The Uptrend of Currency Risk Premium

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1 WEEKLY REPORT D E B T RESEARCH 12 AUGUST 2015 Indonesia Sovereign Rating S & P Moody's Fitch BB+ Baa3 BBB Key Market Indicators as of 11Aug15 BI Rate 7.50% JCI Index 4,623 IDR 13,607 Inflation(yoy) Jul % Domestic Bonds Outstanding Gov't Bonds as of 07Aug15 Corp Bonds as of 31Jul15 Previous Week Trading Volume Government Bonds Corporate Bonds Benchmark Yield as of 11Aug15 FR0069 (5 year) 8.149% FR0070 (10 year) 8.545% FR0071 (15 year) 8.974% FR0068 (20 year) 8.999% Source : Bloomberg, Mid YTM Government Bonds Indices as of 11Aug15 Price Index (Bloomberg : DGBIIDPR) Yield Index (Bloomberg : DGBIIDYD) 8.63% TR Index (Bloomberg : DGBIIDTR) Calendar of Event 13Aug15 US Initital Jobless Claim (Survey : 270K; Prior : 270K) 13Aug15 Germany CPI MoM 2010=100 (Survey : 0.2%; Prior : 0.2%) 18Aug15 Bank Indonesia Reference Interest Rate (Survey : NA; Prior : 7.50%) IDR 1,380.7tn IDR 248.6tn IDR 71.03tn IDR 1.78tn The Uptrend of Currency Risk Premium Government Bond Yields moved sideways Government bond yields tended to move sideways during the first week in August. The Danareksa Government Bonds Yield Index declined by only 2bps from 8.55% to 8.53% last week. Looking at the movements since the beginning of the year, the government bonds yield index is up by 52bps as of August 7, However, compared to the same time last year, the government bonds yield index is down by 31bps Foreign investors were net sellers During the month of July 2015, foreign investors were net sellers. According to the Ministry of Finance, net selling of government bonds by foreign investors during the month reached IDR3.9 trillion. However, compared to the end of 2014, the foreign holdings of government bonds still recorded an increase of IDR72.34 trillion. Meanwhile in the Corporate bonds market, foreign investors remained as net sellers over the last 4 months with net selling reaching IDR1.71 trillion. IDR Trillion IDR Trillion Yield Obligasi Bergerak Mendatar Kinerja pasar obligasi Pemerintah cenderung mendatar di minggu pertama bulan Agustus. Danareksa Government Bond Yield Index mencatatkan penurunan tipis sebesar 2 bps dari 8,55% menjadi 8,53% selama minggu lalu. Namun bila dilihat dari awal tahun, yield indeks obligasi Pemerintah sampai dengan tanggal 7 Agustus 2015 mengalami peningkatan sebesar 52bps. Sementara itu, selama periode yang sama tahun lalu, yield indeks turun sebesar 31bps. Investor asing mencatatkan net sell Selama Juli 2015, pergerakan investor asing di Pasar obligasi didominasi oleh tekanan jual. Berdasarkan data dari Kementerian Keuangan, investor asing mencatatkan net sell di pasar obligasi Pemerintah selama Juli 2015 sebesar Rp3,9 triliun. Namun jika dibandingkan dengan akhir tahun 2014, kepemilikan asing masih mengalami peningkatan sebesar Rp72,34 triliun. Sementara di pasar obligasi Korporasi, investor asing terus mencatatkan net sell selama 4 bulan