Lecture Presentation Software to accompany
Investment Analysis and Portfolio Management Seventh Edition by
Frank K. Reilly & Keith C. Brown
Chapter 17
Part 5: ANALYSIS OF BOND 17 Fundamental Obligasi
18 Anlisis Obligasi Konsep Nilai, Harga Obligasi,
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Chapter 17: BOND FUNDAMENTAL
Investasi Saham
Investasi Obligasi
Fitur Dasar
17:
Fundamental Obligasi
Tipe Obligasi
Nilai & Hasil Investasi Derivatif
Pasar
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Chapter 17 Bond Fundamentals Questions to be answered: 1. What are some of the basic features of bonds that affect their risk, return, and value? 2. What is the current country structure of the world bond market and how has the makeup of the global bond market changed in recent years? 3. What are the major components of the world bond market and the international bond market? 4. What are bond ratings and what is their purpose? 5. What is the difference between investment-grade bonds and high-yield (junk) bonds?
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6. What are the characteristics of bonds in the major bond categories such as governments (including TIPS), agencies, municipalities, and corporates? 7. How does the makeup of the bond market in major countries such as the United States, Japan, the United Kingdom, and Germany differ? 8. What are the important characteristics of corporate bond issues developed in the United States during the past decade such as mortgage-backed securities, other asset-backed securities, zero-coupon and deep discount bonds, high-yield bonds, and structured notes? 9. Within each of the major bond categories, what are the differences between major countries such as the United States, Japan, the United Kingdom, and Germany 10.How do you read the quotes available for the alternative bond categories (e.g., governments, municipalities, corporates)? 5 Bandi, 2009
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Basic Features of a Bond • Bayar suatu jml bunga tetap scr periodik kpd pemegang obligasi • Bayar lagi jml pokok tetap obligasi pd tanggal jatuh tempo
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Basic Features of a Bond • Pasar obligasi dibagi mnrt kematangan/jth tempo (maturity) – Pasar uang – surat berharga jk pendek (short-term issues) yg jatuh tempo dlm satu thn – Wesel (Notes) – surat berharga menengah yg jth tempo antara satu dan sepuluh thn – Obligasi – kewajiban jk panjang yg jth temponya lbh dari sepuluh thn
• Umur sisa (jatuh tempo) mempengaruhi volatilitas harga obligasi 7 Bandi, 2009
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Bond Characteristics • Fitur intrinsik – Kupon-tgkt penghasilan (- yield/ pendapatan bunga) – Jth tempo-termin atau serial (obligasi pemerintahan daerah/municipalities) – Nilai pokok – berbeda dg nilai pasar – Tipe pemilikan – atas unjuk atau atas nama (bearer or registered) • Tipe penerbitan (Issues) – Obligasi terjamin/ (Secured (senior) bonds) – Obligasi tanpa jaminan (debentures) – Obligasi subordinat (Subordinated (junior) debentures) 8 Bandi, 2009
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Bond Characteristics • Provisi persetujuan (Indenture provisions) • Fitur yg mempengaruhi waktu jatuh tempo obligasi (bond’s maturity) – – – – –
Callable (call premium) Noncallable Deferred call Nonrefunding provision Sinking fund 9 Bandi, 2009
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Rates of Return on Bonds HPR i, t =
Notasi:
Pi, t +1 + Int i, t Pi, t
HPRi,t = periode pemilikan obligasi i slm periode t Pi,t+1 = harga pasar obligasi i pada akhir periode t Pi,t = harga pasar obligasi i pada awal periode t Inti,t = pembayaran bunga obligasi i selama periode t
Hasil slm periode pemilikan (The holding period yield/ (HPY) adl: HPY = HPR - 1 Bandi, 2009
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The Global Bond-Market Structure • Penerbit yang berpartisipasi – 1. pemerintahan Federal – 2. Instansi pemerintahan federal – 3. Sub divisi politis negara bagian dan lokal (municipalities) – 4. Perusahaan – 5. Penerbitan internasional • Obligasi asing • Obligasi Eropa 11 Bandi, 2009
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Participating Investors • Investor Individual • Investor Institusional – – – – –
