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
Moodys 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
AA
A
BBB
BB
B
CCC
CC
C

Top Quality

Low Quality
No interest bearing
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 nonJapanese

Bond Price Determinants

Macro Economic Condition
Issuers Industry
Issuers Performance/
Creditworthiness
Investment Structure:
- Rating - Covenants
- Pricing
Market Liquidity

Bond Valuation

Book Value
Liquidation Value
Market Value
Intrinsic Value

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

Yield to Maturity

A bond computed
YTM will only if
the bond is held
to maturity
The bond issuer
does not default
in the timing or
amount of
schedule
payments
All the cashflows
are immediately
reinvested to care
the bonds YTM

Durasi

Durasi dipengaruhi oleh Yield dan T (maturity)

Durasi Zero Coupon Bonds = T (maturity)
Durasi Coupon Bonds < T (maturity)

Menghitung Durasi
Bond A
FV = $ 1000
C = 10%
Y = 10%
T = 2 th
Bond B
FV = 1.000
C = 0
Y = 10%
T = 2

Durasi