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Kajian futures obligasi Indonesia.. Mohon doa restunya agar lancar sesuai rencana dan berguna bagi kita semua. Amiinn
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www.jfx.co.id@infoJFX
www.jfx.co.id@infoJFX
KAJIAN PENGEMBANGAN FUTURES OBLIGASI PEMERINTAH
Prof. Dr. Adler Haymans Manurung
Ketua Tim Kajian Futures Bond & Advisor BBJ
Dean of Sampoerna School of Business
www.jfx.co.id@infoJFX
Pengantar
• Institusi-institusi pilar ekonomi:– Banking– Insurance– Capital Market– Futures Market
• Futures Exchange• OTC
www.jfx.co.id@infoJFX
Kelembagaan Perdagangan Berjangka
Kementerian Perdagangan
BAPPEBTI
Bank IndonesiaOJK
Kejaksaan AgungKepolisian RI
Badan PengawasLuar Negeri
JFX Lembaga Kliring Berjangka
Pedagang Berjangka
Pialang BerjangkaBukan AK
Pialang BerjangkaAnggota Kliring
Pialang BerjangkaAK Tertentu
Pengelola SentraDana Berjangka
BankPenitipan
Sentra Dana Berjangka
PenasihatBerjangka
NASABAH
Bursa BerjangkaLuar Negeri
Koordinasi Kesepakatan
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Bond Market Development Framework
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Dasar Hukum
• UU No. 32 Tahun 1997 yang diubah menjadi UU No. 10 Tahun 2011 tentang Perdagangan Berjangka Komoditi
• PP No. 9 Tahun 1999 tentang Penyelenggaraan Perdagangan Berjangka Komoditi
• UU No. 24 Tahun 2002 tentang Surat Utang Negara• UU No. 17 Tahun 2003 tentang Keuangan Negara• UU No. 19 Tahun 2008 tentang Surat Berharga
Syariah Negara• UU No. 8 Tahun 1995 tentang Pasar Modal
www.jfx.co.id@infoJFX
Maksud dan Tujuan
• Penelahaan secara konkrit pengembangan Futures Obligasi Pemerintah RI
• Diversifikasi produk futures di Indonesia sekaligus membuka peluang pengelolaan risiko dari industri keuangan
• Meyakinkan Kementerian Keuangan melalui Direktorat Jenderal Pengelolaan Utang (DJPU) atas kebutuhan pengembangan Futures Obligasi Pemerintah RI di JFX
• Peningkatan performa industri futures di Indonesia
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Metodologi
• Literature Studies– Books– Journals and Articles
• Pengumpulan Data– Primer– Sekunder– Focus Group Discussion [FGD]
• Analysis– Internal– External– SWOT
• Result and Recommendations
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Pasar Obligasi di Indonesia
• Dikelola oleh DJPU Kemenkeu• Surat Utang Negara (SUN)
– Rupiah– Valas
• Surat Berharga Syariah Negara (SBSN)– Rupiah – Valas (Sukuk)
• Obligasi Negara Ritel– ORI– Sukuk Ritel
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Jenis Obligasi Pemerintah di Indonesia
1. Tradeable• Government Debt Securities
– Rupiah• Zero Coupon (SPN)• Fixed Coupon (FR)• Variable Coupon (VR)• US Dollar Denominated (RI)• Japan Yen Denominated (RIJPY)
– Valas• US Dollar Denominated (RI)• Japan Yen Denominated (RIJPY)
• Government Islamic Securities– Rupiah
• Zero Coupon (SPN-S)• Fixed Coupon (IFR/PBS/SR)
– Valas• US Dollar Denominated (SNI)
2. Non Tradeable
• Government Debt Securities– Rupiah
• Fixed Coupon (SU/SRBI)
• Government Islamic Securities– Rupiah
• Fixed Coupon (SDHI)
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Profil Utang Indonesia (SBN dan Pinjaman Luar Negeri)
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Performa Pasar Primer
• Grade BBB- dari 3 lembaga rating internasional (investment grade)
• Total Outstanding Rp1.638, 72 triliun
– Tradeable: Rp 1.235,11 triliun– Non-tradeable: Rp267,1 triliun
• Rata-rata oversubscribe 41,4%• Trend Financing positif.