Perusahaan Asuransi jiwa Bank komersial Pershn asuransi properti dan kewajiban Dana pensiun Reksa Dana (Mutual Funds) 12 Bandi, 2009
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Bond Ratings • Persh Jasa pemeringkat 1. Duff dan Phelps 2. Fitch Investors Service 3. Moody’s 4. Standard & Poor’s
• Obligasi non-peringkat (Non-rated)
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Alternative Bond Issues Obligasi pemerintah domestik – US - T-bills, wesel, obligasi. TIPS – Obligasi jk menengh, Obl jk panjang, obl jk panjang super Jepang – Obligasi bund Jerman, kontrak dg Kassenverien • liquid market provided by Bundesbank
– UK - short gilts, medium gilts, long gilts
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Government Agency Issues US – Terbitan tdk langsung, tetapi dikembalikan dg pembayaran dan jaminan penuh oleh pemerintahU.S. – GNMA pass-through certificates Japan – Organisasi asosiasi pemerintah Germany – Federal Railway and Federal Post Office
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Municipal Bonds • Obligasi umum (General obligation/ (GO) • Obligasi pendapatan • Pembayaran bunga tdk kena pajak (exempt from federal income tax) • Konversikan penghasilan bebas-pajak dr penjualan obligasi municipal unt menutup nilai pari dg penghasilan kena pajak ekuivalen (bond selling close to par to an equivalent taxable yield (ETY) 16 Bandi, 2009
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Equivalent Taxable Yield i ETY = (1 - T )
Notasi: i = tingkat kupon kewajiban pemerintah daerah (municipal obligations) T = tingkat pajak marginal investor
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Municipal Bond Guarantees • Obligasi diasuransikan thd risiko kebangkrutan – Asuransi tetap selama umur obligasi • Empat pershn asuransi obligasi swasta – Municipal Bond Investors Assurance (MBIA) – American Municipal Bond Assurance Corporation (AMBAC) – Financial Security Assurance – Financial Guaranty Insurance Company (FGIC) 18 Bandi, 2009
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Municipal Bond Guarantees • Obligasi terjamin jk mencapai peringkat AAA (Aaa) • Obligasi dg garansi swasta lebih aktif diperdagangkan di pasar sekunder, dan dg hasil yang disyaratkan lebih rendah
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Corporate Bonds • • • • • •
Mortgage bonds Collateral trust bonds Equipment trust certificates Collateralized mortgage obligations (CMOs) Other asset-backed securities (ABS) Variable rate notes 20 Bandi, 2009
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Corporate Bonds • Obligasi Zero-coupon dan deep-discount – Obligasi Minikupon – Obligasi Original-issue discount (OID) – Taxes due on the implied interest
• Obligasi tk penghasilan tinggi (High-yield bonds—Obligasi spekulatif dan obligasi sampah) – Gradasi noninvestasi dg peringkat di bawah BBB atau Baa
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Japanese Corporate Bond Market • Obligasi yang diterbitkan oleh pershn industri atau utilitas • Persyaratan penerbitan minimum ditentukan oleh menteri keuangan • Obligasi yang diterbitkan oleh bank unt mendanai utang pershn – – – –
Bank komersial Bank kredit jk panjang Bank reksa dana (Mutual loan) dan tabungan Institusi keuangan khusus 22 Bandi, 2009
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German Corporate Bond Market • • • •
Obligasi Bank Obligasi Jaminan (mortgage) German Obligasi komersial German Persetujuan utang swasta (Private Loan-(Schuldscheindarlehen)
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U.K. Corporate Bond Markets • Debentures • Utang tanpa jaminan (Unsecured loans) • Obligasi konvertibel
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International Bonds • Obligasi asing dijual di salah satu negara dan mata uang peminjam (penerbit) dari negara yg berbeda – Obligasi Yankee adl obligasi dg dollar U.S. dijual di U.S. tetapi diterbitkan oleh perusahaan asing • Obligasi Eropa (Eurobonds) dijamin oleh sindikat obligasi internasional dan dijual di beberapa pasar di beberapa negara
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International Bonds • United States – Obligasi Yankee tercatat di SEC – Pasar obligasi Eropa dipengaruhi oleh perubahan dlm nilai dollar U.S.
