Instrumen Pendapatan Tetap

Modul 5 EKSI4203

Tujuan Pembelajaran

Modul ini membahas instrumen pendapatan tetap yaitu obligasi. Setelah mempelajari modul ini, mahasiswa diharapkan mampu menghitung nilai obligasi dan hasil obligasi. Lebih khusus, mahasiswa diharapkan mampu:

• menjelaskan pengertian instrumen pendapatan tetap;
• menjelaskan macam-macam obligasi,
• menjelaskan pengertian kode obligasi,
• menjelaskan pengertian nilai instrinsik obligasi,
• menghitung nilai instrinsik obligasi membayar kupon,
• menghitung nilai instrinsik obligasi tidak membayar kupon
• menghitung hasil sekarang obligasi,
• menghitung hasil sampai jatuh tempo,
• menghitung hasil sampai ditebus,
• menghitung nilai pasar obligasi.

KEGIATAN BELAJAR 1: PENGERTIAN OBLIGASI

A. MACAM-MACAM OBLIGASI

–> Obligasi: hutang jangka panjang yang akan dibayar saat tempo + bunga tetap.

–> When an investor purchases a bond, that person is, for all intents and purposes, making a loan to the bond issuer.

–> Bonds issues are used to raise funds and can be issued by corporations, governments, or even subagencies of governments (including local municipalities)

1. Obligasi Pemerintah: SUN, SBSN, ORI, SBSN Ritel
2. Obligasi Municipal: dikeluarkan oleh Pemda provinsi, kota, kabupaten, bandara, atau universitas negeri.
3. Obligasi Perusahaan: dikeluarkan oleh perusahaan swasta sebagai sekuritas senior
   • dengan kupon (bunga)atau tidak
   • obligasi termin (term bond) dan obligasi seri (serial bond)

More about bond

• As with any type of loan, the borrowing party is expected to offer something to the lender in exchange for their time and trouble.
• In this case, the bond-issuing entity will agree not only to repay the original face value of the loan on a specific date (the maturity of the bond) but also to pay the lender interest—or, in bond terminology, coupon payments.
• Coupon payments are designed to make a bond purchase more acceptable for investors by helping compensate them for the time value of money.
• Because investors are parting with money that they have right now in order to make the initial bond purchase but will not see repayment of principal until the maturity date of the bond, they will experience the negative impact of time value over the bond term.
• When a bond issuer offers periodic coupon payments, this helps offset the negative effect of the delayed receipt of the principal amount for the investor.
• Also, because coupon payments will be coming to the investor throughout the term of the bond, essentially in installment payments (an annuity), the time value of money plays a critical role in bond transactions and in calculating bond valuation.
• One way to look at bond investments is to consider the fact that any investor who purchases a bond is essentially buying a future cash flow stream that the bond issuer (or borrower) promises to make as per agreement.
• Because bonds provide a set amount of cash inflow to their owners, they are often called fixed-income securities.
• Thus, future cash flows from the bond are clearly stated per agreement and fixed when the bond sale is completed.

B. RISIKO OBLIGASI

• Kemungkinan default/obligasi tidak terbayar
• Berdasarkan peringkat oleh lembaga pemeringkat: Moody’s Investor Service, Standard and Poor, PT. Fitch Ratings Indonesia, PT ICRA.
• Peringkat BERBEDA antar lembaga:
  • S&P: AA, A, BBB, BB, B, CCC, CC, C, D.
  • Moody: Aaa, Aa, A, Bbb, Bb, B, Ccc, Cc, C, D
• Secara umum dibagi dua:
  • investment grade securities: mampu membayar prinsipal dan bunga dan
  • non-investment grade securities: obligasi sampah (junk bond), risiko defaultnya tinggi.

KEGIATAN BELAJAR 2: PENILAIAN OBLIGASI

A. NILAI INSTRINSIK OBLIGASI

–> Nilai instrinsik: perkiraan nilai sebenarnya dari obligasi.

1. Obligasi Membayar Kupon

   • Kupon dibayar secara periodik: setahun sekali, setahun dua kali, setahun 4 kali.

   \[NO^* = \frac {K_1}{(1+i)^1} + \frac {K_2}{(1+i)^2} + \frac {K_3}{(1+i)^3}+...+ \frac {K_n}{(1+i)^n}+\frac {NJT_n}{(1+i)^n}\] Notasi:

   • NO^* = nilai instrinsik obligasi,
   • i = suku bunga diskonto
   • K_t = nilai kupon ke-t, t=1,2…n, yaitu tingkat suku bunga kupon dikalikandengan nilai par obligasi
   • NJT_n = nilai jatuh tempo obligasi

2. Obligasi Tidak Membayar Kupon

   • Obligasi diskon murni (pure diskon bond)
   • Dijual dengan harga diskon

   \[NO^* =\frac {NJT_n}{(1+i)^n}\]

B. HASIL OBLIGASI

1. Hasil Sekarang (current yield)

\[Hasil\ Sekarang =\frac {Kupon}{Harga\ Pasar\ Obligasi}\]

2. Hasil Sampai Maturiti (yield to maturity)

   • YTM membayar kupon

   \[NO = \frac {K_1}{(1+YTM)^1} + \frac {K_2}{(1+YTM)^2} + \frac {K_3}{(1+YTM)^3}+...+ \frac {K_n}{(1+YTM)^n}+\frac {NJT_n}{(1+YTM)^n}\]

   • YTM tidak membayar kupon

   \[NO = \frac {NJT_n}{(1+YTM)^n}\]

3. Hasil Sampai ditarik (yield to call)

\[NO = \frac {K_1}{(1+YTC)^1} + \frac {K_2}{(1+YTC)^2} + \frac {K_3}{(1+YTC)^3}+...+ \frac {K_n}{(1+YTC)^n}+\frac {NJT_n}{(1+YTC)^n}\]