Chapter 9

Debt Valuation
and Interest
Isi Slide

• Prinsip-Prinsip yang dibahas dalam bab ini.

• Tujuan Pembelajaran
1. Overview of Corporate Debt
2. Valuing Corporate Debt
3. Bond Valuation: Four Key Relationships
4. Types of Bonds
5. Determinants of Interest Rates
• Kata Kunci

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-2

Tujuan Pembelajaran

1. Mengidentifikasi fitur kunci dari obligasi

dan menggambarkan perbedaan antara
pasar utang privat dan pasar utang publik.
2. Menghitung nilai suatu obligasi dan
menghubungkannya dengan hasil (yield)
saat jatuh tempo.
3. Menggambarkan empat kunci hubungan
penilaian obligasi.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-3

Tujuan Pembelajaran (cont.)

4. Mengidentifikasi tipe-tipe utama dari

obligasi perusahaan.
5. Menjelaskan pengaruh inflasi terhadap
tingkat bunga dan menggambarkan term
structure of interest rates.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-4

Prinsip-Prinsip yang diterapkan
dalam Bab ini

• Principle 1: Money Has a Time Value.

• Principle 2: There is a Risk-Return Tradeoff.

• Principle 3: Cash Flows Are the Source of

Value

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-5

 9.1 OVERVIEW OF
CORPORATE DEBT

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-6

Pinjaman Perusahaan

• Ada dua sumber utama pinjaman

perusahaan, yaitu:

1. Pinjaman dari Lembaga Keuangan (biasa

disebut dengan utang privat/ private debt
sepanjang melibatkan dua pihak saja)

2. Obligasi (biasa disebut dengan utang publik/

public debt sepanjang utang ini
diperdagangkan di pasar keuangan publik)

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-7

Meminjam Uang dari Pasar
Keuangan Privat

Financial Institutions menyediakan

berbagai pinjaman untuk membiayai operasi
sehari-hari perusahaan (working capital
loans) atau dapat digunakan untuk membeli
equipment atau property (transaction
loans).
Pinjaman ada yang dijamin dan tidak dijamin
dengan suatu jaminan yang biasa disebut
collateral.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-8

Meminjam Uang dari Pasar
Keuangan Privat (cont.)

• Advantages of Private Debt Placement

– Speed
– Reduced costs
– Financing flexibility
• Disadvantages of Private Debt Placement
– Interest costs
– Restrictive covenants
– The possibility of future SEC registration

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-9

Table 9-1 Types of Bank Debt

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-10

Floating-Rate Loans

Di pasar keuangan privat, pinjaman biasanya

berjenis floating rate loans yaitu tingkat
bunga telah disesuaikan berbasarkan suatu
tingkat pembanding khusus (specific
benchmark rate).
Pembanding yang paling popular adalah
London Interbank Offered Rate (LIBOR),
yaitu suatu tingkat bunga pinjaman yang
ditawarkan oleh bank kepada para peminjam
di seluruh kota London atau pasar antarbank.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-11

Floating-Rate Loans (cont.)

Sebagai contoh, suatu perusahaan

mungkin mendapatkan pinjaman satu
tahun dengan tingkat bunga sebesar
300 basis poin (atau 3%) di atas LIBOR
dengan batas atas (ceiling) sebesar
11% dan batas bawah (floor) sebesar
4%.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-12

 CHECKPOINT 9.1:
CHECK YOURSELF
Calculating the Rate of Interest on a
Floating-Rate Loan
Consider the same loan period as above but change
the spread over LIBOR from .25% to .75%. Is the
ceiling rate or floor rate violated during the loan
period?

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-13

Step 1: Picture the Problem

• The graph on the next slide shows the

LIBOR index (series 1), LIBOR plus the
spread of 75 basis points (series 2), the
ceiling rate (series 3), and the floor rate
(series 4).

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-14

Step 1: Picture the Problem (cont.)

