Soal

Obligasi dengan maturity 5 tahun memiliki kupon 8% dengan yield 6%. Suku bunga di pasar mengalami kenaikan sebesar 0
Berapa perubahan harga obligasi tersebut?

Jawaban:
Asumsi
Settlement Date 1/1/2019
Maturity Date 12/31/2023
Harga Obligasi 100 Price at Par

Maturity (M) 5 Tahun

Kupon 8%
Yield 6%
Kenaikan suku bunga pasar 0.5%

1) Perhitungan Mcaulay Duration

Time N CF Discount Factor (DF) = PV N*PV

(Hrg x Interest Coupon) 1(1+Yield)^n CF X DF

1 8 0.943396226415094 = 7.5472 7.5472

2 8 0.88999644001424 = 7.1200 14.2399
3 8 0.839619283032302 = 6.7170 20.1509
4 8 0.792093663238021 = 6.3367 25.3470
5 108 0.747258172866057 = 80.7039 403.5194
Total 108.4247 470.8044
Mcaulay Duration = (470,8044/108,4247) = 4.34 Tahun

2) Modified duration = 4.3422 4.3422

= =
(1 + 6%) 1.06

Terdapat kenaikan suku bunga dipasar sebesar 0,5%, maka harga obligasi akan berubah menjadi
Yield 6.5%

-4.096 x 0.50% =

Harga Obligasi tersebut turun sebesar -2,05%

108.4247 x 0.9795 = 106.20
ngalami kenaikan sebesar 0,5%.

atau 4.34 Tahun

Tahun atau 4.09 Tahun

4.096

-0.0205 atau -2.05%

Jadi harga aktual berdasarkan Yield 6,5% adalah 106,20

 Menghitung Beta

Price Return
Date TLKM ASII IHSG TLKM ASII IHSG
12/31/2002 1,925.00 2,434.34 424.945
1/31/2003 1,687.50 2,100.00 388.443 -12.34% -13.73% -8.59%
2/28/2003 1,787.50 2,350.00 399.220 5.93% 11.90% 2.77%
3/31/2003 1,812.50 2,500.00 398.004 1.40% 6.38% -0.30%
4/30/2003 2,050.00 3,025.00 450.861 13.10% 21.00% 13.28%
5/30/2003 2,337.50 3,600.00 494.776 14.02% 19.01% 9.74%
6/30/2003 2,312.50 3,575.00 505.499 -1.07% -0.69% 2.17%
7/31/2003 2,200.00 3,800.00 507.985 -4.86% 6.29% 0.49%
8/29/2003 2,287.50 3,800.00 529.675 3.98% 0.00% 4.27%
9/30/2003 2,850.00 4,525.00 597.652 24.59% 19.08% 12.83%
10/31/2003 3,000.00 4,350.00 625.546 5.26% -3.87% 4.67%
11/28/2003 3,075.00 4,475.00 617.084 2.50% 2.87% -1.35%
12/31/2003 3,375.00 5,000.00 691.895 9.76% 11.73% 12.12%
1/30/2004 3,775.00 5,200.00 752.932 11.85% 4.00% 8.82%
2/27/2004 3,650.00 5,400.00 761.081 -3.31% 3.85% 1.08%
3/31/2004 3,500.00 5,350.00 735.677 -4.11% -0.93% -3.34%
4/30/2004 4,025.00 5,700.00 783.413 15.00% 6.54% 6.49%
5/31/2004 3,700.00 5,800.00 732.516 -8.07% 1.75% -6.50%
6/30/2004 3,700.00 5,500.00 732.401 0.00% -5.17% -0.02%
7/30/2004 3,875.00 5,550.00 756.983 4.73% 0.91% 3.36%
8/31/2004 3,825.00 6,350.00 754.704 -1.29% 14.41% -0.30%
9/30/2004 4,150.00 6,850.00 820.134 8.50% 7.87% 8.67%
10/29/2004 4,350.00 7,850.00 860.487 4.82% 14.60% 4.92%
11/30/2004 4,950.00 8,750.00 964.086 13.79% 11.46% 12.04%
AVERAGE 4.53% 6.06% 3.80%
ST.DEV 8.60% 8.57% 6.07%
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.9130761141
R Square 0.8337079901
Adjusted R Square 0.825789323
Standard Error 0.0359105639
Observations 23

