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20 October 2023

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As BI raise its 7DRRR to 6%, we project SUN 10Y yield to reach 7.4%

Bank Indonesia menaikkan suku bunga acuan 7DRRR diluar dugaan menjadi 6% (Sep: & Cons: & SSI: 5.75%). Menurut kami, BI mengambil keputusan ini karena hendak mencegah depresiasi Rupiah hingga IDR 16,000 per USD. Selain itu, BI mencoba mengantisipasi pelemahan Rupiah lebih lanjut dengan menerbitkan SVBI dan SUVBI (Sekuritas dan Sukuk Valas Bank Indonesia) yang serupa dengan instrumen SRBI. Menurut perhitungan kami, BI harus menawarkan suku bunga diskonto 5.3-5.9% agar dapat bersaing dengan yield US treasury bills pada 5.35-5.55%. Walaupun demikian, kami berpendapat bahwa kenaikan suku bunga BI hanya dapat menahan laju pelemahan Rupiah tetapi tidak dapat menghentikan karena depresiasi Rupiah disebabkan oleh aksi jual 10Y UST dengan target yield 5% yang menyebar ke pasar SBN. Kenaikan suku bunga BI berisiko menambah upside risk kenaikan yield 10Y INDOGB dan capital outflow dari pasar SBN.

Bank Indonesia mengejutkan pasar dengan menaikkan suku bunga 7DRRR (7-Day Reverse Repo Rate) 1X25 bps menjadi 6% (Sep: & Cons: & SSI: 5.75%). BI juga menaikkan suku bunga deposit facility dan lending facility masing-masing menjadi 5.25% dan 6.75%. Kenaikan suku bunga ini dilakukan untuk menahan depresiasi Rupiah yang terjadi sejak Juni lalu dengan puncak tertinggi siang ini di level IDR 15,850 per USD. Sebelumnya, kami memperkirakan BI masih akan memanfaatkan cadangan devisa sebesar USD 8bn untuk intervensi langsung di pasar valuta asing hingga bulan November seperti pada bulan Maret hingga Mei lalu (lihat Chart 1). Akan tetapi, kenaikan suku bunga hari ini mengindikasikan BI tidak ingin mengambil risiko depresiasi Rupiah hingga IDR 16,000 per USD.

Selain menaikkan suku bunga, BI juga mengumumkan rencana penerbitan Sekuritas (SVBI) dan Sukuk Valas Bank Indonesia (SUVBI) yang serupa dengan SRBI untuk menjaga kestabilan Rupiah. Sejak penerbitan perdana pada tanggal (15/9), BI sudah menerbitkan SRBI IDR 120.4tn dengan tingkat penawaran IDR 135.3tn (lihat Chart 2). Agar imbal hasil SVBI dan SUVBI menarik bagi investor, BI harus menawarkan instrumen tersebut di suku bunga diskonto 5.3-5.9% (1-12 bulan) dengan acuan yield US treasury bills (3-12 bulan) 5.35-5.55%.

Untuk meminimalkan dampak negatif kenaikan suku bunga terhadap kredit perbankan maupun pertumbuhan PDB, BI merilis sejumlah aturan relaksasi makroprudensial. Aturan ini merupakan ekspansi dari relaksasi sebelumnya di bidang hilirisasi pertambangan, pertanian, perkebunan, dan perikanan maupun UMKM, green economy, perumahan, pariwisata dan ekonomi kreatif. Relaksasi tambahan ini meliputi downpayment 0% untuk kredit kendaraan bermotor dan property. Sementara itu, rasio countercyclical capital buffer dan intermediasi makroprudensial dipertahankan di level masing-masing 0% dan 84-94%.

Menurut kami, naiknya suku bunga BI bisa mengurangi laju depresiasi Rupiah, tetapi tidak menghentikannya karena penyebab fenomena ini adalah aksi jual di pasar US treasury hingga yield 10Y UST mencapai 5%. Untungnya yield 10Y UST sudah mencapai 4.91% semalam (18/10), sehingga upside risk dari 10Y UST sudah lebih terbatas.

Akan tetapi, yield spread antara 10Y INDOGB Vs. UST masih terlalu rendah di 197 bps (rata-rata 2H23 229 bps), sehingga kami memprediksi kenaikan yield 10Y INDOGB masih akan berlanjut minimal 30 bps menjadi 7.2%. Kenaikan suku bunga BI 7DRRR hari ini berisiko menambah upside risk yield 10Y INDOGB di akhir tahun menjadi 7.4% (lihat Chart 3). Hal ini bisa memperpanjang jangka waktu arus keluar modal asing (foreign outflow) di pasar obligasi yang sampai saat ini sudah mencapai USD 2.34bn (lihat Chart 4). Menurut kami, masih ada risiko yang signifikan terhadap depresiasi Rupiah menuju IDR 16,000 per USD.

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