Pasar terbesar dan tercepat perputarannya didunia
(High speed trading) dengan volume* USD 5,1 triliun/hari*
- Hampir semua bisnis mempunyai kaitan dengan valas
Sektor riil : jasa, perdagangan, industri
Portofolio : pasar uang, pasar modal, bursa berjangka
- Berdampak besar terhadap perekonomian suatu negara
- Bisa menentukan baik atau buruknya suatu pemerintahan
JUMLAH TRANSAKSI VALAS PER HARI
PADA PASAR GLOBAL
Tahun Milyar Dollar AS1995 1.1901998 1.5272001 1.2392004 1.9342007 3.324 2010 3.9732013 5.3572016 5.067
Sumber : Bank of International Settlement (BIS), Forex Survey April 2016
GMT
0 4 8 12 16 20 24
SydneyTokyo
Singapore
Frankfurt
London
New York
PASAR UANG DAN PASAR VALAS ADALAH PASAR ANTAR BANK YANG TIDAK MEMPUNYAI LANTAI BURSA, TRANSAKSI DILAKUKAN SECARA OTC (OVER THE COUNTER). PARA DEALER BEKERJA DI DEALING ROOM BANK MASING-MASING DAN BERTRANSAKSI MELALUI SUATU JARINGAN KOMUNIKASI YANG CANGGIH SEPERTI :
- RMDS (REUTERS MONITOR DEALING SYSTEM)
- BROKER VOICE BOX
- TELEPON
- REAL TIME INFORMATION (REUTERS, BLOOMBERG)
PASAR GLOBALNYA BEROPERASI SELAMA 24 JAM KECUALI HARI LIBUR
BENTUK PASAR ANTAR BANK
PASAR VALUTA ASING GLOBAL
NILAI TRANSAKSI PER HARI 2013
(milyar Dollar AS)
NEGARA JUMLAH %
UK 2.726 40,9
USA 1.263 18,9
Japan 374 5,6
Singapore 383 5,7
Hong Kong 275 4.7
Switzerland 216 3,2
China 44 0.7
Korea 43 0,7
Thailand 13 0.2
Malaysia 11 0.2
Indonesia 5 0.1
Philippines 4 0.1
Sumber: Bank for International Settlements (BIS).
Forex Survey 2013
Global Financial Markets
Internal Market
(local market)
External Market
(international market /
offshore market)
Economic Risk :Global, Regional and National economic factors and conditions
that significantly affect companies performance
FOREIGN EXCHANGE DAILY TURNOVER BY
CURRENCY PAIRS 2013
CURRENCIES AMOUNTS %(billion of USD)
EUR/USD 1,289 24.1
USD/ JPY 978 18.3
GBP/USD 472 8.8
AUD/USD 364 6.8
USD/CAD 200 3.7
USD/CHF 184 3.4
USD/MXN 128 2,4
USD/CYN 113 2,1
Others 1,617 30.4
Source: Bank for International Settlements (BIS). Forex Survey 2013
Profit potential in both rising and falling markets
In every open Forex position, an investor is
long in one currency and short the other.
Long position
trader buy the base currency in anticipation
that it will appreciate.
Short position
trader sells the base currency in anticipation
that it will depreciate.
.
Interbank Foreign Exchange Market
• The FX market is a two-tiered market :
– Interbank Market (Wholesale)
• Accounts for about 80 % of FX trading volume
—mostly speculative or arbitrage transactions
• International banks worldwide stand ready to make a
market in foreign exchange
• FX brokers match buy and sell orders but do not carry
inventory
– Customer (Retail)
• Accounts for about 20 % of FX trading volume
PELAKU PASAR VALAS
-- BANK PELAKU UTAMA
-- NASABAH BANK
KORPORASI
EKSPORTIR / IMPORTIR
ASURANSI
DANA PENSIUN
INDIVIDUAL
HEDGE FUND
INVESTOR PORTOFOLIO
-- MONEY / FOREX BROKER
-- BANK SENTRAL
Hedge FundAn aggressively managed portfolio of investments that uses advanced investment strategies in :
forex , money market, stocks, bonds, commodities and derivative positions
in both domestic and international marketswith the goal of generating high returns.
