ABSTRAK
Tesis ini membahas efektifitas dan efisiensi kontrak lindung nilai forward danstrategi call-spread option dalam mengurangi fluktuasi laba/(rugi) bersihPerusahaan X sebagai akibat dari fluktuasi laba/(rugi) kurs porsi non-cash atasutang dan obligasi dalam USD. Efektifitas diukur dengan melakukanperbandingan standar deviasi laba/(rugi) kurs antara sebelum dan sesudah masukke dalam kontrak lindung nilai tersebut sedangkan efisiensi diukur dengan melihatbesar realisasi biaya atas kontrak-kontrak lindung nilai tersebut. Penelitiandilakukan untuk periode laporan per kuartal sejak awal tahun 2003 s/d. akhir2012. Valuasi kontrak forward menggunakan metode Net Present Value (NPV)sedangkan valuasi strategi call-spread option dilakukan dengan menggunakanmodel Geometric Brownian Motion dengan simulasi Monte Carlo. Dari penelitianini ditemukan bahwa kontrak forward secara historis terbukti mampu mengurangifluktuasi laba/(rugi) kurs namun trade-off dari hal ini adalah biaya lindung nilaiyang relatif lebih tinggi dibanding kontrak call-spread option. Di sisi lain, strategicall-spread option juga mampu mengurangi fluktuasi laba/(rugi) kurs walaupuntidak se-efektif kontrak forward. Terdapat trade-off antara mengurangi risikodengan biaya yang diperlukan untuk mengurangi risiko tersebut.

---

ABSTRACT
This thesis explored the hedging contracts effectiveness and efficiency of forwardcontract and call-spread option strategy to reduce fluctuations in profit/(loss) ofCompany X as a result of fluctuations in profit/(loss) on exchange rate of noncashportion of the debt and bonds in USD. Effectiveness was measured bycomparing standard deviation of profit/(loss) on exchange rate before and afterapplying the hedging contract while efficiency was measured by level of actualhedging cost. The study was conducted for the quarterly reporting period sinceearly 2003 to end of 2012. Valuation of forward contracts was done by using theNet Present Value (NPV) while valuation of call-spread option strategy was doneby using Geometric Brownian Motion Model with Monte Carlo simulations. Fromthe study it was found that forward contracts have historically proven to reducefluctuations in profit/(loss) on exchange rate but with higher hedging cost relativeto call-spread option contracts. On the other hand, call-spread option strategy wasalso able to reduce fluctuations in profit/(loss) on foreign exchange forwardcontracts, although it was not as effective as forward contracts. There was tradeoffbetween reducing risk and the cost required to reduce the risk.