HIBRYDS & DEREVATIVE DR. Sri Hasnawati

An Overview of Hybrids & Derivatives In their simplest form, bonds are pure debt and common stocks are pure equity. Preferred stocks, on the other hand, are a hybrid of the two. They are like common stocks in that they promise to pay dividends, are perpetual, and represent ownership. They are like bonds in that dividends are fixed like bond interest payments. Other hybrid securities include financial leases, convertible securities, and stock purchase warrants.

An Overview of Hybrids & Derivatives The latter part of this chapter focuses on derivative securities. Derivatives are securities that is neither debt nor equity but derives its value from an underlying asset that is often another security. Derivative securities are not used by corporations to raise funds. Rather, they serve as a useful tool for managing certain aspects of firm risk.

An Overview of Hybrids & Derivatives Efek/Sekuritas derivatif merupakan Efek turunan dari Efek “utama” baik yang bersifat penyertaan maupun utang. Efek turunan dapat berarti turunan langsung dari Efek “utama” maupun turunan selanjutnya. Derivatif merupakan kontrak atau perjanjian yang nilai atau peluang keuntungannya terkait dengan kinerja aset lain. Aset lain ini disebut sebagai underlying assets.   Dalam pengertian yang lebih khusus, derivatif merupakan kontrak finansial antara 2 (dua) atau lebih pihak-pihak guna memenuhi janji untuk membeli atau menjual assets/commodities yang dijadikan sebagai obyek yang diperdagangkan pada waktu dan harga yang merupakan kesepakatan bersama antara pihak penjual dan pihak pembeli. Adapun nilai di masa mendatang dari obyek yang diperdagangkan tersebut sangat dipengaruhi oleh instrumen induknya yang ada di spot market.  

Instrument Derivative Derivatif yang terdapat di Bursa Efek adalah derivatif keuangan (financial derivative). Derivatif keuangan merupakan instrumen derivatif, di mana variabel-variabel yang mendasarinya adalah instrumen-instrumen keuangan, yang dapat berupa saham, obligasi, indeks saham, indeks obligasi, mata uang (currency), tingkat suku bunga dan instrumen-instrumen keuangan lainnya.    Instrumen-instrumen derivatif sering digunakan oleh para pelaku pasar (pemodal dan perusahaan efek) sebagai sarana untuk melakukan lindung nilai (hedging) atas portofolio yang mereka miliki. 

Convertible Securities A conversion feature is an option that is included as part of a bond or preferred stock issue that allows its holder to change the security into a stated number of shares of common stock. The conversion feature typically enhances the value ( meningkatkan nilai ) of the issue.

Convertible Securities Types of Convertible Securities A convertible bond can be changed into a specified number of shares of common stock. It is almost always a debenture (surat hutang) an unsecured bond (tanpa jaminan ) with a call feature. Because the conversion feature provides the purchaser with the possibility of becoming a shareholder on favorable terms, convertible bonds are generally less a expensive form of financing than similar-risk nonconvertible or straight bonds.

Convertible Securities Types of Convertible Securities A convertible preferred stock is a preferred stock that can be changed into a specified number of shares of common stock. It can normally be sold with a lower stated dividend ( div kecil) than a similar-risk nonconvertible stock. This is because the convertible preferred holder is assured (Terjamin )of the fixed dividend payment and also may receive the appreciation resulting from increases in the market price of the underlying common stock.

Convertible Securities General Features of Convertibles The conversion ratio is the ratio at which a convertible security can be exchanged for common stock and can be state in two ways: in terms of a given number of shares of common Western Wear Company, a manufacturer of denim products, has outstanding a bond with a $1,000 par value and convertible into 25 shares of common stock. The bond’s conversion ratio is 25. The conversion price for the bond is $40 per share ($1,000 ÷ 25).

Stock Purchase Warrants A stock purchase warrant is a security that gives its holder the right to purchase a certain number of shares of common stock at a specified price over a certain period of time. Warrants are like stock rights in that holders of warrants earn no income from them until they are exercised or sold. They also bear some similarity to convertibles in that they provide for the injection of additional equity capital into the firm at some future date.