ANOVA
df SS MS F Significance F
Regression 1 0.135770783979 0.135770784 105.28387869 1.2319972E-09
Residual 21 0.027080940588 0.0012895686
Total 22 0.162851724567

Coefficients Standard Error t Stat P-value Lower 95%

Intercept -0.0038701365 0.008889574972 -0.4353567485 0.6677452928 -0.0223570196
X Variable 1 1.2948075177 0.126189806443 10.260793278 1.231997E-09 1.03238144911
 Upper 95% Lower 99,0% Upper 99,0%
0.0146167467 -0.02903972 0.0212994466
1.5572335862 0.9375188031 1.6520962323
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.7009859427
R Square 0.4913812918
Adjusted R Square 0.4671613533
Standard Error 0.0625292954
Observations 23

ANOVA
df SS MS F Significance F
Regression 1 0.079325469531 0.0793254695 20.288296445 0.00019463367
Residual 21 0.082108168357 0.0039099128
Total 22 0.161433637889

Coefficients Standard Error t Stat P-value Lower 95%

Intercept 0.0229797514 0.01547897885 1.4845779988 0.1525121344 -0.0092105473
X Variable 1 0.9897109496 0.219728091761 4.5042531506 0.0001946337 0.53276136788

Nilai coefficient beta < 1 yaitu sebesar 0,9897 < 1, maka sekuritas memiliki risiko lebih rendah dari pasar
 Upper 95% Lower 99,0% Upper 99,0%
0.0551700502 -0.0208468033 0.0668063062
1.4466605313 0.3675817168 1.6118401824

emiliki risiko lebih rendah dari pasar

Menghitung Credit Risk

PT TRISULA TEXTILE INDUSTRIES Tbk (dalam rupiah)

2019 2018 2017
Current Asset 404,187,217,742 405,812,817,923 333,171,768,612
Current Liabilities 279,731,191,535 224,905,223,881 187,735,291,863

Working Capital (CA - CL) 124,456,026,207 180,907,594,042 145,436,476,749

Total Asset 590,884,444,113 584,733,176,234 465,965,155,745
Retained Earning 90,515,151,650 74,431,611,137 42,769,088,683
EBIT 49,042,948,528 46,312,170,655 32,185,481,104
Net Worth (Total Asset-Total Liabilities) 277,052,787,220 323,022,913,129 240,879,358,132
Total Liabilities 313,831,656,893 261,710,263,105 225,085,797,613

X₁ = Working Capital/Total Asset = 0.2106 0.3094 0.3121

X₂ = Retained Earning/Total Asset = 0.1532 0.1273 0.0918
X₃ = EBIT/Total Asset = 0.0830 0.0792 0.0691
X₄ = Net Worth/Total Liabilities = 0.8828 1.2343 1.0702
 Altman Z-Score Safe if greater than : 2,6
Z-Score = 6,56 (X₁) + 3,26 (X₂) + 6,72 (X₃) + 1,05 (X₄) Bankrupt if less than :1,1