Floating Rate Loans

3.00%

2.50%

2.00%
Interest Rate

Series1
1.50% Series2
Series3
Series4
1.00%

0.50%

0.00%
1 2 3 4 5 6 7 8

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-15

Step 2: Decide on a Solution
Strategy

• We have to determine the floating rate for

every week and see if it exceeds the ceiling
or falls below the floor.

• Floating rate on Loan

= LIBOR for the previous week + spread of .75%

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-16

Step 2: Decide on a Solution
Strategy

The floating rate on loan cannot exceed the

ceiling rate of 2.5% or drop below the floor
rate of 1.75%.
– If the floating rate falls below the floor,
the rate will be reset at the floor rate.
– If the floating rate exceeds the ceiling, the
rate will be reset at the ceiling rate.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-17

Step 3: Solve
LIBOR LIBOR + Loan
Spread Rate
(.75%)
2/29/2008 1.98%
3/7/2008 1.66% 2.73% 2.50%
3/14/2008 1.52% 2.44% 2.41%
3/21/2008 1.35% 2.27% 2.27%
3/28/2008 1.60% 2.10% 2.10%
Ceiling
4/4/2008 1.63% 2.35% 2.35% Violated

4/11/2008 1.67% 2.38% 2.38%

4/18/2008 1.88% 2.42% 2.42%
4/25/2008 1.93% 2.63% 2.50%
5/2/2008 2.68% 2.50%

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-18

Step 3: Solve (cont.)

The table shows the ceiling is violated during

the first week and last two weeks of the loan
period. The floor rate is never violated.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-19

Step 4: Analyze

• The ceiling is the maximum rate charged on

the loan while floor is the minimum rate
charged on the loan. If the ceiling or floor
rates are violated, the loan rate is reset to
the ceiling rate or the floor rate.

• If there were no ceiling, the loan rate would

have been 2.73% during the first week of
the loan, and 2.63% and 2.68% during the
last two weeks of the loan.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-20

Meminjam Uang dari Pasar
Keuangan Publik
Perusahaan menggunakan jasa suatu investment
banker saat akan menambah dana jangka panjang
melalui pasar keuanga publik.
Investment banker menyediakan tiga layanan dasar,
yaitu:
– Underwriting: menanggung risiko penjualan
sekuritas yang diterbitkan. Pihak klien diberikan
uang sebelum sekuritas laku terjual kepada
publik.
– Distributing
– Advising

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-21

Obligasi Perusahaan

• Corporate bond adalah suatu sekuritas

utang yang diterbitkan oleh perusahaan
yang menjanjikan pembayaran di masa
depan dan pada suatu tanggal jatuh tempo.

• Jika perusahaan gagal membayar bunga

maupun pokok utang, maka wali amanat
(trustee) dapat mengklasifikasikan
perusahaan sebagai insolvent dan memaksa
perusahaan untuk mengajukan
kebangkrutan.
Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-22
Fitur Dasar Obligasi

• Fitur dasar suatu obligasi meliputi hal-hal

sbb:
– Bond indenture
– Claims on assets and income
– Par or face value
– Coupon interest rate
– Maturity and repayment of principal
– Call provision and conversion features

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-23

Bond Ratings and Default Risk

Bond ratings mengindikasikan risiko

kegagalan yaitu suatu tingkat kemungkinan
perusahaan dalam membayarkan bunga dan
pokok utang obligasi.
Rating agencies menggunakan laporan
keuangan peminjam, financing mix,
profitability, keragaman profit masa lalu, dan
membuat kesimpulan tentang kualitas
manajemen perusahaan dikaitkan dengan
peringkatnya.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-24

Table 9.3 Interpreting Bond Ratings

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-25

 9.2 VALUING CORPORATE
DEBT

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-26

Menilai Utang Perusahaan

Nilai utang perusahaan sama dengan nilai

saat ini (present value) dari pokok utang yang
dijanjikan saat jatuh tempo dan pembayaran
bunga (cash flows) yang didiskotokan ke
masa kini dengan menggunakan tingkat
bunga pasar yang diinginkan (ekspektasi)
pada suatu risiko yang sama pada sekuritas
sejenis.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-27