TREASURY DEPARTMENT
TREASURY MANAGER
CHIEF DEALER
DERIVATIVE
CHIEF DEALER
MONEY MARKET
CHIEF DEALER
FOREX
CHIEF DEALER
SECURITIES
CHIEF DEALER
TREASURY -
MARKETING
Dealer- FX Derivative
- MM Derivative
Dealer- MM Rupiah
- MM Valas
Dealer- Bank Position
- Customer
- Trading
Dealer- Portfolio
- Trading
Dealer- Corporate
- Branch Support
Senior Dealer
Dealer
Junior Dealer
Assistant Dealer
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FOREX TRANSACTION
- A DOUBLE TRANSMISSIONS ON MONEY
- FROM SELLER OF ONE CURRENCY
TO THE BUYER OF ANOTHER CURRENCY
- FOR AGREED RATE UNDER AGREED CONDITIONS.
Exchange rate
price of one currency in terms of another
PERDAGANGAN VALUTA ASING
1. PERDAGANGAN UANG KERTAS ASING
- Jual beli bank notes
- Tempat : Bank & Money Changer
- Jumlahnya : relatif kecil/terbatas (retail)
- Settlement : Today
- Ada penyerahan phisiknya
2. PASAR VALUTA ASING SPOT ANTAR BANK
- Jual beli devisa
- Tempat : Pasar Antar Bank (Interbank Market)
- Jumlahnya : relatif besar jutaan dolar(wholesale)
- Settlement : Two business day
- Pemindahan rekening tanpa penyerahan phisiknya
3. FX MARGIN TRADING
- Jual beli devisa
- Tempat : bursa berjangka & internet (forex on line trading)
- Jumlahnya : relatif kecil dihitung dalam lot
- Ada setoran margin
- Pemindahan rekening tanpa penyerahan phisiknya
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TUJUAN TRANSAKSI VALAS
• MEMENUHI KEBUTUHAN BISNIS DAN
INVESTASI
• HEDGING
• TRADING / SPEKULASI
MARKET RISK (EXCHANGE RATE RISK)
CREDIT (COUNTERPARTY) RISK
LIQUIDITY RISK
COUNTRY/SOVEREIGN RISK
SETTLEMENT/OPERATIONAL RISK
LEGAL RISK
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EXOTIC CURRENCY
MATA UANG DARI NEGARA-NEGARA KECIL YANG TIDAK DIPERDAGANGKAN SECARA LUAS DI DUNIA SEPERTI : IDR, SGD, THB, PHP
HARD / MAJOR CURRENCY
MATA UANG DARI NEGARA-NEGARA MAJU YANG DAPAT DIPERJUALBELIKAN DISELURUH DUNIA SEPERTI : USD, EUR, YEN, GBP, SFR
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BANK FX TRADING PURPOSES
- Customer Needs
- Covering Bank Position
- Own Account Trading / Speculation
Banks provide foreign exchange transactions for customers as a
fee base income
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REFERENCE CCY / NON REFERENCE CCY BID - OFFER
EUR / USD = 1.1840 - 50
GBP / USD = 1.6715 - 25
USD / YEN = 117.25 - 30
USD / IDR = 14,550 - 60
(FIXED UNIT) (VARIABLE UNIT)
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REFERENCE CURRENCY
- USD is a reference (base) currency
USD/YEN
USD/SFR
USD/IDR
USD/MYR
- Currencies are quoted in term of USD 1
USD 1 = IDR 14.125
- Exceptions :
EUR/USD
GBP/USD
AUD/USD
NZD/USD
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USD/IDR
9040 9050
BID OFFER
QUOTER
ASKER
(+) Buy USD
(-) Sell IDR
Sell USD (-)
Buy IDR (+)
(-) Sell USD
(+) Buy IDR
Buy USD (+)
Sell IDR (-)
Quoter : Pihak yang memberikan harga (rate)
Asker : Pihak yang menanyakan rate
QUOTER(BANK)
ASKER(BANK ATAUNASABAH)
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• PASAR SPOT (CASH MARKET)
TODAY
TOMORROW
SPOT
• PASAR DERIVATIVES
FORWARD
FOREX SWAP
OPTION
FUTURES
TRANSAKSI VALAS BERDASARKAN
WAKTU SETTLEMENTNYA
Transaksi Valuta Asing
Today : Deal hari ini – settlement hari ini
Tomorrow : Deal hari ini – settlement 1 hari kerja
Spot : Deal hari ini – settlement 2 hari kerja
Forward : Deal hari ini
settlement setelah spot dimasa y.a.d.
