Chapter 17

Lecture Presentation Software
to accompany
Investment Analysis and
Portfolio Management
Seventh Edition
by
Frank K. Reilly & Keith C. Brown
Chapter 17
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)?
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Basic Features of a Bond
• Bayar suatu jmlh 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 waktu jth tempo
(maturity)
– Pasar uang – surat berharga jk pendek (shortterm issues) yg jatuh tempo dlm satu thn
– Wesel (Notes) – surat berhaarga 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
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volatilitas harga obligasi
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Bond Characteristics
• Fitur intrinsik
– Kupon-tgkt penghasilan (- yield (pendapatan bunga)
– Jth tempo-termin atau serial (obligasi pemerinahan
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)
– Unsecured bonds (debentures)
– Subordinated
(junior)
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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
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Rates of Return on Bonds
HPR i, t =
Pi, t +1 + Int i, t
Pi, t
Dengan:
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 atasobligasi i selama periode t
Hasil slm periode pemilikan (The holding period
yield/ (HPY) adl:
HPY = HPR - 1
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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
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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)
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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-peringkatan (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)
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Equivalent Taxable Yield
i
ETY =
(1 - T )
Dengan:
i = tingkat kupon kewajiban pemerintah daerah
(municipal obligations)
T = tingkat pajak marginal investor
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Municipal Bond Guarantees
• Obligasi diasuransikan terhadap 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)
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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
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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 unt pershn
–
–
–
–
Bank komersial
Bank kredit jk panjang
Bank reksa dana (Mutual loan) dan tabungan
Institusi keuangan khusus
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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 oleh peminjam uang dari negara yg berbeda
– Obligasi Yankee adl obligasi dg dollar U.S.
dijual di U.S. tetapi ditebitkan 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
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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
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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 tetapo 98.5% dr nilai pari
– Obligasi municipal $5,000 diestimasi (quoted) pd
98 1/2 akan menjadi sebesar $4,925
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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
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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%
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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%
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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
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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)
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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)
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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)
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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
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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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