Stock Purchase Warrants Basic Characteristics Warrants are often attached to debt issues as “sweeteners” to add to the marketability of the issue and lower the required interest rate. The price at which warrant holders can purchase a specified number of common shares is normally referred to as the exercise (or option) price which is normally set at 10 to 20 percent above the market price of the common stock at the time of issuance. Warrants normally have a life of no more than 10 years although some have infinite lives.

Stock Purchase Warrants Basic Characteristics Warrants are usually “detachable” (lepas) meaning that the bondholder may sell the warrant without selling the underlying security and are often listed and actively traded. Like rights, warrants provide a form of deferred equity financing. Unlike rights, warrants are exercisable for a period of years and are issued at a price above the prevailing market price of the firm’s common stock.

Options An option is an instrument that provides its holder with an opportunity to purchase or sell a specified asset at a stated price on or before a set expiration date. Options are probably the most popular type of derivative security. Three basic forms of options are rights, warrants, and calls and puts.

Options Calls and Puts A call option is an option to purchase a specified number of shares of stock (typically 100) on or before a specified future date at a stated price. They usually have initial lives of 1 to 9 months. The striking price is the price at which the holder of a call can buy the stock at any time prior to the option’s expiration date. The striking price is usually set at or near the prevailing market price of the stock at the time it is issued.

Options Calls and Puts A put option is an option to sell a specified number of shares of common stock on or before a specified future date at a stated striking price. Like the call option, the striking price is set close to the market price at the time it is issued.

Options Options Trading Call options are typically purchase with the expectation that the market price of the underlying price will rise by more than enough to cover its cost resulting in a profit. Cindy Peters pays $250 for a 3-month call option on Wing Enterprises with a striking price of $50. This means she is entitle to purchase 100 shares of Wing at $50 per share at any time during the next 3 months. The stock must climb $2.50 per share to $52.50 to cover the cost of the option ignoring brokerage fees and dividends. If Wing were to rise to $60 per share, Cindy’s net profit would be $750 [(100 shares x $60/share) - (100 shares x $50/share) - $250].

Options Options Trading Put options are typically purchase with the expectation that the market price of the underlying price will fall by more than enough to cover its cost resulting in a profit. Don Kelley pays $325 for a 6-month option on Dante United at a striking price of $40. The stock must drop by $3.25 per share ($325 x 100 shares) to $36.75 per share to cover the cost of the option ignoring brokerage fees and dividends. If the stock price were to drop to $30 per share, Don’s profit would be $675 [(100 shares x $40/share) - (100 shares x $30/share) - $325].

Hedging Foreign Currency Exposures with Options Options offer the key benefit of hedging, which involves offsetting or protecting against the risk of adverse price movements, while simultaneously preserving the possibility of profiting from favorable price movements. The disadvantage of using is their relatively high cost compared to more traditional futures and forward contracts.

JENIS DERIVATIVE 1. OPSI OPTION adalah kontrak resmi yang memberikan Hak (tanpa adanya kewajiban) untuk membeli atau menjual sebuah asset pada harga tertentu dalam jangka waktu tertentu. Option pertama kali secara resmi diperdagangkan melalui Chicago Board Exchange (CBOE) pada tahun 1973

JENIS DERIVATIVE KOS (Kontrak Opsi Saham) adalah Efek yang memuat hak beli (call option) atau hak jual (put option) atas Underlying Stock (saham perusahaan tercatat, yang menjadi dasar perdagangan seri KOS) dalam jumlah dan Strike Price (harga yang ditetapkan oleh Bursa untuk setiap seri KOS sebagai acuan dalam Exercise) tertentu, serta berlaku dalam periode tertentu. 

JENIS DERIVATIVE Call Option memberikan hak (bukan kewajiban) kepada pemegang opsi (taker) untuk membeli sejumlah tertentu dari sebuah instrumen yang menjadi dasar kontrak tersebut. Sebaliknya, Put Option memberikan hak (bukan kewajiban) kepada pemegang opsi (taker) untuk menjual sejumlah tertentu dari sebuah instrumen yang menjadi dasar kontrak tersebut.

JENIS DERIVATIVE Opsi tipe Amerika memberikan kesempatan kepada pemegang opsi (taker) untuk meng-exercise haknya setiap saat hingga waktu jatuh tempo. Sedangkan Opsi Eropa hanya memberikan kesempatan kepada taker untuk meng-exercise haknya pada saat waktu jatuh tempo.

