PASAR VALUTA ASING

FARIAL ANWAR

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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

BANK PEMERINTAH

BANK SWASTA

BANK ASING

BANK JOINT VENTURE

BANK DARI LUAR NEGERI

BANK INDONESIA

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

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USD/IDR

1992 - 2004

USD/IDR 2008 - 2018

Highest 14.733

Lowest 8.455

21/08/18 14.580

IDR & DOLAR INDEX

• 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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MARKET RISK

FOREIGN EXCHANGE

CURRENCY DEPRECIATION / APPRECIATION

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HEDGERS:

•BORROWER

•LENDER

•IMPORTER / EXPORTER

•PORTFOLIO INVESTOR

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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

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DERIVATIVE INSTRUMENTS

FOREIGN EXCHANGE

• FORWARD

• FOREX SWAP

• OPTION

FUTURES

FOREX MARKET TURNOVER

Turnover of OTC Forex Instruments 2016

Turnover of OTC Forex Instruments 2016

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

Turnover of OTC forex instruments by country 2016

Sumber: Bank for International Settlements (BIS).

Forex Survey 2016