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08 September 2023

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SRBI dan financial deepening pasar SPN dan SPNS (Indonesia government bills)

SRBI dan financial deepening pasar SPN dan SPNS (Indonesia government bills)

 

Bank Indonesia berencana menerbitkan Sertifikat Rupiah Bank Indonesia (SRBI) mulai tanggal 15 September sebagai instrumen operasi moneter berbasis SBN yang mereka miliki menggantikan reverse repo SBN serta operation twist. SRBI akan diterbitkan dengan sistim diskonto seperti Surat Perbendaharaan Negara (SPN) dengan tenor 1 minggu hingga 12 bulan, dan dapat diperdagangkan oleh investor institusional bank dan non-bank maupun individual di pasar sekunder. Kami mencoba membandingkan SRBI dengan instrumen SPN dan US treasury bills karena adanya kemiripan tenor maupun penggunaan sistem diskonto.

 

Kami melihat rencana Bank Indonesia untuk merilis SRBI (Sertifikat Rupiah Bank Indonesia) sebagai langkah positif untuk pengembangan pasar SPN (Indonesia government bills) yang proporsinya sangat rendah, yakni 0.65% dari total SBN berdenominasi Rupiah (Vs. proporsi US treasury bills sebesar 18.98% dari total outstanding US treasury). Rendahnya proporsi SPN disebabkan oleh kurangnya suplai yang terjadi sejak awal pandemi. Walaupun tingkat permintaan SPN di lelang dapat mencapai IDR 430-490tn, Kementerian Keuangan hanya merilis suplai SPN baru sebesar IDR 75-86tn. Menurut estimasi kami, BI dapat mengisi kekurangan ini secara bertahap. Pertama-tama melalui lelang tanggal 15 dan 20 September mendatang sebesar IDR 10-20tn dengan diskonto 6.3-6.5% yang setara dengan JIBOR 1M atau yield 10Y INDOGB saat ini. Berdasarkan jumlah reserve repo SUN yang tersedia di pasar, BI dapat meningkatkan jumlah SRBI hingga IDR 500tn.

 

Ketertinggalan pasar SPN (Indonesia government bills) terlihat dari besaran proporsi yang hanya mencapai 0.65% dari total SBN berdenominasi Rupiah (atau 0.5% total SBN berdenominasi Rupiah dan valuta asing) dengan market size IDR 35.9tn. Besaran proporsi ini jauh lebih rendah dibandingkan proporsi US treasury bills sebesar 18.98% dari total outstanding UST dengan market size USD 4.8tn (lihat SSI fixed income summary).

 

Rendahnya proporsi SPN (Indonesia government bills) disebabkan kurangnya suplai yang terjadi semenjak awal masa pandemi COVID-19 hingga saat ini. Selama periode tersebut, nilai penerbitan SPN dan SPNS melalui lelang berkisar antara IDR 75-86tn. Padahal tingkat permintaan di pasar primer bisa mencapai IDR 430-490tn, kecuali pada 2021 (IDR 257.6tn). Kekurangan suplai SPN di pasar fixed income dalam negeri akan semakin akut tahun ini karena rilis suplai baru yang semakin terbatas, yaitu sebesar IDR 43.3tn untuk 8M23 (lihat Chart 1).

 

Menurut estimasi kami, penerbitan SRBI bisa mengisi kekurangan suplai SPN dan SPNS hingga IDR 500tn. Estimasi dibuat berdasarkan jumlah ketersediaan reverse repo SUN di pasar. Sejak awal pandemi, BI menambah jumlah reverse repo SUN dari IDR 200tn menjadi lebih dari IDR 500tn (lihat Chart 2). Selain itu, BI juga dapat memanfaatkan kepemilikan SUN saat ini sebesar IDR 885.4tn per akhir Agustus (lihat Chart 3]. Meskipun demikian, kami memprediksi BI akan mengganti reverse repo SUN dengan SRBI secara bertahap dengan proyeksi penerbitan baru sebesar IDR 10-20tn dan suku bunga diskonto 6.3-6.5%, yang setara dengan JIBOR 1M atau yield 10Y INDOGB saat ini, melalui lelang pada tanggal 15 dan 20 September mendatang (lihat Chart 4).

 

Apabila tingkat permintaan pada lelang SRBI cukup tinggi, ada kemungkinan BI akan menindaklanjuti penerbitan SRBI dengan produk serupa dalam valuta asing. Hal ini dijabarkan oleh BI dalam media briefing terpisah mengenai SRBI.

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