Kajian futures obligasi Indonesia.. Mohon doa restunya agar lancar sesuai rencana dan berguna bagi kita semua. Amiinn

1. @infoJFX
www.jfx.co.id

2. KAJIAN PENGEMBANGAN FUTURES
OBLIGASI PEMERINTAH
Prof. Dr. Adler Haymans Manurung
Ketua Tim Kajian Futures Bond & Advisor BBJ
Dean of Sampoerna School of Business
@infoJFX
www.jfx.co.id

3. Pengantar
• Institusi-institusi pilar ekonomi:
–
–
–
–
Banking
Insurance
Capital Market
Futures Market
• Futures Exchange
• OTC
@infoJFX
www.jfx.co.id

4. Kelembagaan Perdagangan Berjangka
Kementerian Perdagangan
Bank Indonesia
OJK
Kejaksaan Agung
Kepolisian RI
Koordinasi
Pengelola Sentra
Dana Berjangka
Penasihat
Berjangka
Pedagang
Berjangka
Pialang Berjangka
Bukan AK
Badan Pengawas
Luar Negeri
Lembaga Kliring
Berjangka
JFX
Bank
Penitipan
Sentra Dana
Berjangka
Kesepakatan
BAPPEBTI
Bursa Berjangka
Luar Negeri
Pialang Berjangka
Anggota Kliring
Pialang Berjangka
AK Tertentu
NASABAH
@infoJFX
www.jfx.co.id

5. Bond Market Development Framework
@infoJFX
www.jfx.co.id

6. 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
@infoJFX
www.jfx.co.id

7. 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
@infoJFX
www.jfx.co.id

8. Metodologi
• Literature Studies
– Books
– Journals and Articles
• Pengumpulan Data
– Primer
– Sekunder
– Focus Group Discussion [FGD]
• Analysis
– Internal
– External
– SWOT
• Result and Recommendations
@infoJFX
www.jfx.co.id

9. 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
@infoJFX
www.jfx.co.id

10. 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)
2. Non Tradeable
• Government Debt
Securities
– Rupiah
• Fixed Coupon (SU/SRBI)
– Valas
• US Dollar Denominated (RI)
• Japan Yen Denominated (RIJPY)
•
Government Islamic Securities
– Rupiah
• Zero Coupon (SPN-S)
• Fixed Coupon (IFR/PBS/SR)
– Valas
• Government Islamic
Securities
– Rupiah
• Fixed Coupon (SDHI)
• US Dollar Denominated (SNI)
@infoJFX
www.jfx.co.id

11. Profil Utang Indonesia (SBN dan
Pinjaman Luar Negeri)
@infoJFX
www.jfx.co.id

12. 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%
•
@infoJFX
Prospek positif SBN
mencapai target 97% pada
2055
www.jfx.co.id

13. Perdagangan di Pasar Sekunder
Domestik 2000-2011 (Yearly)
@infoJFX
www.jfx.co.id

14. Perdagangan di Pasar Sekunder Domestik
2012 – 2013 (Monthly)
@infoJFX
www.jfx.co.id

15. Komposisi Kepemilikan Tradeable
Government Securities
IDR Trillion
Banks
Govt. Institutions
Non-Banks
Mutual Funds
Insurance Company
Foreign Holders
Pension Fund
Securities Company
Individual
Others
Total
@infoJFX
Dec-09
254.36 43.72%
22.50 3.87%
304.89 52.41%
45.22 7.77%
72.58 12.48%
108.00 18.56%
37.50 6.45%
0.46 0.08%
41.12
581.75
Dec-10
217.27 33.88%
17.42 2.72%
406.53 63.40%
51.16 7.98%
79.30 12.37%
195.76 30.53%
36.75 5.73%
0.13 0.02%
7.07% 43.43
100% 641.21
Dec-11
265.03 36.63%
7.84 1.08%
450.75 62.29%
47.22 6.53%
93.09 12.86%
222.86 30.80%
34.39 4.75%
0.14 0.02%
6.77% 53.05
100% 723.61
Dec-12
299.66 36.73%
3.07 37.00%
517.53 63.09%
43.19 5.27%
83.42 10.17%
270.52 32.98%
56.46 6.88%
0.30 0.04%
7.33% 63.64
100% 820.27
Jun-13
314.34 35.38%
29.13 3.28%
545.05 61.34%
39.61 4.46%
126.38 14.22%
282.96 31.85%
29.11 3.28%
0.99 0.11%
25.02 2.82%
7.76% 40.97 4.61%
100% 888.51 100%
Aug-13
333.74 36.00%
38.20 4.12%
555.13 59.88%
40.06 4.32%
124.69 13.45%
284.01 30.64%
37.65 4.06%
1.10 0.12%
23.23 2.51%
44.39 4.79%
927.07 100%
Sep-13
349.66 37.08%
25.17 2.67%
568.04 60.25%
40.23 4.27%
127.82 13.56%
294.14 31.20%
38.59 4.09%
1.05 0.11%
21.41 2.27%
44.81 4.75%
942.83 100%
Oct-13
332.24 33.74%
42.05 4.27%
610.32 61.99%
41.05 4.17%
128.44 13.04%
314.98 31.99%
38.57 3.92%
0.86 0.09%
41.42 4.21%
45.00 4.57%
984.62 100%
www.jfx.co.id

16. 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]
@infoJFX
www.jfx.co.id

17. Futures Obligasi Pemerintah
• Obligasi Jangka Pendek
– Interest Rate Futures
– Yield of Bonds
• Obligasi Jangka Panjang
– Bond Futures
– Price of Bonds
@infoJFX
www.jfx.co.id

18. Futures Trading Objectives
• Hedging
• Enhance Return
• To Take Decision ----- Government
@infoJFX
www.jfx.co.id

19. 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
@infoJFX
www.jfx.co.id

20. 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
@infoJFX
www.jfx.co.id

21. 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
@infoJFX
www.jfx.co.id

22. 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
@infoJFX
www.jfx.co.id

23. Benefit
• Standardization
• Price discovery (Transparency)
• Management of risk (especially, counter-party
risk)
• Efficiency in trading
• Price stabilization function
• Tools to take decision by Government
@infoJFX
www.jfx.co.id

24. 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
Akrual Kupon (10% pa 3 months)
Total
@infoJFX
106
2.5
108.5
www.jfx.co.id

25. Futures Obligasi
• Pinjaman
Pokok Pinjaman
Bunga Pinjaman (7.5% pa months)
Total Pembayaran
• Profit
@infoJFX
100
1.875
101.875
6.625
www.jfx.co.id

26. Fakta
•
•
•
•
•
•
•
Capital in/out – flow
Tappering off
Interest rate spread
Perlambatan ekonomi global
Uncertainty risk has increased
Hot Money
Volatility increased
@infoJFX
www.jfx.co.id

27. For further any discussions:
Prof. Dr. Adler Haymans Manurung, Dean of Sampoerna School of
Business
Pindarwin O.B. Simaremare, JFX Research & Business Development
Division
Mobile
Phone
Fax
E-mail
: 0811 1757 163
: (62) (21) 31996030
: (62) (21) 31996050
: pobsimaremare@jfx.co.id
THANK YOU
@infoJFX
www.jfx.co.id