KBIE

  1. IDX LQ45 Futures
    IDX LQ45 Futures is an agreement that obligates the parties to buy or sell a certain amount of Underlying at a certain price and within a certain time in the future. LQ45 Futures uses the underlying index LQ45, LQ45 has been known as a benchmark for shares in the Indonesian Capital Market. In the midst of rapid developments in the Indonesian capital market, the LQ45 index can be a quite effective tool for tracking the overall stock market in Indonesia. 

  2. IDX30 Futures
    IDX30 Futures is an agreement that obligates the parties to buy or sell a certain amount of Underlying at a certain price and within a certain time in the future. IDX30 Futures uses the underlying IDX30 index. The IDX30 index itself is an index containing 30 shares that have been selected and selected from the shares in the LQ45 index.
  • Explanation for the terms above: angle-down

    Explanation for the terms above:

    1.    Underlying Index
    There are several types of assets that serve as underlying assets such as stocks, bonds, and interest rate. Currently, the underlying asset used as a reference is the LQ-45 index.

    2.    Multiplier
    Multiplier is the Rupiah value that represents a point of the securities Index. In IDX LQ-45 Futures trading, the Multiplier is Rp500,000,-. This means any changes of 1 LQ-45 index points is worth Rp500,000,-.
    The IDX LQ-45 Futures transaction value can be calculated by:

    The IDX LQ-45 Futures transaction value can be calculated by:

    The Transaction Value of IDX LQ-45 Futures =

    Index Price * Number of Contracts * Multiplier

    For example, an investor purchases IDX LQ-45 Futures at an index price of 900 for 1 contract. Therefore, the transaction value of IDX LQ-45 Futures is calculated as 900 * 1 * IDR 500,000 = IDR 450,000,000.

    3.    Initial Margin (Pre-Order Risk)
    Initial Margin on Pre-Order Risk is the amount of funds to be submitted by Clearing Member to IDClear so that Clearing Member can submit order for Futures transactions. Initial  Margin (pre-order risk) for IDX LQ-45 Futures transaction can be calculated as follows:

    Initial Margin

    4% * Index Price * Number of Contracts * Multiplier

    For example, an investor buys 1 contract of IDX LQ-45 Futures at 900 contract price. Thus, the minimum amount of deposit to be submitted by investor as Initial Margin (pre-order risk) equals to 4% * 900 * 1 * Rp500,000,- = Rp18,000,000,-.

    4.    Maturity Date
    IDX LQ-45 Futures has maturity dates stipulated by the Indonesia Stock Exchange. The maturity date is the last day IDX LQ-45 Futures series are traded.
    For example, for IDX LQ-45 Futures series maturing in November 2016, then the last day the series can be traded is the last trading day in November 2016 (Wednesday, November 30th, 2016).

    5.    Contract Price Fraction (Tick Size)
    IDX LQ-45 Futures Price Fraction is a unit of futures price change used in submitting IDX LQ-45 Futures sell offer and buy orders. IDX LQ-45 Futures price fraction is 0.05 index points. This means that investors may submit IDX LQ-45 Futures sell offers and buy orders in 0.05 points increments.

    For example, if the LQ-45 index value is 900.58 then the IDX LQ-45 Futures sell offer and buy orders applicable are 900.60 or 900.65 and so on, increasing or decreasing with the multiple of 0.05 points. Each price fraction of the contract has a value of Rp25,000,- (Rp500,000 * 0.05).

    6.    Contract Code
    The contract codes used in IDX LQ-45 Futures trading refers to international standards. Contract codes used for IDX LQ-45 Futures are as follows:

    Underlying Security Code + Month Code + Year (Last Digit)

     

    Month Code Month Code
    Jan F Jul N
    Feb G Aug Q
    Mar H Sept U
    Apr J Okt V
    Mei K Nov X
    Jun M Des Z

    Contract Code Example:

    L Q 4 5 X 6

    Description:

    LQ45 - indicates the contract code (underlying) of the LQ45 Index.

    X 6 - indicates the futures contract maturing on the last trading day in November 2016.