Table 9.2 Bond Terminology

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-28

Penilaian Obligasi dengan
Mendiskontokan Arus Kas Masa Depan

Langkah 1: Menentukan arus kas pemegang

obligasi, yaitu jumlah dan waktu penerimaan
bunga dan pokok utang.
•Annual Interest = Par value × coupon rate
•Contoh 9.1: Bunga tahunan dari obligasi 10 tahun
dengan kupon bunga 7% dan nilai nominal $1,000
adalah sebesar $70, (.07 × $1,000 = $70). Obligasi
ini akan membayar bunga sebesar $70 tiap tahunnya
dan membayar $1,000 pada akhir tahun ke-10.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-29

Penilaian Obligasi dengan Mendiskontokan Arus
Kas Masa Depan (cont.)

Langkah 2: Mengestimasi tingkat diskonto

yang tepat untuk obligasi yang memiliki risiko
yang sama. Tingkat diskonto adalah tingkat
pengembalian yang diperoleh dari obligasi
apabila obligasi tersebut dipegang hingga saat
jatuh tempo dan seluruh “janji”-nya
dibayarkan.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-30

Penilaian Obligasi dengan Mendiskontokan Arus
Kas Masa Depan (cont.)

Langkah 3: Menghitung nilai present dari

bunga dan pokok utang obligasi (dari langkah
1) dengan menggunakan tingkat diskonto
pada langkah 2.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-31

Calculating a Bond’s Yield to
Maturity (YTM)

Kita dapat saja berpikir YTM sebagai tingkat

diskonto untuk menghitung nilai saat ini dari
bunga dan pokok utang obligasi yang nilainya
sama dengan harga pasar.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-32

 CHECKPOINT 9.2:
CHECK YOURSELF
Calculating the Yield to Maturity on a
Corporate Bond
Calculate the YTM on the Ford bond where the
bond price rises to $900 (holding all other things
equal).

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-33

Step 1: Picture the Problem

YTM=?
0 1 2 3… 11
Years
Cash flow -$900 $65 $65 $65 $1,065

• Purchase price = $900

• Interest payments = $65 per year for years
1-11
• Final payment = $1,000 in year 11 of
principal.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-34

Step 2: Decide on a Solution
Strategy

We can use equation 9-2a to find YTM. YTM is

the rate that makes the present value of all
future expected cash flows equal to the
current market price. We can also solve for
YTM using a calculator and a spreadsheet.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-35

Step 3: Solve

Using a Mathematical Equation

• It is cumbersome to solve for YTM by hand

using the equation. It is more practical to
use the financial calculator or the spread
sheet.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-36

Step 3: Solve (cont.)

Using a Financial
Calculator Using an Excel
Spreadsheet
N = 11
I/Y = 7.89 = RATE(nper,
PV = -900 pmt,pv,fv)
PMT = 65
= RATE (11,65,-
FV = 1,000
900,1000)
= 7.89%

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-37

Step 4: Analyze

The yield to maturity on the bond is 7.89%.

The yield is higher than the coupon rate of
interest of 6.5%. Since the coupon rate is
lower than the yield to maturity, the bond is
trading at a price below $1,000. We call this a
discount bond.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-38

Menggunakan Market-Yield-to-
Maturity Data

Market-yield-to-maturity data secara reguler

dilaporkan melalui suatu layanan investor dan
disebut dengan istilah credit spreads atau
spreads to Treasury bonds.
Table 9-4 berisikan beberapa contoh spreads.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-39

Table 9-4 Corporate Bond Spread
Tables

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-40

Menggunakan Market-Yield-to-
Maturity Data (cont.)

