Callable bond , yaitu obligasi yang memberi hak kepada penerbitnya untuk melakukan penarikan/pelunasan pada waktu tertentu(waktu penarikan biasanya sudah diatur dalam perjanjian waktu penerbitan obligasi) Putable bond , yaitu obligasi yang memberikan hak kepada pemilik/pemegang untuk menukarkan/meminta pelunasan kepada penerbit/emiten.
A $100 bond with 6% annual coupons and a maturity
date 20 years from now can be called (i.e., redeemed by the issuer) at par on any coupon due date starting 10 years from now. What price should an investor pay for a yield rate of exactly 4% effective ?
Dari soal di atas diketahui bahwa kupon lebih besar
dibandingkan dengan yield, maka harga callable bond dihitung berdasarkan prinsip secepatnya bond tersebut di call...hal ini terjadi jika pada tahun ke-10 secepatnya di call
Dari keterangan di atas diperoleh formula
P = 6 a10;4% + 100 v10 = 48,66 + 67,56 = 116.22 Rumus harga di atas dapat juga diperoleh dari P = C + (Fr-Ci)an;i = 100+(6-4) a10;4% = 116.22 Sebagai perbandingan tahun Harga 11 117,521 12 118,7701 15 122,237
For the same bond as in Example I ($100 bond with 6%
annual coupons that can be called on any coupon date 10 years to 20 years from now), what price should an investor pay to get a minimum yield rate of 8% effective? If this price is paid, what is the maximum yield rate the investor can earn? Dari soal di atas diketahui bahwa kupon < yield, issuer ingin selama mungkin bond tersebut tidak dicall (n max 20 tahun).
Dari keterangan di atas diperoleh formula
P = 6 a10;8% + 100 v10 = 58,91 + 21,45 = 80,36 Atau = C + (Fr-Ci)an;i = 100 + (6-8) a20;8% Sebagai perbandingan tahun 18 15 12
Harga 81,26 82,88 84,93
Callable Bond A $100 par value 4% bond with semi-annually coupons is callable at the following times: $109.00, 5 to 9 years after issue $104.50, 10 to 14 years after issue $100.00, 15 years after issue.
Question: What price should an investor pay for the
callable bond if they wish to realize a yield rate of (1) 5% payable semi-annually and (2) 3% payable semi-annually?
1. Karena kupon obligasi << yield pasar, issuer berusaha
selama mungkin tidak merecall obligasi tsb...Dia akan menunggu sampai waktu terakhir (15 tahun) : P = $2. a(30; 2.5%) + $100 v30 = $89.53 2. Karena kupon obligasi >> yield pasar, issuer will redeem at the earliest possible date for each of the three different redemption values: P = $2. a(10; 1.5%) + $109*1,015-10 = $112.37 P = $2. a(20; 1.5%) + $104.5 1,015-20 = $111.93 P = $2. a(30 1.5%) + $100*1,015-30 = $112.01 In this case, the investor would only be willing to pay $111.93.
A 5% semiannual coupon $100 bond maturing in 15
years is callable on any coupon date after the 10th. Ifcalled on the 11th through 20th coupondate, the redemption value would be$110.Ifcalled on the 21st through 30th coupon date, redemption would be at par. Find the price that would ensure an investor a minimum yield of 3% per annum compounded semiannually.