     

    7.    Daily Settlement Price (HPH) and Final Settlement Price (HPF)
    The daily settlement price is the price used for determining the rights and obligation on a daily basis, while the final settlement price is the price used for determining the rights and obligations on maturity.
    The IDX LQ-45 futures contract specification is as follows:

    Criteria Specifications
    Underlying LQ45 Index

    Contract Code

    Underlying security code + month code + year (last digit)

    Month Code Month Code
    Jan F Jul N
    Feb G Aug Q
    Mar H Sept U
    Apr J Oct V
    Mei K Nov X
    Jun M Des Z
    Contract size / multiplier Rp500.000
    Tick size 0.05
    Auto rejection 10%
    Margin (min) 4% * Index price  * Number of contracts * Multiplier
    Trading hours

    Session 1

    Monday-Thursday: 09.00-12.00 JATS time

    Friday: 09.00 - 11.30 JATS time

     

    Session 2

    Monday-Thursday: 13.30-16.15 JATS time

    Friday: 14.00 - 16.15 JATS time

     

    For contracts maturing in the current month, trading ends at 16:00 JATS time on the last trading day.

    Settlement period T+1
    Last trading day Last trading day of the maturity month
    Contract period 1 month, 2 month, 3 month

     

  • Futures Transaction Clearing angle-down

    The futures transactions clearing process is carried out by netting for each Clearing Member portfolio and its clients on contract positions, margin, and profit/loss. Clearing results done KPEI will produce a document called Futures and Options Clearing Result List (CRL). CRL can be accessed by Clearing Member at 7.30pm on the same day of the futures contract transaction. Futures and Options CRL inform all open positions, profit/loss, margin, premium of each contract.

    As described above, the determination of the futures transactions’ rights and obligations are calculated daily using HPH. For the determination of HPH, contract price (IF) samples that occur at specific points in Regular Market is used, excluding ones that occur by crossing (buy and sell transaction conducted by the same Exchange Member). HPH sample calculation based on:

    1. The average (IF) contract price within the last 30 minutes of IF Regular Market by taking the contract price every 10 minutes to get the 4 prices on the following points (15:45, 15:55, 16:05, 16:15). This is done if there is a IF transaction before and after 15:45.
    2. If the above conditions are not fulfilled because the transaction occurring after 15:45, then HPH is calculated based on the average 8 contract prices, which consists of 4 (IF) contract price in the KBIE Regular Market and 4 (underlying) LQ-45 securities index price points as follows:
      1. First, second, fourth and sixths prices use securities (underlying) LQ-45 index prices taken on the following points: 15.30, 15.40, 15.50, 16.00;
      2. Thrid, fifth, seventh, and eighth prices use the last (IF) contract prices on Regular Market taken on the following points: 15.45, 15.55, 16.05, 16.15.
    3. If until 16:15 there are no transactions in the IF Regular Market, the HPH is calculated in accordance to the provisions stipulated on the letter b. above, but the (IF) contract price  uses the previous prices (T-1 settlement price) instead of the final price.
    4. If the IF transaction only occurs before 15:45, the HPH is calculated in accordance to the provisions of letter b.ii above, but the four points will use IF contract prices occurring on the last transaction in the Futures Regular Market.

    Meanwhile, HPF is calculated based on the average (underlying securities) LQ-45 index price in the last 30 minutes of trading on the underlying market by taking the 15:30, 15:40, 15:50, 16:00 points.
    To access KPEI Rules governing the futures transactions clearing process, click here.

    KPEI uses web-based system to facilitate futures transactions clearing and settlement. This system has the ability to provide clearing of Clearing Member level and clients level and can be accessed online by Clearing Member.

    Derivatives Clearing and Settlement system is used:

    1. To monitor derivative transactions on a daily basis, AK can view Futures and Options transactions, Futures and Options Positions, Margins, Gain/Loss Value, to receive Alerts (Early Warning Indicators), to monitor Guarantee Fund Position and the value of Clearing Member Collateral and its clients;
    2. To withdraw excess of AK and its clients’ Guarantee Fund and Collateral (if any);
    3. To liquidate Futures and Options positions;
    4. To publish Futures and Options transaction clearing and settlement document.
  • Calculation Simulation Of Futures Rights and Obligations: angle-down

     

    Date Description
    2 November 2020

    Mr. A predicts that LQ-45 indeks will decline. Mr. A enter into 3 contracts of LQ45F6 Sell Contract for the index at 750 (the transaction matched with Mr. B) with the following condition:

    Mr. A and Mr. B's collaterals are blocked for the initial margin amount, which is:
    = (4% x 750 x 3 Rp500.000) 
    = Rp45.000.000

    On the afternoon, the index declines to 712.50

    The gain/loss calculation is as follows:

    Mr. A gains:
    =(750 - 712.50) x 3 x Rp500.000 
    =Rp56,250,000

    Mr. B loses:
    =(712.50 - 750) x 3 x Rp500.000 
    =(Rp56.250.000)

    3 November 2020 Mr. A and Mr. B will receive gains/losses on T+ 1 settlement date amounting to Rp56.250.000 and (Rp56.250.000)