2016 2016
282,489,990,717 X₁ = Working Capital/Total Asset = 6.56 x 0.2817 =
173,212,645,270 X₂ = Retained Earning/Total Asset = 3.26 x 0.0838 =
X₃ = EBIT/Total Asset = 6.72 x 0.0580 =
109,277,345,447 X₄ = Net Worth/Total Liabilities = 1.05 x 0.9762 =
387,981,312,196 Total
32,525,047,091
22,486,710,745 2017
191,653,147,639 X₁ = Working Capital/Total Asset = 6.56 x 0.3121 =
196,328,164,557 X₂ = Retained Earning/Total Asset = 3.26 x 0.0918 =
X₃ = EBIT/Total Asset = 6.72 x 0.0691 =
0.2817 X₄ = Net Worth/Total Liabilities = 1.05 x 1.0702 =
0.0838 Total
0.0580
0.9762 2018
X₁ = Working Capital/Total Asset = 6.56 x 0.3094 =
X₂ = Retained Earning/Total Asset = 3.26 x 0.1273 =
X₃ = EBIT/Total Asset = 6.72 x 0.0792 =
X₄ = Net Worth/Total Liabilities = 1.05 x 1.2343 =
Total

2019
X₁ = Working Capital/Total Asset = 6.56 x 0.2106 =
X₂ = Retained Earning/Total Asset = 3.26 x 0.1532 =
X₃ = EBIT/Total Asset = 6.72 x 0.0830 =
X₄ = Net Worth/Total Liabilities = 1.05 x 0.8828 =
Total
f greater than : 2,6
upt if less than :1,1

1.8477
0.2733
0.3895
1.0250
3.5354 > 2.6 Maka perusahaan aman

2.0475
0.2992
0.4642
1.1237
3.9346 > 2.6 Maka perusahaan aman

2.0296
0.4150
0.5322
1.2960
4.2728 > 2.6 Maka perusahaan aman

1.3817
0.4994
0.5578
0.9269
3.3658 > 2.6 Maka perusahaan aman
SOAL
Bank Lumbung Dana memiliki portofolio kredit sebesar Rp1.000 miliar dengan return 8% per tahun. Biaya operasional Bank Lu
pihak ketiga (DPK) dengan tingkat bunga 6,5%. Berdasarkan analisa risiko terhadap kemungkinan terjadinya kerugian (expecte
portofolio kredit). Modal bank (economic capital) tersebut di tempatkan dalam Surat Utang Negara (SUN) yang memberikan k
Hitunglah Risk Adjusted Return of Capital (RAROC) dari Bank Lumbung Dana?

Dik Jawaban :
Portofolio Kredit : Rp 1,000,000,000,000 RAROC =
Return 8%
Biaya Operasional Rp 5,000,000,000 Per tahun =
Tarif Pajak 25%
=
Dana Pihak ketiga (DPK)
Tingkat Bunga 6.5%

Permodalan (Economic Capital) Rp 100,000,000,000

Interest Coupon 9.5%
Kemungkinan kerugian portofolio Rp 10,000,000,000
8% per tahun. Biaya operasional Bank Lumbung Dana sebesar Rp.5 miliar per tahun, dan tarif pajak sebesar 25%. Bank Lumbung Dana me
mungkinan terjadinya kerugian (expected losses) portofolio kredit, diperlukan permodalan (economic capital) sekitar Rp.100 miliar (10% d
Utang Negara (SUN) yang memberikan kupon bunga 9,5%, dan kemungkinan terjadinya kerugian di portfolio kredit sebesar Rp.10 miliar (1

(Pendapatan Bank - Biaya Operasi - Bunga - Biaya kerugian +

Permodalan (Economic Capital)
Rp 80,000,000,000 - Rp 5,000,000,000 - Rp 65,000,000,000 - Rp 10,000,000,000 +
Rp100,000,000,000
Rp7,125,000,000
=
Rp100,000,000,000 7.13% Maka return on equity setelah pajak minimal sebesar 7,13% untuk mensu
Lumbung Dana
 25%. Bank Lumbung Dana memiliki dana
al) sekitar Rp.100 miliar (10% dari
o kredit sebesar Rp.10 miliar (1%).

Interest Coupon SUN) x (1-Tarif Pajak)

Rp 9,500,000,000 x (1-25%)

al sebesar 7,13% untuk mensupport portofolio kredit Bank