(1 minggu, 1-3-6 bulan)
Swap : Deal hari ini
Settlement : spot - forward
Sell Spot - Buy forward (Swap S&B)
Buy Spot - Sell forward (Swap B&S)
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DERIVATIVE
Walaupun produk derivative seperti Forward, Forex
Swap, Option dan Interest Rate Swap telah dikenal di
pasar keuangan dunia sejak awal tahun 1980 dan
berkembang pesat hingga saat ini, namun di Indonesia
perkembangannya masih relatif terbatas.
Masih terdapat bank dan perusahaan yang belum
memanfaatkan instrumen ini sebagai alat hedging
untuk mengurangi risiko dari gejolak nilai tukar dan
pergerakan suku bunga yang berlawanan dengan
posisi bank dan perusahaan.
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Sistem floating exchange rate yang digunakan di
Indonesia saat ini memungkinkan terjadinya fluktuasi
kurs / volatility yang sangat besar yang berdampak
pada risiko yang besar pula bagi perusahaan yang
mempunyai posisi valuta asing.
Untuk mengurangi / menghindari risiko kerugian
dan untuk memudahkan / memastikan perencanaan
biaya perusahaan, diperlukan instrumen hedging
yang sesuai dengan kebutuhan.
Exchange Rate Systems
Floating Exchange Rate,
exchange rates are determined by market forces
Managed floating Exchange Rateexchange rates are allowed to fluctuate freely on a daily basis. Central Bank may intervene to prevent the rates from moving too much in one direction.
Fixed Rateexchange rates are either held constant or allowed to fluctuate only within very narrow boundaries.
Pegged, the home currency’s value is pegged to a foreign currency and moves in line with that currency.
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The New York foreign exchange selling rates below apply to trading among banks in amounts of $1 million and more, as quoted at 4 p.m. Eastern time by Dow Jones Telerate Inc. and other sources. Retail transactions provide fewer units of foreign currency per dollar.
Special Drawing Rights (SDR) are based on exchange rates for the U.S., German, British, French, and Japanese currencies. Source: International Monetary Fund. European Currency Unit (ECU) is based on a basket of community currencies. a-fixing, Moscow Interbank Currency Exchange.
EXCHANGE RA TES
Country Argentina (Peso) Australia (Dollar) Austria (Schilling) Bahrain (Dinar) Belgium (Franc) Brazil (Real) Britain (Pound) 30-Day Forward 90-Day Forward 180-Day Forward Canada (Dollar) 30-Day Forward 90-Day Forward 180-Day Forward Chile (Peso) China (Renminbi) Colombia (Peso) Czech. Rep (Krouna) Commercial rate Denmark (Krone) Ecuador (Sucre) Floating rate Finland (Markka) France (Franc) 30-Day Forward 90-Day Forward 180-Day Forward Germany (Mark) 30-Day Forward 90-Day Forward 180-Day Forward Greece (Drachma) Hong Kong (Dollar) Hungary (Forint) India (Rupee) Indonesia (Rupiah) Ireland (Punt) Israel (Shekel) Italy (Lira)
Wed. 1.0012 .7805
.09043 2.6525 .03080 .9607
1.6880 1.6869 1.6843 1.6802 .7399 .7414 .7442 .7479
.002352 .1201
.0009985 ....
.03662 .1663
.... .0002766
.2121
.1879
.1882
.1889
.1901
.6352
.6364
.6389
.6430 .004049
.1292 .006139 .02787
.0004233 1.6664 .3079
.0006483
Tues. 1.0012
.7902 .09101 2.6525 .03105
.9615 1.6946 1.6935 1.6910 1.6867
.7370
.7386
.7413
.7450 .002356
.1201 .0009985
.... .03677
.1677 ....
.0002787 .2135 .1893 .1896 .1903 .1914 .6394 .6407 .6432 .6472
.004068 .1292
.006164 .02786
.0004233 1.6714
.3085 .0006510
Wed. .9988
1.2812 11.058 .3770
32.470 1.0409 .5924 .5928 .5937
.5952 1.3516 1.3488 1.3437 1.3370 425.25 8.3272
1001.50 ....
27.307 6.0118
.... 3615.00 4.7150 5.3220 5.3126 5.2935 5.2617 1.5744 1.5714 1.5652 1.5552 246.98 7.7390 162.89 35.875
2362.15 .6001
3.2474 1542.50
Tues. .9988
1.2655 10.988 .3770
32.205 1.0401 .5901 .5905 .5914 .5929
1.3568 1.3539 1.3489 1.3422 424.40 8.3276
1001.50 ....
