Obligasi

Prepared by Dr. Herman Ruslim

Email: herman88@cbn.net.id
 Obligasi
 Fixed Income Securities have a specified payment
schedule, date and amount of interest, principal
payments known in advance;
 Bonds membayar bunga secara berkala dan pada
saat jatuh tempo bayar coupon + face value
Coupon interest rate, Borrowers (firm) typically
make a periodic interest payment to the
bondholders
 Bond Types
 Bond on Issuers
- Federal Government Securities – T Bonds
- Federal Agency Securities
- Municipal Securities: General Obligation bonds, Revenue Bonds
- Corporate Bonds
 Based on Coupon Payments
- Zero Coupon Bonds;
- Fixed Rate Coupon Bonds
- Floating Coupon Bonds
- Reverse Floating
- Inflation Index Bonds
 Bonds on Collateral
 Secured Bonds
- Guaranteed Bonds
- Mortgage Bonds
- Collateral Trust Bonds
- Equipment Trust bonds
- ORI
 Unsecured Bonds
- Debenture Bonds
- Subordinate Bonds
 Interest Rate
 Coupon Rate = SBI + 3%
 Libor + 2%
 Jibor
 Kalau tingkat suku bunga lagi turun maka issuer redempt untuk kemudian dia
melakukan penerbitan yang baru
 Provision of Bonds
- Call Provision
- Conversion Provision
- Put Provision
- Sinking Funds
 RUPO = Wali Amanat (Rapat Umum Pemegang Obligasi)
 Rating Companies
- Moody’s Investor Services
- Standard & Poors
Di Indonesia: Pefindo dan Kasnic, memberikan peringkat rating untuk obligasi,
ratingnya tinggi harga mahal, ratingnya rendah harganya murah.
 Rating Bonds
AAA Top Quality
AA
A
BBB
BB
B
CCC Low Quality
CC No interest bearing
C Paid Currently in default
 Protection Against Default
 Sinking Fund
 Subordination of Future Debt
 Dividend Restrictions
 Collateral
 International Bonds
Represent a rapidly Borrowing Category:
- Reflect willingness of Borrowers within the US
= Yankee Bonds
- Samurai Bonds: Bonds denominated in yen
issued in Japan by non-Japanese
 Bond Price Determinants
 Macro Economic Condition
 Issuer’s Industry

 Issuer’s Performance/ Creditworthiness

 Investment Structure:

- Rating - Covenants
- Pricing

 Market Liquidity
 Bond Valuation
 Book Value
 Liquidation Value
 Market Value
 Intrinsic Value

C FV
n
BP = ∑ t +
t=1 (1+ Rf) (1+Rf)n
 Value
 Rule 1. Kalau coupon obligasi sama dengan yield maka
harga obligasi akan sama dengan face value  par
value bonds
 Rule 2. Kalau coupon obligasi yieldnya lebih tinggi dari
pada face value  Premium bonds
 Rule 3. Kalau coupon obligasi lebih kecil yieldnya lebih
besar, harga < FV  Discount Bonds
 Harga Obligasi berbanding tebalik dengan tingkat
bunga, semakin rendah tingkat bunga maka semakin
tinggi harga obligasinya
 Value
 Semakin panjangnya umur obligasi maka ia
semakin sensitif (peka) semakin beresiko
 Semakin kecil couponnya maka obligasi semakin
peka harganya terhadap perubahan tingkat suku
bunga
 Semakin kecil yieldnya obligasi semakin peka
terhadap pergerakan tingkat bunga
 Tingkat Risiko Obligasi

A B C
C 12% 12% 12%
Y 10% 11% 12%

Mana Yang Paling Tidak Beresiko

 Yield to Maturity
 A bond computed
FV-BP YTM will only if the
C + bond is held to
maturity
n  The bond issuer does
YTM = not default in the
FV +BP timing or amount of
schedule payments
 All the cashflows are
immediately
2 reinvested to care the
bond’s YTM
 Durasi
 Durasi dipengaruhi oleh Yield dan T (maturity)
 Durasi Zero Coupon Bonds = T (maturity)
 Durasi Coupon Bonds < T (maturity)

T (Time) ==> Peka

C (coupon) ==> Peka
Y (Yield ==> Peka
 Menghitung Durasi

T C PV (10% , n=1) Bobot (W) Durasi

Bond A
1 100 0.9090909 90.909 0.0909091 0.09091
 FV = $ 1000

 C = 10% 2 1100 0.82645 909.091 0.90909 1.81818

 Y = 10% 1,000 1.00000 1.90909

 T = 2 th

Bond B T C PV (10% , n=1) Bobot (W) Durasi

 FV = 1.000 1 0 0.909091 0 0 0
 C=0
2 1000 0.82645 826.446 1.000 2.000
 Y = 10%
826.45 1.000 2.000
 T=2
 Durasi
C

Y D= D Peka

T D Peka

C D Peka

Y D Peka