Professional Documents
Culture Documents
to accompany
Chapter 18
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Part 5: ANALYSIS OF BOND
17
Fundamental 18
Obligasi Anlisis
Obligasi
19
Portofolio
Obligasi
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Chapter 18: ANALYSIS & VALUATION OF
BOND
17: Fundamental
Obligasi
NIL A I Obl
Keputusan
Beli
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Chapter 18 - The Analysis and
Valuation of Bonds
Questions to be answered:
1. How do you determine the value of a bond based on the
present value formula?
2. What are the alternative bond yields that are important to
investors?
3. How do you compute the following major yields on bonds:
current yield, yield to maturity, yield to call, and compound
realized (horizon) yield?
4. What are spot rates and forward rates and how do you
calculate these rates from a yield to maturity curve?
5. What is the spot rate yield curve and forward rate curve?
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
6. How and why do you use the spot rate curve to determine
the value of a bond?
7. What are the alternative theories that attempt to explain the
shape of the term structure of interest rates?
8. What factors affect the level of bond yields at a point in
time?
9. What economic forces cause changes in bond yields over
time?
10.When yields change, what characteristics of a bond cause
differential price changes for individual bonds?
11.What is meant by the duration of a bond, how do you
compute it, and what factors affect it?
12.What is modified duration and what is the relationship
between a bond’s modified duration and its volatility?
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
13. What is effective duration and when is it useful?
14. What is the convexity for a bond, how do you compute it, and
what factors affect it?
15. Under what conditions is it necessary to consider both
modified duration and convexity when estimating a bond’s
price volatility?
16. What happens to the duration and convexity of bonds that
have embedded call options?
17. What are effective duration and effective convexity and when
are they useful?
18. What is empirical duration and how is it used with common
stocks and other assets?
19. What are the static yield spread and the option-adjusted
spread?
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
The Fundamentals of Bond Valuation
Model Nilai-Sekarang
2n
Ct 2Pp
Pm ∑ t
2n
t1 (1 i 2) (1 i 2)
Notasi:
Pm = harga pasar sekarang obligasi
n = jumlah tahun s/d jatuh tempo
Ci = pembayaran kupon tahunan unt obligasi i
i = hasil yg diperoleh s/d jatuh tempo unt penerbitan
obligasi
Pp = nilai pari obligasi 7
MM UNS Chpt 19, Reilly&Brown Bandi, 2009
The Fundamentals of Bond
Valuation
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
The Yield Model
Hasil ekspektasian atas obligasi bisa dihitung
dr haga pasar
2n
2Pp
Pm ∑
Ci
t
2n
t1 (1 i 2) (1 i 2)
Notasi:
i = tingkat diskonto yg akan mendiskon arus kas unt
menyamakan dg harga pasar sekarang obligasi
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Computing Bond Yields
Yield Measure Purpose
Nominal Yield Mengukur tingkat kupon
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Current Yield
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Promised Yield to Maturity
• Scr luas digunakan gambar tgkt hasil
obligasi
• asumsi
– Investor menahan obligasi hingga jth tempo
– Semua arus kas obligasi direinvestasikan pd YTM terhitung
(computed yield to maturity)
Ci 2
mencari i yg menyamakan
2n Pp
Pm ∑ t (1 i 2) 2n
harga sekarang dg semua arus
kas dr obligasi s/d jth tempo,
t1 (1 i 2) sama dg IRR
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Computing the
Promised Yield to Maturity
Dua metode
• Approximate promised yield
– Mudah, kurang akurat
• Model Nilai Sekarang (Present-value)
– Lbh banyak faktor, lbh akurat
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Approximate Promised Yield
P p Pm
Ci
APY n
P p Pm
2
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Present-Value Model
2n Pp
Pm ∑
Ci
t1
2 (1 i 2)2n
t
(1 i 2)
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Promised Yield to Call
Approximation
• Mungkin lbh kecil dp yield to maturity
• Merefleksikan return unt investor jk obligasi