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International Bonds • Japan – Samuri bonds – dengan Yen diterbitkan oleh pershn Jepang di Jepang – Obligasi Eropayen (Euroyen bonds) – dengan yen, dijual di luar Jepang
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International Bonds • Germany – DM-denominated bonds diterbitkan pershn asing, termasuk Eurobonds
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International Bonds • United Kingdom – Bulldog bonds adl obligasi dg pound sterlingditerbitkan oleh pershn non Inggris dan dijual di London – Eurosterling bonds dijual di pasar di luar London oleh sindikat internasional
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Obtaining Information on Bonds • Kurang menekankan pd analisis fundamental • Umumnya investor obligasi percaya pd agen pemeringkat obligasi unt analisis kredit • Kondisi pasar dan ekonomi • Fitur nilai intrinsik obligasi • Ketersediaan publikasi populer: – Wall Street Journal, Barron’s, Business Week, Fortune, Forbes, Federal Reserve Bulletin, Survey of Current Business 30 Bandi, 2009
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Bond Publications • • • • • • • • • • •
Treasury Bulletin Standard & Poor’s Bond Guide Moody’s Bond Record Moody’s Bond Survey Fitch Rating Register Fitch Corporate Credit Analysis Fitch Municipal Credit Analysis Investment Dealers Digest Credit Markets Duff & Phelps Credit Decisions The Bond Player 31 Bandi, 2009
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Sources of Bond Quotes • Catatan Bank dan Estimasi (Quotation) • Daftar biru penawaran obligasi pemerintahan kota sekarang (Blue List of Current Municipal Offerings) • Wall Street Journal • Barron’s
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Interpreting Bond Quotes • Pengestimasian (Quoted) atas dasar tk penghasilan dan harga • Estimasi harga (price quotes) adl persentasi dr nilai pari – 98 1/2 adl bukan $98.50 tetapi 98.5% dr nilai pari – Obligasi municipal $5,000 diestimasi (quoted) pd 98 1/2 akan menjadi sebesar $4,925 33 Bandi, 2009
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Corporate Bond Quotes Bonds ATT 81/8
Cur Yld 22 7.7
Vol Close 52 1053/8
Net Chg + 1/4
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Corporate Bond Quotes Cur Bonds Yld ATT 81/8 22 7.7
Vol Close 52 1053/8
Net Chg + 1/4
Issued by AT&T
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Corporate Bond Quotes Cur Bonds Yld ATT 81/8 22 7.7
Vol Close 52 1053/8
Net Chg + 1/4
Diterbitkan olh AT&T
8.125% tk kupon
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Corporate Bond Quotes Cur Bonds Yld ATT 81/8 22 7.7
Vol Close 52 1053/8
Net Chg + 1/4
Terbit olh AT&T 8.125% tk kupon Jth tempo th 2022
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Corporate Bond Quotes Cur Bonds Yld ATT 81/8 22 7.7
Vol Close 52 1053/8
Net Chg + 1/4
Terbit olh AT&T 8.125% tk kupon Jth tempo th 2022 Current yield = coupon/market price = 7.7% 38 Bandi, 2009
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Corporate Bond Quotes Cur Bonds Yld ATT 81/8 22 7.7
Vol Close 52 1053/8
Net Chg + 1/4
Terbit oleh AT&T 52 dr obligasinya dipedagangkan 8.125% tk kupon hari itu Jth tempo th 2022 Current yield = coupon/market price = 7.7% 39 Bandi, 2009
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Corporate Bond Quotes Cur Bonds Yld ATT 81/8 22 7.7
Vol Close 52 1053/8
Net Chg + 1/4
