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Obligasi Callable

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Callable dan Putable


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.

Sekian dan Terima Kasih

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