ditarik dan tdk dpt dimiliki s/d jth tempo
Dengan: Pc Pm
AYC = penghasilan s/d penarikan (yield to Ct
call/ (YTC) AYC nc
Pc = harga penarikan (call price) obligasi Pc Pm
Pm = harga pasar sekarang obligasi 2
Ct = pembayaran kupon tahunan
nc = jml tahun s/d tanggal penarikan
pertama 17
MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Promised Yield to Call
Present-Value Method
2 nc
Ci / 2 Pc
Pm ∑ (1 i ) t
(1 i ) 2 nc
t 1
Notasi:
Pm = harga pasar sekarang obligasi
Ci = pembayaran kupon tahunan
nc = jml tahun s/d tanggal penarikan pertama
Pc = call price obligasi
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Realized Yield Approximation
Pf P
Ci
hp
ARY
Pf P
2
Notasi:
ARY = penghasilan realisasian s/d penarikan (realized yield to call/
(YTC)
Pf = harga penjualan mendatang estimasian obligasi
Ci = pembayaran kupon tahunan
hp = jml thn dlm periode pemilikan obligasi
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Realized Yield
Present-Value Method
2hp
Pf
Pm ∑
Ct / 2
t
2hp
t 1 (1 i 2) (1 i 2)
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Calculating Future Bond Prices
2n2hp Pp
Ci / 2
Pf ∑t1
t
(1 i 2) (1 i 2) 2n2hp
Notasi:
Pf = harga mendatang estimasian obligasi
Ci = pembayaran kupon tahunan
n = jmlh tahun s/d jatuh tempo
hp = periode pemilkan obligasi dlm tahun
i = tingkat semesteran ekspektasian pd akhir periode pemilikan
obligasi
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Yield Adjustments
for Tax-Exempt Bonds
annual return
ETY
1- T
Notasi:
T = jumlah dan tipe tax exemption
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
What Determines Interest Rates
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Expectations Hypothesis
• Beberpa tgkt bunga jk panjang scr
sederhana mewakili rerata geometrik dr tgkt
bunga satu-tahun sekarang dan mendatang
yg diharapkan tetap ada sampai jatuh tempo
obligasi
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Liquidity Preference Theory
• Sekuritas jgk panjang memberikan return
lbh tinggi dp obligasi jangka pendek sebab
investor akan mengorbankan beberapa
penghasilan unt investasi dlm obligasi jth
tempo dlm jk pendek unt menghindari
volatilitas harga yg lbh tinggi dr obligasi jth
tempo-jk panjang
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Segmented-Market Hypothesis
• Investor institusional berbeda memiliki
kebutuhan jatuh tempo berbeda yg
menjadikan mereka mengetatkan (confine)
pemilihan sekuritas mereka unt segmen
jatuh tempo spesifik
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Trading Implications of the Term
Structure
• Info tentang jth tempo obligasi (maturities)
dpt membantu and memformulasikan
pengharapan hasil dg mengobservasi scr
sederhana bentuk (shape) kurve penghasilan
29
MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Yield Spreads
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Yield Spreads
Besaran dan arah selisih hasil (yield
spreads) dpt berubah dari waktu ke waktu
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
What Determines the
Price Volatility for Bonds
Empat faktor
1. Nilai pari
2. Kupon
3. Jmlh thn s/d jt tempo (Years to maturity)
4. Tk bunga pasar yg ada
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
What Determines the
Price Volatility for Bonds
Lima perilaku yg bis diobservasi
1. Harga obligasi berubah scr berkebalikan dg hasil obligasi (tk
bunga)
2. Unt perubahan tertentu dlm hasil, obligasi jth tempo lbh lama
menyebabkan (post) perubahan harga lbh besar, sehingga
volatilitas harga obligasi terkait langsung dg waktu jt tempo
(maturity)
3. Volatilitas harga meningkat pd tingkat yg semakin menurun sesuai
(as term to) peningkatan waktu jatuh tempo
4. Perubahan harga akibat dari peningkatan atau penurunan absolut yg
sama dlm hasil adl tidak simetris
5. Obligasi kupon lbh tinggi menunjukkan semakin kecil persentasi
fluktuasiharga unt perubahan tertentu dlm hasil, sehingga
volatilitas harga obligasi terkait scr berkebalikan dg kupon
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
What Determines the
Price Volatility for Bonds
• Efek waktu jatuh tempo (maturity effect)
• Efek kupon
• Efek level tk hasil (yield level)
• Beberapa Strategi perdagangan
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
The Duration Measure
∑t 1 (1 i ) t