• Nilai sebaran yang disajikan pada tabel 9-4

menggambarkan basis poin terhadap US
Treasury security pada jatuh tempo yang
sama dengan obligasi perusahaan.
• Sebagai contoh, obligasi perusahaan 30-
tahun Ba1/BB+ memiliki sebaran 275 basis
poin di atas US Treasury bond 30-tahun yang
sama.
• Oleh karena itu, obligasi perusahaan ini
harus menghasilkan 2.75% di atas 4.56%
treasury yield atau sebesar 7.31%.
Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-41
Promised versus
Expected Yield to Maturity

Hasil penghitungan pada saat jatuh tempo

mengasumsikan bahwa kinerja obligasi sesuai
dengan yang tertera dalam sertifikat obligasi
(bond contract atau indenture).
Selama obligasi perusahaan merupakan
subjek risiko kegagalan, maka hasil yang
dijanjikan pada saat tanggal jatuh tempo bisa
saja tidak sama dengan hasil yang diharapkan
sebelumnya.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-42

Promised versus Expected Yield to
Maturity (cont.)

• Contoh Anggaplah suatu obligasi satu tahun

menjanjikan kupon bunga 8% dan memiliki
nilai nominal $1,000. Asumsikan juga
bahwa obligasi tersebut diperdagangkan
senilai $850. Berapakah hasil yang
dijanjikan saat jatuh tempo?

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-43

Promised versus Expected Yield to
Maturity (cont.)

Promised YTM
= {(Interest year 1 + Principal) ÷ (Bond Value)} – 1

= {($80+$1,000) ÷ ($850)} – 1

= 27.06%

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-44

Promised versus Expected Yield to
Maturity (cont.)

Hasil sebesar 27.06% didasarkan pada asumsi

tidak ada kegagalan (no default). Asumsikan
bahwa terdapat 40% probabilitas gagal pada
obligasi ini dan jika obligasi gagal maka
pemegang obligasi akan menerima hanya
60% dari pokok utang dan bunga. Berapakah
nilai YTM ekspektasi obligasi ini?

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-45

Promised versus Expected Yield to
Maturity (cont.)
YTMdefault
= {(Interest year 1 + Principal)} ÷ (Bond Value)}
–1

= {($80+$1000) × .60} ÷ ($850)} – 1

= -23.76%

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-46

Promised versus Expected Yield to
Maturity (cont.)

= (27.06 × .60) + (-23.76 × .40)

= 6.73%

The financial press quotes promised yield and

not expected YTM.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-47

 CHECKPOINT 9.3:
CHECK YOURSELF

Valuing a Bond Issue

Calculate the present value of the AT&T
bond should the yield to maturity for
comparable risk bonds rise to 9%
(holding all other things equal).

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-48

Step 1: Picture the Problem

i= 9%
Years 0 1 2 3… 20

Cash flows $85 $85 $85 $85 $1,085

PV of all
Cash flows
=?

$85 annual
interest $85 interest
+ $1,000
Principal

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-49

Step 2: Decide on a Solution
Strategy

• Here we know the following:

– Annual interest payments = $85
– Principal amount or par value = $1,000
– Time = 20 years
– YTM or discount rate = 9%
• We can use the above information to
determine the value of the bond by
discounting future interest and principal
payment to the present.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-50

Step 3: Solve

Using a Mathematical Formula

= $ 85{ 1-(1/(1.09)20] ÷ (.20)} + [

$1,000/(1.09)20
= $85 (9.128) + $178.43
= $954.36

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-51

Step 3: Solve (cont.)

Using a Financial Using an Excel

Calculator Spreadsheet

– N = 20 = PV (rate, nper, pmt, fv)

– 1/y = 9.0
= PV (.09,20,85,1000)
– PMT = 85
– FV = 1000
= $954.36
– PV = 954.36

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-52

Step 4: Analyze

• The value of AT&T bond falls to $954.36

when the yield to maturity rises to 9%. The
bonds are now trading at a discount as the
coupon rate on AT&T bonds is lower than
the market yield.
• An investor who buys AT&T bonds at its
current discounted price will earn a
promised yield to maturity of 9%.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-53

Pembayaran Bunga Semianual

Obligasi perusahaan biasanya membayar

bunga kepada pemegang obligasi secara
semianual atau semesteran. Kita dapat
menyesuaikan Persamaan (9-2a) dari
pembayaran anual ke semianual sbb:

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-54

 CHECKPOINT 9.4:
CHECK YOURSELF
Valuing a Bond Issue That Pays Semiannual
Interest
Calculate the present value of the AT&T bond
should the yield to maturity on comparable bonds
rise to 9% (holding all other things equal).

