Transition to Lower Yields

Transkripsi

1 WEEKLY REPORT D E B T R E S E A R C H 12 APR 2016 Transition to Lower Yields Indonesia s Sovereign Rating S & P Moody s Fitch BB+ Baa3 BBB- Key Market Indicator as of 11-Apr-16 BI Rate 6.75% JCI 4,847 IDR Inflation (y-o-y)-mar % Domestic Bonds Outstanding Gov t Bonds as of 08-Apr-16 IDR 1,574.1 bn Corp Bonds as of 31-Mar-16 IDR bn Previous Week Trading Volume Government Bonds IDR tn Corporate Bonds IDR 4.40 tn Benchmark Yield as of 11-Apr-16 FR0053 (5 year) 7.291% FR0056 (10 year) 7.528% FR0073 (15 year) 7.799% FR0072 (20 year) 7.858% Source : Bloomberg, Mid YTM Government Bond Indices as of 11-Apr-16 Price Index (Bloomberg : DGBIIDPR) Yield Index (Bloomberg : DGBIIDYD) 7.59% TR Index (Bloomberg : DGBIIDTR) Calendar of Event 14-Apr-16 US Initial Jobless Claims SA (Survey : 270K; Prior : 267K) 15-Apr-16 China GDP Constant Price YoY (Survey : 6.7%; Prior : 6.8%) Strong Demand from Investors Danareksa Government Bond Yield Index declined by 10bps over the last week and closed the week at level 7.64% (the lowest level since May 2015). As of 8 April 2016, YTD total return reached 10.2%, higher than 6.65% of total return during the same period last year. This bullish trend was caused by market expectation towards low inflation, leading to trigger another BI Rate cut. Despite of BI Rate declining by 75bps to 6.75% in 1Q16; BI Rate is still expected to decline a further 25bps to 50bps until the end of This expectation has built strong demand from both foreign and domestic investors. Foreign ownership in IDR Government bonds increased IDR55.9 trillion from the end of 2015 to IDR613.9 trillion as of 8 April This is the highest level in nominal terms. From a domestic view, arising demand for Government bonds was influenced by FSA Regulation No.1/POJK.05/2016 about Investing in Government Securities for Non-Bank Financial Institutions. The regulation stated that for some non-bank financial institutions, such as Pension Funds and Insurance, are obligated to invest in Government securities with a portion minimum 30% of its total investment funds. As of 8 April 2016, Pension Funds ownership in IDR Government bonds stood at IDR56.2 trillion, or grew 12.7% from the end of During the same period last year, Pension Funds ownership only increased 3.45%. In line with Pension Funds ownership, Insurance ownership in IDR Government bonds also significantly increased this year. Insurance ownership rose by 13% to IDR193.9 trillion at the end of last week, while during the same period last year, Insurance holdings only grew 3.8%. Demand Kuat dari Investor Danareksa Government Bond Yield Index mencatatkan penurunan sebesar 10bps selama sepekan terakhir dan menutup akhir minggu lalu di level 7,64% (terendah sejak Mei 2015). Per 8 April 2016, YTD total return telah mencapai 10,2%, lebih tinggi dibandingkan dengan total return di periode yang sama di tahun 2015 yaitu sebesar 6,65%. Tren bullish ini disebabkan oleh ekspektasi pasar terhadap rendahnya inflasi yang dapat memicu penurunan BI Rate. Meski BI Rate telah mengalami penurunan sebesar 75bps menjadi 6,75% selama kuartal I tahun 2016, namun BI Rate diprediksi masih dapat mengalami penurunan 25bps-50bps hingga akhir tahun. Ekspektasi tersebut menimbulkan demand yang kuat dari investor asing maupun domestik. Per 8 April 2016, kepemilikan asing di obligasi IDR Pemerintah berada di level tertinggi secara nominal yaitu Rp613,9 triliun, naik Rp55,4 triliun dari akhir tahun Dari sisi domestik, demand terhadap obligasi Pemerintah timbul akibat Peraturan OJK No. 1/POJK.05/2016 mengenai Investasi Surat Berharga Negara bagi Lembaga Jasa Keuangan Non-Bank. Dalam peraturan tersebut beberapa embaga keuangan non-bank, seperti Dana Pensiun dan Asuransi, diwajibkan menempatkan investasi pada obligasi Pemerintah dengan porsi minimum 30% dari total dana investasi. Per 8 April 2016, total kepemilikan Dana Pensiun di obligasi Pemerintah sebesar Rp56,2 triliun, tumbuh 12,7% dari posisinya di akhir 2015, sedangkan pada periode yang sama di tahun 2015, kepemilikan Dana Pensiun hanya naik 3,45%. Hal yang sama terjadi pada kepemilikan asuransi di obligasi Pemerintah. Kepemilikan asuransi di obligasi Pemerintah naik 13% menjadi Rp193,9 triliun di akhir minggu lalu, sedangkan pada periode yang sama di tahun 2015, kepemilikan asuransi hanya tumbuh 3,8%. 21-Apr-16 Bank Indonesia Reference Interest Rate (Survey : 6.75%; Prior : 6.75%) Exhibit 1. IDR Government Bond Ownership Growth 60% Foreign ownership Insurance Pension Fund 50% Analyst Rifki Rizal (62 21) ext rifkir@danareksa.com 40% 30% 20% 10% 0% -10% -20% -30% -40% YTD as of 8 Apr 15 YTD as of 8 Apr 16 Please read important disclosure at the back of this report Sources : MoF Bloomberg Ticker: DFMJ