∑ t PV (C t )
D n t 1
Ct
∑
price
t 1 (1 i ) t
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Characteristics of Duration
• Durasi dr satu obligasi dg kupon adl selalu lbh kecil dp waktu jth
temponya (term to maturity) sebab durasi memberikan bobot pd
pembayaran interim ini
– Durasi obligasi kupon-nol sama dg wktu jth temponya
• Ada hubngan terbalik antara durasi dan kupon
• Ada hubungan positif antara waktu jth tempo dan durasi, tetapi
durasi meningkat pd tingkat penurunan waktu jatuh tempo
• Ada hubungan terbalik antara YTM dan durasi
• Dana cadangan (Sinking funds) dan provisi penarikan dpt memiliki
efek dramatik pd durasi obligasi
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Modified Duration and Bond Price
Volatility
Ukuran durasi sesuaian dpt digunakan menghitung
(approximate) volatilitas harga obligasi
Macaulay duration
modified duration
YTM
1
m
Notasi:
m = jumlah pembayaran dlm thn (number of payments a year)
YTM = YTM nominal
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Duration and Bond Price Volatility
• Perubahan haga obligasi akan berubah scr proporsional dg
durasi modifikasian unt perubahan kecil dlm hasil
• Estimasi dr persentasi perubahan dlm harga obligasi sama dg
perubahan dlm hasil dikalikan durasi modifikasian dengan
P
100 D mod i
P
Notasi:
P = perubahan dlm harga untk obligasi
P = harga awal peiode obligasi
Dmod = durasi modifikasian obligasi
i = perubahan penghasilan dlm titik basis dibagi 100
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Trading Strategies Using Duration
Source: L. Fisher and R. L. Weil, "Coping with the Risk of Interest Rate Fluctuations:
Returns to Bondholders from Naïve and Optimal Strategies," Journal of Business 44,
(October 1971): 418. Copyright 1971, University of Chicago Press.
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Bond Convexity
• Persama 19.6 adl perhitungan
(approximation) linear dari perubahan harga
obligasi unt perubahan kecil dlm hasil pasar
P
100 D mod YTM
P
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Bond Convexity
• Durasi modifikasian adl perhitungan linear
dr perubahan harga obligasi unt perubahan
kecil dlm tk hasil pasar
P
100 D mod i
P
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Modified Duration
dP
Dmod di
P
Unt perubahan kecil akan memberikan suatu
estimasi bagus, tetapi perubahan ini mrp
estimasi linear pd garis tange
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Determinants of Convexity
Convexity adl ukuran tentang curvature dan
mrp turunan kedua dr harga dg disesuaikan
(resect) dg tk hasil (d2P/di2) dibagi dg harga
Convexity adl persentasi perubahan dlm dP/di
unt perubahan tertentu dlm tk hasil
2
d P
2
Convexity di
P
47
MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Determinants of Convexity
• Hubungan terbalik antara kupon dan convexity
• Hubungan langsung antara wkt jatuh tempo dan
konveksitas (maturity and convexity)
• Hubungan terbalik antara tk hasil dan konveksitas
(yield and convexity)
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Modified Duration-Convexity Effects
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Convexity of Callable Bonds
• Obligasi Noncallable memiliki konveksitas
positif
• Obligasi Callable bond memiliki
konveksitas negatif (negative convexity)
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Limitations of Macaulay and
Modified Duration
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Effective Duration
• Duasi efektif lbh besar dp wkt jatuh tempo
(maturity)
• Durasi efektif negatif
• Durasi empiris
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Empirical Duration
• Perubahan persen aktual unt suatu aset dlm
menanggapi perubahan dlm tk hasil slm
peiode waktu tertentu
56
MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Yield Spreads With Embedded
Options
57
MM UNS Chpt 19, Reilly&Brown Bandi, 2009
The Internet
Investments Online
www.bondcalc.com
www.bondtrac.com
www.moneyline.com
www.bondsonline.com
58
MM UNS Chpt 19, Reilly&Brown Bandi, 2009
End of Chapter 18
– The Analysis and Valuation of Bonds
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009
Future topics
Chapter 19
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MM UNS Chpt 19, Reilly&Brown Bandi, 2009