Call Option Dan Put Option Tipe Call Option Dan Put Option  Satuan Perdagangan 1 Kontrak = 10.000 opsi saham  Masa Berlaku 1,2 dan 3 bulan Pelaksanaan Hak (exercise) Metode Amerika (Setiap saat dalam jam tertentu di hari bursa, selama masa berlaku )  Penyelesaian Pelaksanaan Hak  Secara tunai pada T+ 1, dengan pedoman: • call option = WMA – strike price • put option = strike price – WMA Margin Awal  Rp 3.000.000,- per kontrak WMA (weighted moving average)  adalah rata-rata tertimbang dari saham acuan opsi selama 30 menit dan akan muncul setelah 15 menit berikutnya Strike Price adalah harga tebus (exercise price) untuk setiap seri yang ditetapkan 7 seri untuk call option dan 7 seri untuk put option berdasarkan closing price saham acuan opsi saham Automatic exercise diberlakukan apabila: 110% dari strike³• call option, jika WMA price 90% dari strike price£• put option, jika WMA Jam Perdagangan  • Senin – Kamis Sesi 1: 09.30 – 12.00 WIB   Sesi 2: 13.30 – 16.00 WIB • Jum’at Sesi 1: 09.30 – 11.30 WIB Sesi 2: 14.00 – 16.00 WIB Jam Pelaksanaan Hak • Senin – Kamis : 10.01 – 12.15 dan 13.45 – 16.15 WIB • Jum’at : 10.01 – 11.45 dan 14.15 – 16.15 WIB Premium diperdagangkan secara lelang berkelanjutan (continuous auction market)

JENIS DERIVATIVE 2. KONTRAK BERJANGKA INDEKS (LQ 45 FUTURES) Kontrak Berjangka atau Futures adalah kontrak untuk membeli atau menjual suatu underlying (dapat berupa indeks, saham, obligasi, dll) di masa mendatang. Kontrak indeks merupakan kontrak berjangka yang menggunakan underlying berupa indeks saham. LQ Futures menggunakan underlying indeks LQ45, LQ45 telah dikenal sebagai benchmark saham-saham di Pasar Modal Indonesia. Di tengah perkembangan yang cepat di pasar modal Indonesia, indeks LQ45 dapat menjadi alat yang cukup efektif dalam rangka melakukan tracking secara keseluruhan dari pasar saham di  Indonesia  

Underlying LQ45 Multiplier Rp. 500.000 per point indeks Bulan Kontrak 2 kontrak Bulan terdekat (spot month dan 2nd Month) dan 1 kontrak Bulan Kuartal terdekat (Bulan Kuartal adalah Juni dan Desember) Jam Trading Hari Senin s/d Kamis Sesi 1: 09.15 – 12.00 WIB   Sesi 2: 13.30 – 16. 15 WIB Hari Jumat Sesi 1: 09. 15 – 11.30 WIB Sesi 2: 14.00 – 16. 15 WIB Last Trading Day Setiap Hari Bursa terakhir setiap bulan kontrak Margin Awal IDR 3.000.000/ kontrak

JENIS DERIVATIVE 4. LQ45 Futures Periodik Kontrak yang diterbitkan pada Hari Bursa tertentu dan jatuh tempo dalam periode Hari Bursa tertentu. Tedapat beberapa tipe kontrak, yaitu Periodik 2 Mingguan Kontrak periodik 2 Mingguan, yakni kontrak yang jatuh tempo pada Hari Bursa terakhir minggu kedua sejak penerbitan kontrak. Periodik Mingguan (5 Hari Bursa) Kontrak Periodik Mingguan (5 Hari Bursa), yakni kontrak yang jatuh tempo pada Hari Bursa kelima sejak penerbitan kontrak. Periodik Harian (2 Hari Bursa) Kontrak periodik Harian (2 Hari Bursa), yakni kontrak yang jatuh tempo pada Hari Bursa kedua sejak penerbitan kontrak.

JENIS DERIVATIVE 5. Japan (JP) Futures Produk ini memberikan peluang kepada investor untuk melakukan investasi secara global sekaligus memperluas rangkaian dan jangkauan produk derivatif BEI ke produk yang menjadi benchmark dunia. Dengan JP Futures memungkinkan investor menarik manfaat dari pergerakan pasar jepang sebagai pasar saham paling aktif setelah pasar AS.