– Rata-rata kontribusi foreign 35,5% (Last: 46,8%)
– Rata-rata tertimbang yield 9,72% > yield Nov 2013 7,87%
• Prospek positif SBN mencapai target 97% pada 2055
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Perdagangan di Pasar Sekunder Domestik 2000-2011 (Yearly)
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Perdagangan di Pasar Sekunder Domestik 2012 – 2013 (Monthly)
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Komposisi Kepemilikan Tradeable Government Securities
IDR Trillion
Banks 254.36 43.72% 217.27 33.88% 265.03 36.63% 299.66 36.73% 314.34 35.38% 333.74 36.00% 349.66 37.08% 332.24 33.74%Govt. Institutions 22.50 3.87% 17.42 2.72% 7.84 1.08% 3.07 37.00% 29.13 3.28% 38.20 4.12% 25.17 2.67% 42.05 4.27%Non-Banks 304.89 52.41% 406.53 63.40% 450.75 62.29% 517.53 63.09% 545.05 61.34% 555.13 59.88% 568.04 60.25% 610.32 61.99% Mutual Funds 45.22 7.77% 51.16 7.98% 47.22 6.53% 43.19 5.27% 39.61 4.46% 40.06 4.32% 40.23 4.27% 41.05 4.17% Insurance Company 72.58 12.48% 79.30 12.37% 93.09 12.86% 83.42 10.17% 126.38 14.22% 124.69 13.45% 127.82 13.56% 128.44 13.04% Foreign Holders 108.00 18.56% 195.76 30.53% 222.86 30.80% 270.52 32.98% 282.96 31.85% 284.01 30.64% 294.14 31.20% 314.98 31.99% Pension Fund 37.50 6.45% 36.75 5.73% 34.39 4.75% 56.46 6.88% 29.11 3.28% 37.65 4.06% 38.59 4.09% 38.57 3.92% Securities Company 0.46 0.08% 0.13 0.02% 0.14 0.02% 0.30 0.04% 0.99 0.11% 1.10 0.12% 1.05 0.11% 0.86 0.09% Individual 25.02 2.82% 23.23 2.51% 21.41 2.27% 41.42 4.21% Others 41.12 7.07% 43.43 6.77% 53.05 7.33% 63.64 7.76% 40.97 4.61% 44.39 4.79% 44.81 4.75% 45.00 4.57%Total 581.75 100% 641.21 100% 723.61 100% 820.27 100% 888.51 100% 927.07 100% 942.83 100% 984.62 100%
Aug-13 Sep-13 Oct-13Dec-09 Dec-10 Dec-11 Dec-12 Jun-13
www.jfx.co.id@infoJFX
Futures
• A futures contract is a firm legal agreement between a buyer (seller) and an established exchange or its clearinghouse in which the buyer (seller) agrees to take (make) delivery of something at a specified price at the end of a designated period of time. [Fabozzi]
• The use of derivatives has softened the impact of the economic downturn at the beginning of the 21th century. [Greenspan]
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Futures Obligasi Pemerintah
• Obligasi Jangka Pendek– Interest Rate Futures– Yield of Bonds
• Obligasi Jangka Panjang– Bond Futures– Price of Bonds
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Futures Trading Objectives
• Hedging• Enhance Return• To Take Decision ----- Government
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Type Traders
• Hedgers– Reducing risk that they already face
• Speculators– Take position to get profit
• Arbitrageurs– Locking in a riskless profit by entering simultaneously
into transaction in two or more markets
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Hubungan antara Yield dan Harga
Uses of Interest Rate:• Hedge against the
adverse of interset rate movements
• Price and yield will always be in inversely correlated
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Faktor-faktor yang Mempengaruhi Interest Rate
• Monetary policy• Economic growth• Inflation• Global liquidity• Uncertainty• Political short-term gain• Deferred consumption• Inflationary expectation• Alternative investment• Risk of investment• Liquidity preference• Taxes
www.jfx.co.id@infoJFX
Types of Interest Rate Futures
• Three Month Eurodollars• One Month Libor• Euro Yen• 13 Week Treasury Bills• One Month Fed Funds• 91-Day Cetes• 28-Day TIIE (Mexican interest rate)• 2-Year Government of Canada Bond Futures• Australian 90-Day Futures• Euro Schatz 2-Year Futures• Gilt Futures
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Benefit
• Standardization• Price discovery (Transparency)• Management of risk (especially, counter-party
risk)• Efficiency in trading• Price stabilization function• Tools to take decision by Government
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Futures Obligasi
• Sebuah obligasi 15 tahun kupon 10% p.a, traded at 100. Tingkat bunga 7.5% and Futures Obligasi 106. Strategi apa yang digunakan ?
• Penyelesaian Kontrak Futures
Harga Futures Obligasi 106
Akrual Kupon (10% pa 3 months) 2.5
Total 108.5
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Futures Obligasi
• Pinjaman
Pokok Pinjaman 100
Bunga Pinjaman (7.5% pa months) 1.875
Total Pembayaran 101.875
• Profit 6.625
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Fakta
• Capital in/out – flow• Tappering off• Interest rate spread• Perlambatan ekonomi global• Uncertainty risk has increased• Hot Money• Volatility increased
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THANK YOU
For further any discussions:
Prof. Dr. Adler Haymans Manurung, Dean of Sampoerna School of Business
Pindarwin O.B. Simaremare, JFX Research & Business Development DivisionMobile : 0811 1757 163
Phone : (62) (21) 31996030
Fax : (62) (21) 31996050
E-mail : [email protected]