2 Yield Curve Flattening Declines in Government bonds yield curve was dominated by long-tenor bonds (above 15-yrs) with an average decline of 17bps. Meanwhile, short (below 5-yrs) and mid-tenor (5- to 15-yrs) bonds declined by 4bps and 11bps respectively, resulting in the yield slope (spread between yield curve 10-yrs and 2-yrs) declining from 63bps (1Apr16) to 53bps (8Apr16) or flattening the yield curve. This is in line with increasing demand from Insurance and Pension Funds that gave higher appetite for long-tenor bonds. With expectation of Bank Indonesia still has room to cut BI Rate this month, the rally in Government bonds yield is expected to continue. Nonetheless, the IDR bonds market is in the middle of rebalancing process to lower yields, thus prompting short-term volatility due to market mechanism. Yield Curve yang Lebih Datar Penurunan yield curve obligasi Pemerintah selama sepekan terakhir didominasi oleh tenor panjang (di atas 15-tahun) dengan rata-rata penurunan sebesar 17bps. Sementara ratarata penurunan untuk tenor pendek (kurang dari 5-tahun) dan tenor menengah (5- hingga 15-tahun) sebesar 4bps dan 11bps. Hal tersebut menyebabkan yield slope (selisih antara yield curve 10- dan 2-tahun) mengalami penurunan dari 63bps (1Apr16) menjadi 53bps (8Apr16), atau yield curve yang lebih flat. Hal ini sejalan dengan meningkatnya demand dari Asuransi dan Dana Pensiun yang memiliki appetite lebih tinggi terhadap obligasi tenor panjang. Dengan adanya ekspektasi Bank Indonesia masih memiliki ruang untuk memangkas BI Rate di bulan ini, yield diperkirakan masih berada dalam tren penurunan. Namun saat ini pasar obligasi berada dalam proses rebalancing menuju tingkat yield yang lebih rendah. Oleh karena itu, harga obligasi yang relatif tinggi berpotensi menimbulkan volatilitas jangka pendek akibat mekanisme pasar. 2

3 APPENDICES Appendix 1. Government Bonds Trading 4 Apr - 8 Apr 2016 Last Trade Bonds Maturity Coupon Tenor Last Freq Vol Yield Tenor Modified Data Done (IDR bn) Class Duration Price 8-Apr-16 SPN May < 1yr - 4-Apr-16 FR May < 1yr Apr-16 SPN Jun < 1yr - 6-Apr-16 PBS Jun < 1yr Apr-16 SPN Jul < 1yr - 6-Apr-16 SPNS Jul < 1yr - 7-Apr-16 SPN Aug < 1yr - 7-Apr-16 SPN Sep < 1yr - 8-Apr-16 SPNS Sep < 1yr - 8-Apr-16 FR Sep < 1yr Apr-16 ORI Oct < 1yr - 7-Apr-16 VR Oct < 1yr Apr-16 SPN Dec < 1yr - 4-Apr-16 SPN Jan < 1yr - 8-Apr-16 SR006 5-Mar , < 1yr - 8-Apr-16 FR Apr , yr - 5yr Apr-16 FR Jul yr - 5yr Apr-16 ORI Oct yr - 5yr - 8-Apr-16 PBS Jan yr - 5yr Apr-16 SR Mar , yr - 5yr - 8-Apr-16 FR May yr - 5yr Apr-16 FR Sep yr - 5yr Apr-16 ORI Oct , yr - 5yr - 8-Apr-16 SR Mar , yr - 5yr - 8-Apr-16 FR Apr , yr - 5yr Apr-16 VR Dec , yr - 5yr Apr-16 VR Jul , yr - 5yr Apr-16 PBS Sep yr - 5yr Apr-16 FR Nov yr - 5yr Apr-16 FR Jun yr - 10yr Apr-16 FR Jul , yr - 10yr Apr-16 FR May yr - 10yr Apr-16 FR Jun yr - 10yr Apr-16 FR Jul yr - 10yr Apr-16 FR May yr - 10yr Apr-16 FR Jul yr - 10yr Apr-16 PBS Aug yr - 10yr Apr-16 FR Aug yr - 10yr Apr-16 FR Mar , yr - 10yr Apr-16 FR Sep yr - 10yr Apr-16 FR Sep yr - 10yr Apr-16 FR Sep , > 10yr Apr-16 FR May > 10yr Apr-16 FR Jul > 10yr Apr-16 FR Feb > 10yr Apr-16 FR May > 10yr Apr-16 FR Mar , > 10yr Apr-16 FR Aug > 10yr Apr-16 FR May , > 10yr Apr-16 FR Jul > 10yr Apr-16 PBS Nov > 10yr Apr-16 FR Jun > 10yr Apr-16 FR May > 10yr Apr-16 FR Mar , > 10yr Apr-16 FR May , > 10yr Apr-16 FR May > 10yr Apr-16 FR Apr > 10yr Apr-16 FR Feb > 10yr Sources: Danareksa Estimates, BEI 3