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-55

Step 1: Picture the Problem
40
6-month
periods
i= 9%
Periods 0 1 2 3… 40

Cash flow

$42.5 $42.5 $42.5 $42.5 $1,042.50

PV=?

$42.50
$42.5 interest
Semiannual
+ $1,000
interest
Principal

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-56

Step 2: Decide on a Solution
Strategy
• Here we know the following:
– Semiannual interest payments = $42.50
– Principal amount or par value = $1,000
– Time = 20 years or 40 periods
– YTM or discount rate = 9% or 4.5% for 6-months
• We can use the above information to
determine the value of the bond by
discounting future interest and principal
payment to the present.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-57

Step 3: Solve

Using a Mathematical Formula

= $ 42.5{[1-(1/(1.045)40] ÷ (.20)} +
$1,000/(1.045)40
= $42.5 (18.40) + $171.93
= $954

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-58

Step 3: Solve (cont.)

Using a Financial Using an Excel

Calculator Spreadsheet

– N = 40 = PV (rate, nper, pmt, fv)

– 1/y = 4.50
= PV (.045,40,42.5,1000)
– PMT = 42.50
– FV = 1000
= $954
– PV = 954

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-59

Step 4: Analyze

Using semi-annual compounding we get a

value of $954 for AT&T bonds. This is very
close to the value of $954.26 found using
annual compounding.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-60

 9.3 BOND VALUATION:
FOUR KEY RELATIONSHIPS

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-61

Penilaian Obligasi:
Four Key Relationships

• First Relationship Nilai obligasi berhubungan

terbalik dengan perubahan dalam hasil saat
jatuh tempo.

YTM = 12% YTM rises to

15%
Par value $1,000 $1,000
Coupon rate 12% 12%
Maturity date 5 years 5 years
Bond Value $1,000 $899.44

Bond
Value
Drops

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-62

Figure 9-1 Bond Value and the Market’s
Required Yield to Maturity (5-Year Bond, 12%
Coupon Rate)

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-63

Penilaian Obligasi:
Four Key Relationships (cont.)

• Second Relationship: nilai pasar obligasi

akan lebih rendah dari nilai nominal
(discount bond) jika hasil yang diharapkan
oleh pasar di saat jatuh tempo di atas
tingkat kupon bunga dan akan bernilai lebih
tinggi dari nilai nominal (premium bond)
jika hasil yang diharapkan oleh pasar di saat
jatuh tempo di bawah tingkat kupon bunga.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-64

Penilaian Obligasi:
Four Key Relationships (cont.)

• Third Relationship Sebagaimana pendekatan

tanggal jatuh tempo, nilai pasar obligasi
mendekati nilai nominalnya. Hal ini
dikarenakan pada saat jatuh tempo,
obligasikan akan diserahkan kembali dan
investor akan menerima sejumlah nilai
nominal obligasi.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-65

Table 9-5 Bond Prices Relative to
Maturity Date

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-66

Figure 9-2 Value of a 12% Coupon
Bond during the Life of the Bond

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-67

Penilaian Obligasi:
Four Key Relationships (cont.)

Fourth Relationship Obligasi jangka panjang

memiliki risiko tingkat bunga yang lebih besar
dibandingkan dengan obligasi jangka pendek.

• Sepanjang seluruh obligasi dipengaruhi oleh

perubahan tingkat bunga, maka harga
obligasi jangka panjang lebih berfluktuasi
bila tingkat bunga berubah dibandingkan
dengan obligasi jangka pendek (see Table
9.6).