Terbit oleh AT&T 52 dr oblg ini diperdagangkan pd 8.125% tk kupon hari itu Jth tempo th 2022 Current yield = coupon/market price = 7.7% Harga penutupan 105 3/8% dr nilai pari 40 Bandi, 2009
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Corporate Bond Quotes Cur Bonds Yld ATT 81/8 22 7.7 Issued by AT&T
Vol Close 52 1053/8
Net Chg + 1/4
52 of these bonds traded that
day 8.125% coupon rate, matures in 2022
• Current yield = coupon/market price = 7.7% • hrg penutupan adl 105 3/8% dr nilai pari yang sebesar 1/4 di atas hari sebelumnya
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Corporate Bond Quotes • Notasi – “cv” = convertible – “zr” = zero coupon – “dc” = deep discount (pd waktu terbit)
• Bunga akrualan hrs ditambah dg estimasian harga (price quoted)
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Treasury and Agency Bond Quotes • Notasi – “n” = treasury note – “p” = treasury note yg aliansi nonresiden dibebaskan (exempt) dr pajak bunga
• Estimasian menjunjukkan (Quotes resemble) sekuritas OTC dg harga tawarmenawar (bid and ask) 43 Bandi, 2009
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Treasury and Agency Bond Quotes GOVT. BONDS & NOTES
Maturity Rate Mo/Yr Bid Asked
Chg.
Ask Yld.
55/8 Dec 99n 100:08 100:10
….
5.04
Harga adl dlm hari ke 32 (in 32nds) biasanya dg selisih sangat kecil (very small spread) antara tawar dan menawar (bid and ask) 44 Bandi, 2009
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Treasury and Agency Bond Quotes • U.S. Treasury Strips – “ci” adl porsi tk bunga kupon (coupon interest) yang ditawar dr obligasi (stripped from the note) – “np” adl pembayaran pokok unt obligasi trisuri (treasury note)
• Treasury Bills – Instrumen diskonto asli – tdk ada kupon, pemerintah/penerbit bayar nilai pari saat jth tempo – Tawar-menawar (bid-ask) adl bukan harga tetapi tk penghasilan (yield) 45 Bandi, 2009
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Municipal Bond Quotes 200 INDIANA ST OFFICE BLDG COMMN MBIA 0.000 07/01/05 5.60 BEARSTER • Estimasi (Quote) dr The Blue List of Current Municipal Offerings • $200,000 of Indiana State Office Building bonds • Guaranteed by MBIA • Obligasi ini adl obligasi kupon nol jth tempo (due) July 1, 2005 • Tk hasil s/d jth tempo (yield to maturity) adl tetap sbsr 5.6% • Unt menentukan harga, anda hitung nilai diskonto • Dealer yg menawarkan obligasi adl Bear Sterns, terdaftar di sisi belakang publikasi dg angka telepon dealer 46 Bandi, 2009
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Municipal Bond Quotes • Notasi ETM = escrow till maturity M/S/F = dana penyisihan (sinking fund) mandatori (C97) = obligasi ini menjadi callable pd th 1997 Ketika tk penghasilan pasar (market yield) sama dg tingkat kupon, harganya adl 100 dan penghasilan dirujuk sbg nilai dolar obligasi (dollar bonds) “+” di kolom kiri menunjukkan pos baru “#” sebelum yield to maturity atau harga menunjukkan perubahan – – – –
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The Internet Investments Online www.bonds-online.com www.prusec.com/daily.htm www.fitchinv.com www.moodys.com www.standardandpoors.com/ratings www.bradynet.com www.bondmarkets.com
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End of Chapter 17 –Bond Fundamentals
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Future topics Chapter 18 • The Analysis and Valuation of Bonds
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