Derivatives

Derivative Security is a financial security whose value is derived from the value of another security (underlying asset) such as equity or debt instrument. It can derive directly from an underlying asset or from the underlying asset’s derivatives. Derivative can also be defined as a contract or agreement, which value depends on the performance of an underlying asset.

In a more specific definition, derivative is a traded financial contract between two or more parties to buy or sold an asset/commodity on an agreed time and price. The future value of the derivative is highly influenced by its underlying asset in the Spot Market.

Financial Derivatives

Derivatives listed in the Exchange are financial derivatives, which derived from financial instruments such as stock, bond, stock index, bond index, currency, interest rate and other financial instruments. Financial derivatives are often used by Investors and Issuers to perform hedging on their portfolios.

Jurisdiction

  • Capital Market Law of the Republic of Indonesia No. 8 year 1995 concerning the Capital Market
  • The Government Regulation of the Republic of Indonesia No. 45 year 1995 concerning the Capital Market Organization
  • The Decision of the Chairman of Bapepam No. Kep.07/PM/2003 dated February 20, 2003 concerning Futures Contract on Security Index as Security
  • The Bapepam Rules No. III. E. 1 dated October 31, 2003 concerning Futures Contract and Option on Securities or on Securities Index
  • Circular Letter from the Chairman of Bapepam No. SE-01/PM/2002 dated February 25, 2002 concerning Futures Contracts Index in the Net Adjusted Working capital Report of Securities Company
  • Approval Letter of Bapepam No. S-356/PM/2004 dated February 18, 2004 concerning the Agreement of Foreign Futures Contracts (DJIA & DJ Japan Titans 100)

Several Derivative products traded at IDX:

IDX LQ45 Futures

Futures is a contracts to buy or sell an underlying (can be index, stock, bond, etc.) in the future. Index Futures are futures contracts that use stock indices as their underlying. IDX LQ45 Futures is an agreement requiring parties to buy or sell a certain amount of Underlying at a price and within a certain period of time in the future. LQ45 Futures uses the LQ45 index, a well known index that serves as the benchmark of stocks in Indonesian Capital Market, as its underlying. In the fast growing capital market in Indonesia, LQ45 index can be the most effective way in tracking the stocks market of Indonesia in general. Specifications of LQ45 Futures :

Criteria Specification
Underlying LQ-45 index
Multiplier IDR 500.000
Tick Size 0,05 (1bp)
Contract Months 1 Month, 2 Months, 3 Months
Min. Initial Margin 4% X index point X Number of Contract X Multiplier
Auto Rejection 10%
Trading Hours
Session I
Monday – Thursyda : 09.00 – 12.00
Friday : 09.00 – 11.30
Session II
Monday – Thursyda : 13.30 – 16.15
Friday : 14.00 – 16.15
For the month of the contract due at the end of the trading day will expire at 16.00 JATS time.
Settlement Cash, T + 1

The Benefits of IDX LQ45 Futures

The Benefits of IDX LQ45 Futures are :

Indonesia Government Bond Futures

Indonesia Government Bond Futures (IGBF) contract is an agreement that requiring parties to buy or sell a number of Indonesia Government Bond at a price and within a certain period of time in the future As of January 2017, based on Report Stated in DJPPR report, Total Government Bond in Indonesia Rp1.554,92 Trillion. Outstanding of SUN Seri Benchmark Rp.167,87 Trillion, where 62% dominated by SUN Seri Benchmark 5 and 10 years. With huge amount of outstanding, Indonesia significantly need hedging instruments for Government Bond Market. This include Issuers as well as Investors / Primary Dealers.

The specification of IGBF :