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-68

 9.4 TYPES OF BONDS

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-69

Table 9-7 Types of Corporate Bonds

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-70

 9.5 DETERMINANTS OF
INTEREST RATES

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-71

Penentuan Tingkat Bunga

Seperti yang telah dibahas sebelumnya, harga

obligasi bervariasi secara terbalik dengan
tingkat bunga. Oleh karena itu, untuk
memahami bagaimana harga obligasi
berfluktuasi, maka kita perlu mengetahui
penentu tingkat bunga.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-72

Inflasi dan Tingkat Bunga Riil versus
Tingkat Bunga Nominal

• Tingkat bunga dalam konteks keuangan lebih

umum disebut dengan tingkat bunga
nominal (atau quoted interest rate).
Sedangkan tingkat bunga yang telah
menyesuaikan pengaruh inflasi disebut
Tingkat Bunga Riil.

• Tingkat Bunga Riil (kurang lebih)

≈ Nominal interest rate – Inflation premium

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-73

Fisher Effect: Tingkat Bunga Nominal
dan Riil

• Hubungan antara tingkat bunga nominal,

rnominal , tingkat inflasi yang telah
diantisipasi, rinflation , dan tingkat bunga riil
dikenal dengan istilah Fisher effect.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-74

 CHECKPOINT 9.5:
CHECK YOURSELF
Solving for the Real Rate of Interest
Assume now that you expect that inflation will be
5% over the coming year and want to analyze
how much better off you will be if you place your
savings in an account that also earns just 5%.
What is the real rate of return in this
circumstance?
Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-75
Step 1: Picture the Problem

• Let us assume that the prices of goods and

services today is $1.00 per unit.
• With a 5% inflation, these goods and
services will cost $1.05.
• Thus, $10,500 expected in the savings
account at the end of the year will buy you
only 10,000 units (10,500/1.05) at the end
of the year.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-76

Step 1: Picture the Problem (cont.)

Year 0 Year 1

Savings Account Balance $10,000.00 $10,500.00

Price Index (5% inflation) $1.00 $1.05

Purchasing Power (units) 10,000.00 10,000.00

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-77

Step 2: Decide on a Solution
Strategy
Step 3: Solve

We can estimate the real rate of interest by

using equation 9-4b.

rreal = {(1+.05) ÷ (1+.05)} – 1 = 0%

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-78

Step 4: Analyze

Here the nominal rate of interest is equal to

the expected rate of inflation. Therefore, the
real rate of return is equal to zero i.e. there is
no increase in purchasing power from
investing the savings at 5%.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-79

 CHECKPOINT 9.6:
CHECK YOURSELF
Solving for the Nominal Rate of Interest
If you anticipate that the rate of inflation will now
be 4% next year, holding all else the same, what
rate of return will you need to earn on your
savings in order to achieve a 2% increase in
purchasing power?

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-80

Step 1: Picture the Problem

• Let us assume that the prices of goods and

services today is $1.00 per unit.
• If the expected rate of inflation is 4% and
you want to be able to purchase 2% more,
you will need to earn a nominal rate of
interest on your savings that will allow you
to buy 10,200 units at $1.04 each.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-81

Step 1: Picture the Problem (cont.)

Year 0 Year 1

Savings Account Balance $10,000.00 $10,608

Price Index (5% inflation) $1.00 $1.04

Purchasing Power (units) 10,000.00 10,200.00

Real rate (% increase in 2%

purchasing power)

Interest rate of
6.08% solved
in step 3

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-82

Step 2: Decide on a Solution
Strategy
Step 3: Solve

We can use the Fisher model found in

equation 9-4a to determine the nominal rate
of interest.

rnom=.02 + .04 + (.02 × .04) = .0608 or 6.08%

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-83

Step 4: Analyze

In order to achieve a 2% increase in

purchasing power in the face of a 4% rate of
inflation, you must earn a 6.08% rate on your
savings.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-84

Interest-Rate Determinants –
Breaking It Down

Return nominal atau tingkat bunga atas surat

utang (note) atau obligasi (bond) dapat terdiri
dari lima komponen dasar, yaitu:

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-85

Interest Rate Determinants (cont.)