4 APPENDICES Appendix 3. Corporate Bonds Trading 4 Apr - 8 Apr 2016 Last Trade Bonds Maturity Coupon Tenor Rating Last Freq Vol Yield Modified Data Done (IDR bn) Duration Price 6-Apr-16 WOMF01ACN3 12-Apr AA(idn) Apr-16 PPGD02ACN3 17-May idaa Apr-16 MFIN02ACN1 18-May ida Apr-16 ISAT01ACN2 14-Jun AAA(idn) Apr-16 BIIF02A 19-Jun AA+(idn) Apr-16 TAFS01ACN2 21-Jun idaa Apr-16 PPLN08C 21-Jun idaaa Apr-16 APLN01B 25-Aug ida Apr-16 FIFA02ACN2 21-Sep idaaa Apr-16 BEXI02ACN6 26-Sep idaaa Apr-16 FAST01 6-Oct idaa Apr-16 IMFI02ACN2 16-Nov ida Apr-16 ASDF02BCN2 26-Nov idaaa Apr-16 SIKISAT04B 8-Dec AAA(idn) Apr-16 ISAT07B 8-Dec idaaa Apr-16 BMRI01 11-Dec idaaa Apr-16 SIEXCL01ACN1 12-Dec BB+(idn) Apr-16 ADMF01CCN1 16-Dec idaaa Apr-16 BNLI01BCN1 24-Dec idaaa Apr-16 SMFP03CN3 3-Jan idaa Apr-16 PPLN11A 12-Jan idaaa Apr-16 TAFS01BCN1 13-Feb idaa Apr-16 ASDF01CCN1 21-Feb idaaa Apr-16 BEXI02ACN7 1-Mar idaaa Apr-16 ADMF03ACN3 12-Mar idaaa Apr-16 FIFA01BCN3 14-Mar AAA(idn) Apr-16 SMFP03ACN4 21-Mar idaa Apr-16 IMFI02ACN3 26-Mar ida Apr-16 CTRR01A 2-Apr A(idn) Apr-16 ASDF02BCN3 4-Apr idaaa Apr-16 IMFI01BCN4 22-Apr ida Apr-16 SMKMYOR02 9-May idaaa Apr-16 ADMF02BCN3 14-May idaaa Apr-16 TUFI01ACN2 23-May idaa Apr-16 ISAT05B 29-May idaaa Apr-16 INDF06 31-May idaa Apr-16 WOMF01BCN1 25-Jun AA(idn) Apr-16 BNGA01SB 8-Jul AA(idn) Apr-16 PPLN09A 10-Jul idaaa Apr-16 ADMF01CCN3 27-Sep idaaa Apr-16 SSIA01B 6-Nov ida Apr-16 PNBN04SB 9-Nov idaa Apr-16 SSMM01B 30-Nov ida Apr-16 SIISAT01ACN1 12-Dec idaaa Apr-16 ISAT01ACN1 12-Dec idaaa Sources: Danareksa Estimates, BEI 4