27.194 5.9633
.... 3587.50 4.6841 5.2838 5.2741 5.2558 5.2243 1.5639 1.5607 1.5547 1.5450 245.80 7.7390 162.23 35.890
2362.63 .5983
3.2412 1536.00
U.S. $ equiv. per U.S. $Currency
Country Japan (Yen) 30-Day Forward 90-Day Forward 180-Day Forward Jordan (Dinar) Kuwait (Dinar) Lebanon (Pound) Malaysia (Ringgit) Malta (Lira) Mexico (Peso) Floating rate Netherland (Guilder) New Zealand (Dollar) Norway (Krone) Pakistan (Rupee) Peru (new Sol) Philippines (Peso) Poland (Zloty) Portugal (Escudo) Russia (Ruble) (a) Saudi Arabia (Riyal) Singapore (Dollar) Slovak Rep. (Koruna) South Africa (Rand) South Korea (Won) Spain (Peseta) Sweden (Krona) Switzerland (Franc) 30-Day Forward 90-Day Forward 180-Day Forward Taiwan (Dollar) Thailand (Baht) Turkey (Lira) United Arab (Dirham) Uruguay (New Peso) Financial Venezuela (Bolivar) SDR ECU
Wed. .008639 .008676 .008750 .008865 1.4075 3.3367
.0006445 .4018
2.7624 ....
.1278
.5655
.7072
.1540 .02529 .3814
.03800 .3460
.006307 .0001787
.2666
.7116 .03259 .2141
.001184
.007546 .1431 .7334 .7357 .7401 .7470
.03638
.03902 .00000911
.2723 ....
.1145 .002098
- - - 1.4315 1.2308
Tues. .008681 .008718 .008791 .008907
1.4075 3.3389
.0006445 .4002
2.7701 ....
.1277
.5699
.7106
.1548 .02529 .3840
.03802 .3475
.006369 .0001788
.2667
.7124 .03259 .2142
.001184
.007603 .1435 .7387 .7411 .7454 .7523
.03637
.03906 .00000915
.2723 ....
.1145 .002096
1.4326 1.2404
Wed. 115.75 115.26 114.28 112.80 .7105 .2997
1551.50 2.4885 .3620
.... 7.8220 1.7685 1.4140 6.4926 39.540 2.6218 26.318 2.8900 158.55
5595.00 3.7503 1.4053 30.688 4.6705 844.75 132.52 6.9865 1.3635 1.3593 1.3511 1.3386 27.489 25.625
109755.00 3.6720
.... 8.7300 476.70
.6986
..........
Tues. 115.20 114.71 113.76 112.28 .7105 .2995
1551.50 2.4990 .3610
.... 7.8330 1.7547 1.4073 6.4599 39.540 2.6039 26.300 2.8780 157.02
5594.00 3.7502 1.4037 30.688 4.6690 844.65 131.53 6.9697 1.3537 1.3494 1.3416 1.3293 27.493 25.605
109235.00 3.6720
.... 8.7300 477.12
.6980
...........
U.S. $ equiv.Currencyper U.S. $Wednesday, January 8, 1997
US dollar price:
USD/ IDR 2362.15
IDR price:
IDR /USD 0.0004233
IDR 1 = 1
2362.15
The Spot MarketJanuary 8, 1997
• FUNDAMENTAL ANALYSIS
ANALIZYNG THE ECONOMIC INDICATORS THAT
CAN AFFECT THE VALUE OF A CURRENCY AGAINST
ANOTHER CURRENCY
• TECHNICAL ANALYSIS
USING CHARTS OF HISTORICAL PRICES AND
VOLUMES OF TRADING TO TRANSLATE PATTERNS
INTO PREDICTION OF FUTURE MOVEMENTS.
• MARKET SENTIMENT
FOREIGN EXCHANGE RATE
FORECAST METHODS
FACTORS
AFFECTING
FOREIGN
EXCHANGE
RATE
FUNDAMENTAL ANALYSIS
• BALANCE OF PAYMENT
• INFLATION
• INTEREST RATES
• CAPITAL FLOW
• CAPITAL MARKET
• ECONOMIC CONDITION
• POLITICAL CONSIDERATION
• MONETARY AND FISCAL POLICY
• CENTRAL BANK INTERVENTION
TECHNICAL ANALYSIS
MARKET SENTIMENT
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EXPOSURE – RISK – HEDGING
• EXPOSURE :
SOMETHING WHICH IS VOLUNTARILY CREATED AS A RESULT
OF DOING BUSINESS.