• The inflation premium

• Default–risk premium

• Maturity-risk premium

• Liquidity-risk premium

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-86

The Maturity-Risk Premium and the
Term Structure of Interest Rates

• Hubungan antara tingkat bunga dan saat

jatuh tempo dengan risiko bernilai tetap
dikenal dengan istilah term structure of
interest rates atau the yield curve.

• Gambar 9-3 mengilustrasikan suatu struktur

syarat hipotetis dari U.S. Treasury Bonds.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-87

Figure 9-3 The Term Structure of
Interest Rates or Yield Curve

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-88

Bentuk Kurva Yield

Dengan mereviu persamaan 9-5, kita dapat

memperoleh gambaran tentang bentuk kurba
yield dari US Treasuries.
Selama tidak ada risiko gagal (default risk)
atau risiko likuiditas (liquidity risk) dan risiko
rill tingkat bunga bebas (real-risk free rate of
interest) tidak berubah, maka bentuk kurva
yield ditentukan oleh premi inflasi (inflation
premium) dan premi risiko jatuh tempo
(maturity risk premium).

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-89

Bentuk Kurva Yield (cont.)

Selama periode dimana inflasi diharapkan

menurun, premi inflasi akan turun terhadap
jatuh tempo yang lebih panjang,
menghasilkan kemiringan (slope) yang
menurun pada kurva yield Treasury,
sebagaimana terlihat pada Gambar 9.5.
Kebalikannya juga benar, sebagaimana
diperlihatkan pada Gambar 9.4.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-90

Figure 9.4
Treasury
Yield Curve
during
Period of
Increasing
Inflation

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-91

Figure 9.5
Treasury
Yield Curve
during
Period of
Decreasing
Inflation

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-92

Pergeseran pada Kurva Yield

• Kurva yield berubah sepanjang waktu

seperti yang diharapkan, bergantung pada
masing-masing empat faktor yang
menentika perubahan tingkat bunga.
• Gambar 9-6 menunjukkan kurva yield satu
hari sebelum serangan 911 dan dua minggu
kemudian. Para investor menggeser dana
mereka ke Treasury yang aman, menekan
harga dan mengakibatkan penurunan yield.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-93

Figure 9-6 Changes in the Term Structure
of Interest Rates around September 11,
2001

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-94

Pergeseran pada Kurva Yield (cont.)

• Kurva yield pada umumnya berupa

kemiringan ke atas (upward sloping)
namun bisa juga berupa bentuk yang
berbeda yaitu downward sloping atau flat.

• Gambar 9-7 mengilustrasikan bentuk-

bentuk kurva yield pada tanggal-tanggal
berbeda, yang diamati selama 13 bulan
saja.

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-95

Figure 9.7 Historical Term Structure of
Interest Rates for Government Securities

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-96

Key Terms

• Amortizing bond
• Basis point
• Bond rating
• Bond indenture
• Call provision
• Collateral
• Conversion feature

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-97

Key Terms (cont.)

• Convertible bond
• Corporate bond
• Coupon interest rate
• Credit spread
• Current yield
• Debenture
• Default-risk premium

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-98

Key Terms (cont.)

• Discount bond
• Eurobonds
• Fisher effect
• Floating rate
• Floating rate bonds
• Inflation premium
• Interest rate risk

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-99

Key Terms (cont.)

• Junk (high-yield) bond

• LIBOR
• Liquidity-risk premium
• Maturity-risk premium
• Mortgage bond
• Nominal (or quoted) interest rate
• Non-amortizing bond

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-100

Key Terms (cont.)

• Par or face value of a bond

• Private market transaction
• Premium bond
• Real rate of interest
• Recovery rate
• Secured bond
• Spread to Treasury bonds

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-101

Key Terms (cont.)

• Subordinated debentures
• Syndicate
• Term structure of interest rates
• Transaction loan
• Unsubordinated debentures
• Yield curve
• Yield to maturity
• Zero coupon bond

Copyright ©2014 Pearson Education, Inc. All rights reserved. 9-102