terakhir dengan total mencapai Rp1,71 triliun. Foreign Movement in Gov't Bonds Market Foreign Net Buy/Sell Gov't Bonds Net Issuance Jan 14 Feb 14 Mar 14 Apr 14 May 14 Jun 14 Jul 14 Aug 14 Sep 14 Oct 14 Nov 14 Dec 14 Jan 15 Feb 15 Mar 15 Apr 15 May 15 Jun 15 Jul 15 Source : MoF, Danreksa Estimates Foreign Movement in Corporate Bonds Market Foreign Net Buy/Sell Corporate Bonds Net Issuance Jan 14 Feb 14 Mar 14 Apr 14 May 14 Jun 14 Jul 14 Aug 14 Sep 14 Oct 14 Nov 14 Dec 14 Jan 15 Feb 15 Mar 15 Apr 15 May 15 Jun 15 Jul 15 Analyst Rifki Rizal ext 3404 rifkir@danareksa.com Please read important disclosure at the back of this report Source : KSEI, Danreksa Estimates Secondary market activity increased Total trading reached IDR71 trillion last week, or up 38% compared to trading in the previous week which reached only IDR51.5 trillion. Government bonds with short tenors continued to dominate the trading last week, accounting for 44.27% of the total trading in government bonds, or IDR31.45 trillion. Meanwhile, last week s trading in corporate bonds was down by IDR692 billion to IDR1.88 trillion with the average size of each transaction reaching IDR6 billion. The banking sector accounted for the bulk of the trading (38.42% of the total trading), followed by the Property and Construction sector (23.16% of the total trading). Peningkatan aktivitas pasar sekunder Total volume transaksi obligasi Pemerintah selama minggu lalu tercatat Rp71 triliun, atau tumbuh 38% dari transaksi minggu sebelumnya yang hanya mencapai Rp51,5 triliun. Obligasi Pemerintah tenor pendek masih mendominasi transaksi selama minggu lalu dengan proporsi transaksi sebesar 44,27% atau Rp31,45 triliun dari total transaksi. Sementara itu, volume transaksi obligasi korporasi selama minggu lalu turun Rp692 miliar menjadi Rp1,88 triliun dan ratarata sebesar Rp6 miliar per transaksi. Sektor Banking menjadi sektor dengan total transaksi terbesar yaitu sebesar 38,42%, diikuti oleh sektor Property & Construction dengan proporsi sebesar 23,16% dari total transaksi.

2 10 14 August 2015 WEEKLY REPORT Upward Trend in the Currency Risk Premium After trending down in January 2015, the currency risk premium has since trended higher until now. By the end of July 2015, the currency risk premium had reached a level of 422 bps, or up by 101 bps from its level at the end of January The uptrend in the currency risk premium reflects the persistent weakening of the rupiah exchange rate. As of July 31, 2015, the Rupiah/US dollar exchange rate had weakened by 8.68% (yeartodate). Other than the Rupiah, other currencies in the ASEAN region had also weakened: the Malaysian Ringgit (MYR/USD) by 9.34% and the Thai Baht (THB/USD) by 6.5% in the same period. Spread INDON 10 year Over UST 10 year Tren peningkatan Currency Risk Premium Setelah berada dalam tren penurunan selama Januari 2015, currency risk premium berada dalam tren peningkatan hingga saat ini. Per akhir Juli 2015, currency risk premium berada