5 APPENDICES Appendix 4. Corporate Bonds Trading 4 Apr - 8 Apr 2016 (Cont d) Last Trade Bonds Maturity Coupon Tenor Rating Last Freq Vol Yield Modified Data Done (IDR bn) Duration Price 5-Apr-16 BSBR01SB 13-Jan ida Apr-16 NISP01CCN2 10-Feb idaaa Apr-16 ADMF02DCN1 1-Mar idaaa Apr-16 MEDC01CN2 15-Mar idaa Apr-16 ADHISM1CN2 15-Mar ida Apr-16 BBIA01B 1-Apr AAA(idn) Apr-16 AISA01 5-Apr ida Apr-16 IMFI02BCN1 24-Apr ida Apr-16 AMRT01ACN2 8-May AA-(idn) Apr-16 MFIN02CCN1 8-May ida Apr-16 ISAT01BCN2 4-Jun idaaa Apr-16 BSDE01CN2 5-Jun idaa Apr-16 APLN01CN1 27-Jun ida Apr-16 ADMF03ACN1 30-Jun idaaa Apr-16 GIAA01CN1 5-Jul BBB+(idn) Apr-16 DILD01B 9-Jul ida Apr-16 FIFA02BCN2 11-Sep idaaa Apr-16 BEXI02BCN6 16-Sep idaaa Apr-16 WSKT01ACN2 16-Oct ida Apr-16 SIEXCL01BCN1 2-Dec BB+(idn) Apr-16 ISAT01ACN3 8-Dec idaaa Apr-16 SMRA01CN1 11-Dec ida Apr-16 SMFP03BCN4 11-Mar idaa Apr-16 IMFI02BCN3 16-Mar ida Apr-16 FIFA02BCN3 5-Apr idaaa Apr-16 MYOR04 9-May idaa Apr-16 BNLI01SBCN1 15-Jun idaa Apr-16 TAXI01 24-Jun ida Apr-16 ISAT08A 27-Jun idaaa Apr-16 BSLT05 8-Oct ida Apr-16 BEXI02CCN3 16-Oct AAA(idn) Apr-16 BNII01SBCN2 31-Oct AA(idn) Apr-16 ADMF02CCN4 12-Nov idaaa Apr-16 ISAT01BCN1 12-Dec idaaa Apr-16 BNLI01SBCN2 19-Dec idaa Apr-16 PNBN01SBCN1 20-Dec idaa Apr-16 AKRA01B 21-Dec idaa Apr-16 BEXI02CCN5 13-Mar idaaa Apr-16 IMFI02CCN3 16-Mar ida Apr-16 AMRT01BCN2 8-May AA-(idn) Apr-16 BNGA02SB 23-Dec AA(idn) Apr-16 BNLI02SBCN1 24-Dec idaa Apr-16 BBRI01CCN2 4-Feb idaaa Apr-16 BEXI02CCN7 19-Feb idaaa Apr-16 ISAT01CCN1 12-Dec idaaa Apr-16 ANTM01BCN1 14-Dec ida Apr-16 ISAT01DCN1 12-Dec idaaa Apr-16 ISAT01DCN3 8-Dec idaaa Sources: Danareksa Estimates, BEI 5

6 FIXED INCOME TEAM Director of Debt Capital Market Budi Susanto ext Telp No Fax No Head of Debt Research Yudistira Slamet ext DEBT RESEARCH TEAM Credit Analyst Market Analyst Amir A. Dalimunthe Rifki Rizal ext ext Ayesha Ardelia ext Production & Database Management Melissa Hartono Eka Nuraini ext ext DEBT CAPITAL MARKET TEAM Telp No Fax No /25 Head of Debt Capital Market Breisga Nawangsidi ext Debt Sales & Brokerage Debt Trading & Investment Setyo H. Purnomo Romi Mulyadi ext ext Rina Rimawati D Indra Figrachanda rina@danareksa.com ext indraf@danareksa.com ext Putrika Mayadipta putrikam@danareksa.com ext Hernita Dwi Ariesandhy hernitada@danareksa.com ext Citra Isramij P. citra.isramij@danareksa.com ext Khalid Abdurrahman khalid.abdurrahman@danareksa.com ext DISCLAIMER The information contained in this report has been taken from sources which we deem reliable. However, none of P.T. Danareksa Sekuritas and/or its affiliated companies and/or their respective employees and/or agents makes any representation or warranty (express or implied) or accepts any responsibility or liability as to, or in relation to, the accuracy or completeness of the information and opinions contained in this report or as to any information contained in this report or any other such information or opinions remaining unchanged after the issue thereof. We expressly disclaim any responsibility or liability (express or implied) of P.T. Danareksa Sekuritas, its affiliated companies and their respective employees and agents whatsoever and howsoever arising (including, without limitation for any claims, proceedings, action, suits, losses, expenses, damages or costs) which may be brought against or suffered by any person as a results of acting in reliance upon the whole or any part of the contents of this report and neither P.T. Danareksa Sekuritas, its affiliated companies or their respective employees or agents accepts liability for any errors, omissions or misstatements, negligent or otherwise, in the report and any liability in respect of the report or any inaccuracy therein or omission therefrom which might otherwise arise is hereby expresses disclaimed. The information contained in this report is not be taken as any recommendation made by P.T. Danareksa Sekuritas or any other person to enter into any agreement with regard to any investment mentioned in this document. This report is prepared for general circulation. It does not have regards to the specific person who may receive this report. In considering any investments you should make your own independent assessment and seek your own professional financial and legal advice. 6