• RISK :
UNCERTAINTY – VOLATILITY.
EXTERNAL OR UNCONTROLLABLE EVENTS WHICH WOULD
HAVE A NEGATIVE IMPACT ON THE VALUE OF THE EXPOSURE.
• HEDGING :
A METHOD OF REDUCING RISK OF A CURRENT EXPOSURE OR
AN EXPOSURE THAT IS EXPECTED TO OCCUR IN THE FUTURE
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A PRODUCT WHICH HAS A VALUE DEPENDENT ON
THE PRICE OF UNDERLYING CASH MARKET
DERIVATIVES ARE “DERIVED” FROM THE CASH
MARKET INSTRUMENTS :
• SPOT FOREIGN EXCHANGE
DERIVATIVES ARE GENERALLY FORWARD
COMMITMENT ON THE CASH INSTRUMENTS
TRANSAKSI FORWARD
Transaksi pertukaran mata uang dengan settlement
transaksi (Value Date) dilakukan lebih dari 2 hari kerja
setelah tanggal transaksi (Deal Date).
Nilai tukar forward dipengaruhi oleh :
nilai tukar spot serta selisih antara suku bunga Non
Reference Currency dan suku bunga Reference Currency.
Nilai tukar forward hanyalah merupakan nilai tukar di masa
mendatang terkait dengan perbedaan suku bunga, tetapi
bukan ekspektasi pasar atas nilai tukar di masa yang akan
datang atau nilai tukar yang benar-benar akan terjadi
Non Delivery Forward (NDF)
• Sebuah kontrak forward mata uang asing yang diperdagangkan secara over the counter, di mana tidak terjadi perpindahan dana secara penuh
• Laba atau rugi ditetapkan pada saat tanggal penyelesaian, dihitung dengan mengambil perbedaan antara kurs forward dengan kurs spot pada saat kontrak jatuh waktu.
- SWAP IS A BUY / SELL OF A CURRENCY ON A ONE DATE TOGETHER WITH A SELL / BUY ON A LATER DATE.
“BUY/SELL” OR “SELL/BUY”
BUY USD/IDR AT SPOT AND SELL AT FORWARD SELL USD/IDR AT SPOT AND BUY AT FORWARD
-.
- THE FX SWAP HAS TWO VALUE DATES
- Foreign exchange swap is a combination of :
spot deal and forward deal.
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CURRENCY OPTION
THE RIGHT, BUT NOT THE OBLIGATION, TO BUY
OR SELL A SPECIFIED QUANTITY OF AN
UNDERLYING ASSET AT A SPECIFIED PRICE ON
OR BEFORE A SPECIFIED DATE
CALL: GIVES THE HOLDER THE RIGHT BUT NOT
THE OBLIGATION TO BUY THE
UNDERLYING ASSET.
PUT: GIVES THE HOLDER THE RIGHT BUT NOT
THE OBLIGATION TO SELL THE
UNDERLYING ASSET.
OPTION CATEGORIES
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Perbandingan antara Forward dan Option• Forward
- Hak sekaligus kewajiban untuk membeli / menjual
suatu valuta terhadap valuta lainnya pada saat jatuh
tempo.
- Harus dieksekusi.
- Premium dimasukkan didalam forward rate
• Option
- Pembeli option mempunyai hak dan penjual
berkewajiban untuk melaksanakan transaksi
selama kontrak option masih berlaku.
- Bisa tidak dieksekusi
- Pembeli option membayar premium, sedangkan
penjual option menerima premium.
Terbentuknya Nilai Tukar RupiahPenawaran Valuta Asing :
- Devisa hasil ekspor
- Investasi langsung (foregin direct investment)
- Investasi di pasar modal (portfolio)
- Intervensi Bank Sentral (cadangan devisa)
- Spekulasi
- Lain-lain
Permintaan Valuta Asing :
- Pembayaran impor
- Pembayaran hutang valas
- Pelarian modal
- Keluar dari investasi portofolio & sektor riil
- Spekulasi
- Lain-lain