di level 422bps, naik 101bps dari posisinya di akhir Januari Peningkatan currency risk premium ini salah satunya disebabkan oleh pelemahan nilai tukar Rupiah. Per 31 Juli 2015, nilai tukar Rupiah terhadap Dollar AS (USDIDR) telah mengalami pelemahan sebesar 8,68% (yeartodate). Selain Rupiah, beberapa mata uang di Asean juga mengalami pelemahan. Ringgit Malaysia (USDMYR) dan Baht Thailand (USDTHB) juga mengalami pelemahan masingmasing sebesar 9,34% dan 6,5% dalam periode yang sama. Spread IDR Gov't Bond 10 year over INDON 10 year 9.5% 8.5% 7.5% 6.5% 5.5% 4.5% 3.5% Jun14 Jul14 Aug14 Sep14 Currency Risk Premium (RHS) INDON 10Y SUN 10Y Oct14 Nov14 Dec14 Jan15 Feb15 Mar15 Apr15 May15 Jun15 Jul15 Aug ,000 13,500 13,000 12,500 12,000 11,500 Jun14 Jul14 Aug14 Sep14 Oct14 USDIDR Nov14 Dec14 Jan15 Feb15 Mar15 Apr15 May15 Jun15 Jul15 Aug15 Currency Risk Premium (RHS) Source: US Treasury, Bloomberg, Danareksa Estimate Source: Bloomberg, Danareksa Estimate 2

3 10 14 August 2015 WEEKLY REPORT APPENDICES Appendix 1. Government Bonds Trading 3 7 August 2015 Last Trade Last Done Vol (IDR Tenor Bonds Maturity Coupon Tenor Freq Yield Date Price Bn) Class 3Aug15 SPN Aug < 1yr 6Aug15 SPN Aug < 1yr 7Aug15 SPN Sep < 1yr 6Aug15 SPN Sep < 1yr 6Aug15 SPNS Sep < 1yr 6Aug15 SR004 21Sep < 1yr 5Aug15 SPN Oct < 1yr 7Aug15 SPNS Oct < 1yr 7Aug15 ORI009 15Oct < 1yr 7Aug15 SPN Nov < 1yr 7Aug15 SR005 27Feb < 1yr 7Aug15 SPN Mar < 1yr 4Aug15 VR Mar < 1yr 7Aug15 FR May < 1yr 7Aug15 PBS008 15Jun < 1yr 6Aug15 FR Sep yr 5yr 7Aug15 ORI010 15Oct yr 5yr 7Aug15 SR006 5Mar , yr 5yr 7Aug15 FR Jul yr 5yr 7Aug15 ORI011 15Oct yr 5yr 7Aug15 SR007 11Mar , yr 5yr 7Aug15 FR May yr 5yr 3Aug15 FR Aug yr 5yr 7Aug15 FR Apr , yr 5yr 6Aug15 FR Sep yr 5yr 7Aug15 FR Nov yr 10yr 6Aug15 FR Jun yr 10yr 7Aug15 FR Jul , yr 10yr 4Aug15 PBS002 15Jan yr 10yr 7Aug15 FR May , yr 10yr 7Aug15 FR Jun , yr 10yr 5Aug15 FR Jul yr 10yr 6Aug15 FR May yr 10yr 4Aug15 FR Jul yr 10yr 7Aug15 FR Mar , yr 10yr 7Aug15 FR Sep yr 10yr 7Aug15 FR Sep > 10yr 7Aug15 FR Sep > 10yr 7Aug15 FR May > 10yr 4Aug15 FR Jul > 10yr 3Aug15 FR Feb > 10yr 7Aug15 FR May > 10yr 7Aug15 FR Mar , > 10yr 7Aug15 FR Aug > 10yr 7Aug15 FR May > 10yr 7Aug15 FR Jul , > 10yr 7Aug15 FR Jun , > 10yr 7Aug15 FR May > 10yr 7Aug15 FR Mar , > 10yr 7Aug15 FR May , > 10yr 6Aug15 FR Jul > 10yr 7Aug15 FR Apr > 10yr Modified Duration Source: Danareksa, BEI 3

4 10 14 August 2015 WEEKLY REPORT APPENDICES Appendix 2. Corporate Bonds Trading 3 7 August 2015 Last Trade Last Done Vol (IDR Coupon Tenor Rating Freq Date Bonds Maturity Price Bn) Yield 6Aug15 ASDF02ACN4 9Nov idaaa Aug15 BWPT01 16Nov idbbb Aug15 BTPN03B 22Dec AA(idn) Aug15 MDLN02A 27Dec ida Aug15 SMFP02ACN5 29Dec idaa Aug15 NISP01CCN1 19Feb AA(idn) Aug15 NISP01ACN2 20Feb AA(idn) Aug15 ASDF01BCN3 22Feb idaaa Aug15 BFIN02ACN2 29Mar A+(idn) Aug15 FIFA01BCN2 4Apr idaaa Aug15 BBIA01A 11Apr AAA(idn) Aug15 BCAF01DCN1 9May idaaa Aug15 IMFI01CCN1 11May ida Aug15 MFIN02ACN1 18May ida Aug15 BEXI01BCN3 23May