Herlinasari, Rully (2017) Penggunaan Forward Contract Hedging Untuk Menurunkan Risiko Eksposur Transaksi (Studi Pada PT. Unilever Indonesia, Tbk). Sarjana thesis, Universitas Brawijaya.
Abstract
Eksposur valuta asing merupakan risiko yang akan dihadapi oleh setiap perusahaan yang melakukan transaksi internasional, baik impor maupun ekspor. Eksposur transaksi, salah satu bentuk dari eksposur valuta asing, muncul ketika arus kas masa depan perusahaan dipengaruhi oleh fluktuasi nilai tukar. Fluktuasi nilai tukar terjadi sepanjang waktu, sehingga perusahaan mengalami ketidak pastian atas jumlah arus kas masa depannya. Penelitian ini berusaha untuk mengetahui manfaat penerapan forward contract hedging dalam menurunkan risiko eksposur transaksi PT. Unilever Indonesia. Forward contract hedging dilakukan pada mata uang Dolar Amerika (USD) dan Euro (EUR). Forward contract hedging dilakukan dengan mengunci nilia tukar di masa depan (kurs forward) yang telah disepakati kedua belah pihak pada saat jatuh tempo kontrak, kurs forward akan dibandingkan kurs spot saat jatuh tempo, sehingga dapat diketahui premi forward atau diskon forward yang didapatkan dari forward contract dan dapat dihitung jumlah yang harus dibayarkan perusahaan pada saat jatuh tempo. Penelitian ini merupakan penelitian deskriptif dengan pendekatan studi kasus. Data yang diperlukan antara lain, laporan tahunan PT. Unilever Indonesia, Tbk tahun 2015, data forward contract perusahaan tahun 2016, data historis kurs trnasaksi Bank Indonesia sepanjang tahun 2015, dan data historis kurs transaksi Bank Indonesia bulan Januari – Maret 2016. Data tersebut diperoleh dari www.unileverindonesia.co.id dan www.bi.go.id. Berdasarkan laporan keuangan PT. Unilever Indonesia, Tbk tahun 2015, perusahaan memiliki 6 forward contract. Setelah dilakukan pengolahan data, hanya 3 forward contract yang memenuhi kriteria penelitian ini, yaitu forward contract dengan JP Morgan Chase (dalam USD dan EUR) dan forward contract dengan The Hongkong and Shanghai Banking Corporation, Ltd (dalam EUR) hasil penelitian menunjukkan diketahui bahwa forward contract hedging pada mata uang USD menghasilkan discount forward, yaitu sebesar 27,37% pada kontrak JP Morgan Chase dan 30,65% pada kontrak Hongkong and Shanghai Banking Corporation, sedangkan forward contract hedging pada mata uang EUR menghasilkan premi forward yaitu sebesar 24,88%. Pada saat diperoleh premi forward, kurs spot pada saat jatuh tempo lebih tinggi dibandingkan kurs forward, sehingga jumlah yang dibayrkan pada saat jatuh tempo dengan hedging lebih kecil dibandingkan dengan jumlah yang dibayarkan tanpa hedging, begitu pula sebaliknya. Maka dari itu dapat diambil kesimpulan bahwa forward contract hedging (dalam EUR) mampu menurunkan risiko eksposur transaksi, sedangkan forward contract hedging (dalam USD) tidak menurunkan risiko eksposur transaksi perusahaan.
English Abstract
Foreign exchange exposure is a risk that will be faced by any company who transact internationally, both import or export. Transaction exposure, part of foreign exchange exposure, arises when the future cash flow of the firm is affected by exchange rate fluctuation. Fluctuation in exchange rate occurs over time, resulting in uncertainty over the amount of future cash flow. This study seeks to know the benefit of forward contract hedging implementation to reduce transaction exposure risk at PT. Unilever Indonesia, Tbk. PT Unilever Indonesia, Tbk hedge their transaction exposure on US dollar (USD) and Euro (EUR). Forward contract hedging was performed with locking future exchange rate (forward rate) on certain currency that has been agreed by both parties. At the maturity date, the forward rate will be compare with spot rate on the maturity date, so that forward premium or forward discount can be obtained and the amount that must be paid by the company can be determine. This research is a descriptive research with case study approach. The required data for this study are the annual report of PT. Unilever Indonesia, Tbk year 2015, PT. Unilever Indonesia’s forward contract year 2016, historical data of exchange rate fluctuation during 2015 and historical data of exchange rate fluctuation from January to March 2016. Those data were obtained from PT. Unilever Indonesia’s official website www.unilever.co.id and Bank of Indonesia’s official website at www.bi.co.id. Based on 2015 annual report, PT. Unilever Indonesia, Tbk has six forward contract with several banks in Indonesia. But after the data processing were done, only three of six forward contract fulfilled the criteria of this study. There are USD forward contract from JP Morgan Chase, EUR forward contract with JP Morgan Chase, and USD forward contract from The Hongkong and Shanghai Banking Corporation. The result of the study, in this known that forward contract hedging on USD giving 27,37% forward discount on JP Morgan’s USD contract and 30,65% forward discount on The Hongkong and Shanghai Banking Corporation USD contract. JP Morgan Chase’s EUR contract provide 24,88% forward premium. Forward premium indicate that at maturity date, forward rate is higher that spot rate, so that the company must pay higher amount compare to non-hedging amount to settle to forward contract hedge. At the other side, forward discount indicate that at the maturity date, forward rate is lower than spot rate, so that the company pay lower amount compare to non-hedging amount to settle the forward contract hedge. Based on the results, forward contract hedging on EUR give advantage to reduce transaction exposure risk advantage forward contract hedging on USD didn’t give advantage to reduce company’s transaction exposure risk.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/FIA/2017/1331/051802781 |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.4 Money > 332.45 Foreign exchange |
| Divisions: | Fakultas Ilmu Administrasi > Ilmu Administrasi Bisnis / Niaga |
| Depositing User: | Yusuf Dwi N. |
| Date Deposited: | 03 Apr 2018 03:29 |
| Last Modified: | 26 Oct 2021 06:10 |
| URI: | http://repository.ub.ac.id/id/eprint/9087 |
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