IGBF
Product 5-Year Benchmark Indonesia Government Bond Futures 10-Year Benchmark Indonesia Government Bond Futures
Instrument Code BM05H6 BM10H6
Contract Size IDR 1,000,000,000 IDR 1,000,000,000
Quotation Price Price
Tick Size 0.01 (1 bp) 0.01 (1 bp)
Tick Value IDR 100,000 IDR 100,000
Auto Rejection 300bp from reff price 300bp from reff price
Initial Margin 1% X Contract Size X Number of Contract X Futures Price 2% X Contract Size X Number of Contract X Futures Price
Trading Hours
Monday to Thursday:
Morning Session : 09.00 – 12.00
Afternoon Seesion : 13.30 – 16.15
Friday:
Morning Session : 09:00 - 11:30
Afternoon Seesion : 14.00 – 16.15
Monday to Thursday:
Morning Session : 09.00 – 12.00
Afternoon Seesion : 13.30 – 16.15
Friday:
Morning Session : 09:00 - 11:30
Afternoon Seesion : 14.00 – 16.15
Contract Month 3 months in the March quarterly cycle (March, June, September and/or December) 3 months in the March quarterly cycle (March, June, September and/or December)
Settlement Cash Settlement (T + 1) Cash Settlement (T + 1)
Liquidity Provider Yes Yes
Spread LP 55 bp (±0.55%) 70 bp (±0.70%)
Min Quantity 10 contracts 10 contracts

Why do we need IGBF?

Primary Market
  1. High interest rates may threaten the sustainability of fiscal policy: IGBF could be seen as equilibrium interest rates for DMO to do fiscal activity

  2. Broadening Investor Base

    • IGBF will attract new investor base due to hedging purpose / necessity to have physical bond

    • Broader investor base will reduce reliance on a captive market

    • Improve liquidity due to additional quantity of investor with diverse risk profiles

  3. Cash and Futures markets are closely related.

Secondary Market

Enhancing Liquidity

  1. Increase hedging activity and promote risk management practice

  2. Cash and Futures market are closely linked

IDX30 Futures

Futures is a contracts to buy or sell an underlying (can be index, stock, bond, etc.) at a certain price in the future. Index Futures are futures contracts that use stock indices as their underlying.

IDX30 Futures is an agreement requiring parties to buy or sell a certain number of Underlying in the form of Index at a certain price in certain period of time. IDX30 Futures use IDX30 index as their underlying. The IDX30 index is an index of 30 stocks that have been selected from the LQ45 index. Thus, IDX30 are the index consist the most 30 liquid stock in IDX. The following are specifications of IDX30 Futures;

Criteria Specification
Contract Code IDX30MY
Underlying IDX30 Index
Multiplier IDR 100.000
Tick Size 0,1 Point Index
Contract Months 1 Month, 2 Months dan 3 Months
Initial Margin 4% x Index point x Number of contract x Multiplier
Post-Order Initial Margin Stadardized Portfolio Analysis of Risk (SPAN) ®
Auto Rejection 10%
Trading Hours
Session I Monday – Thursday : 09.00 – 12.00 Friday : 09.00 – 11.30
Session II Monday – Thursday : 13.30 – 16.15 Friday : 14.00 – 16.15
contracts that are due at the end of the day, trades will end at 16:00 JATS time
Settlement Cash, T+1

IDX30 Futures Code

Code:

IDX30MY

M : Month of Expiry

Y : Year of Expiry (last number)

Contract Months Code
Month Month Code
January F
February G
March H
April J
May K
June M
July N
August Q
September U
October V
November X
December Z
Example

IDX30G0

IDX30 Futures expiry in February 2020

Watch video of IDX30 Futrues

Basket Bond Futures

Basket Bond Futures (BBF) is an agreement between parties to buy or sell a set of Government Bond at a certain price and within a certain time in the future.

Considering the current development of the debt securities market in Indonesia and the large outstanding value, particularly in government bond securities, a hedging instrument is needed for its Market. This includes Investors or Primary Dealers.

BBF business specifications:

Criteria Basket Bond Future
5 Years 10 Years
Underlying Government Bond with maturities of 4 to less than 7 years Government Bond with maturities of 7 to less than 11 years
Code GB05MY GB10MY
Multiplier Rp1.000.000.000,-
Tick Size 1 bp (0,01%)
Auto Rejection 600 bp
Contract Month March, June, September, or December
Pre-Order Intial Margin 1% * IGBF Price * Number of Contract * Multiplier 2% * IGBF Price * Number of Contract * Multiplier
Fee
BEI Rp10.000/contract
KPEI Rp6.000/contract (60% dari IDX fee)
Guarantee Fund 0,0003% of Transaction Value

Why do we need BBF?

  1. Hedging instrument for Government Bond Portfolio

  2. Can be used for profit management in bullish and bearish market

  3. Broadening Investor Base

    • BBF will attract new investor base due to hedging purpose
    • Improve liquidity due to additional quantity of investor with diverse risk profiles

 

 

 

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