idaaa Aug15 BIIF02A 19Jun AA+(idn) Aug15 TAFS01ACN2 21Jun idaa Aug15 BTPN02ACN1 4Jul AA(idn) Aug15 JMPD12Q 6Jul idaa Aug15 BBRI01ACN1 7Jul idaaa Aug15 ASDF02ACN5 12Jul idaaa Aug15 APLN01B 25Aug ida Aug15 ADMF02BCN2 24Oct idaaa Aug15 BNII01BCN1 6Dec idaaa Aug15 ISAT07B 8Dec idaaa Aug15 ADMF01CCN1 16Dec idaaa Aug15 BNGA01B 23Dec idaaa Aug15 NISP01BCN2 10Feb AA(idn) Aug15 ASDF01CCN1 21Feb idaaa Aug15 FIFA01BCN3 14Mar idaaa Aug15 IMFI01BCN4 22Apr ida Aug15 IMFI01CCN2 8May ida Aug15 TUFI01ACN2 23May idaa Aug15 INDF06 31May idaa Aug15 SMII01A 11Jun idaa Aug15 MEDC03 19Jun idaa Aug15 JMPD13R 21Jun idaa Aug15 BSDE01BCN1 4Jul idaa Aug15 BNGA01SB 8Jul AA(idn) Aug15 PPLN09A 10Jul idaaa Aug15 APLN02 15Aug ida Aug15 ADMF01CCN3 27Sep idaaa Aug15 BNGA01BCN1 30Oct idaaa Aug15 PNBN04SB 9Nov idaa Aug15 WSKT01CN1 18Nov ida Aug15 ISAT01ACN1 12Dec idaaa Aug15 DNRK01ACN2 16Dec ida Aug15 AGII02 18Dec A(idn) Aug15 SIAGII02 18Dec A(idn) Aug15 PNMP01BCN1 19Dec ida Aug15 NISP01CCN2 10Feb AA(idn) Aug15 ADMF02DCN1 1Mar idaaa Aug15 ADHI01ACN2 15Mar ida Aug15 MEDC01CN2 15Mar idaa Aug15 BBIA01B 1Apr AAA(idn) Aug15 FIFA02BCN1 24Apr idaaa Aug15 AMRT01ACN2 8May AA(idn) Aug15 ISAT01BCN2 4Jun idaaa Aug15 BSDE01CN2 5Jun idaa Aug15 ROTI01CN1 11Jun idaa Modified Duration Source: Danareksa, BEI 4

5 10 14 August 2015 WEEKLY REPORT APPENDICES Appendix 2. Corporate Bonds TradingTrading 3 7 August 2015 (Cont'd) Last Trade Last Done Vol (IDR Bonds Maturity Coupon Tenor Rating Freq Date Price Bn) Yield 5Aug15 ROTI01CN1 11Jun idaa Aug15 APLN01CN1 27Jun ida Aug15 BNLI02SB 28Jun idaa Aug15 GIAA01CN1 5Jul BBB+(idn) Aug15 MDLN01ACN1 7Jul ida Aug15 BBTN02ACN1 8Jul idaa Aug15 PPLN01ACN2 10Dec idaaa Aug15 SMRA01CN1 11Dec ida Aug15 SMII01B 11Jun idaa Aug15 INDF07 13Jun idaa Aug15 TAXI01 24Jun ida Aug15 ISAT08A 27Jun idaaa Aug15 SMRA01CN2 10Oct ida Aug15 DNRK01BCN2 16Dec ida Aug15 APLN01CN3 19Dec ida Aug15 BNLI01SBCN2 19Dec idaa Aug15 AKRA01B 21Dec idaa Aug15 BEXI02CCN5 13Mar idaaa Aug15 ROTI01CN2 18Mar idaa Aug15 BVIC03SB 27Jun ida Aug15 BNGA02SB 23Dec AA(idn) Aug15 APOL02A 30Jun Aug15 ISAT08B 27Jun idaaa Aug15 TLKM01BCN1 23Jun idaaa Modified Duration Source: Danareksa, BEI 5

6 10 14 August 2015 WEEKLY REPORT RESEARCH TEAM Debt Research (62 21) Fax No. (62 21) Head of Debt Research Yudistira Slamet ext Credit Analysts Amir A. Dalimunthe ext Market Analyst Rifki Rizal ext Ayesha Ardelia ext Production & Database Management Eka Nuraini Melissa Hartono ext ext Debt Capital Market Division Debt Capital Market Div. (62 21) Fax No. (62 21) / 25 Head of Debt Capital Market Breisga Nawangsidi breisga.nawangsidi@danareksa.com ext Debt Capital Market Team Setyo H. Purnomo setyohp@danareksa.com 62 21) ext Romi Mulyadi romi@danareksa.com ext Rina Rimawati D rina@danareksa.com ext Indra Figrachanda indraf@danareksa.com ext Putrika Mayadipta putrikam@danareksa.com ext Tia Aprianti tia.aprianti@danareksa.com ext Hernita Dwi Ariesandhy hernitada@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