Analisis Repricing Gap Pada 4 Bank Umum Konvensional di Indonesia

ANINDITA TRINOVITA, Dr. Erni Ekawati, MBA

2016 | Tesis | S2 Manajemen

Penelitian ini bertujuan untuk menganalisis pengaruh kenaikan ataupun penurunan suku bunga BI (BI Rate) terhadap repricing gap Bank Pemerintah, Bank Asing, Bank Umum Swasta Nasional Devisa dan Non Devisa yang memiliki total aset terbesar pada posisi 31 Desember 2014. Adapun data yang digunakan dalam penelitian ini antara lain data time series bulanan dari BI Rate, rasio NIM, maturity profile dan suku bunga tertimbang aset maupun kewajiban masing-masing bank selama 2 tahun yakni tahun 2013 dan 2014. Berdasarkan hasil analisis repricing gap pada keempat bank yang menjadi sampel, ditemukan bahwa keempat bank tersebut memiliki komposisi RSA yang lebih besar dari RSL yakni RSA > RSL. Hal ini menandakan bahwa bank memiliki portfolio yang aset sensitive yaitu institusi keuangan atau bank akan terekspos reinvestment risk dimana penurunan dari suku bunga dalam periode tersebut akan menurunkan NII dari bank yakni pendapatan bunga akan menurun melebihi biaya bunga. Selama periode analisis, BI Rate mengalami peningkatan yang cukup signifikan dan hanya Bank Swasta Nasional Non Devisa yang mengalami penurunan NII ketika terjadi peningkatan suku bunga sedangkan ketiga bank lainnya mengalami peningkatan. Hal ini disebabkan Bank Swasta Nasional Non Devisa memiliki komposisi liabilitas yang berbeda jika dibandingkan dengan 3 bank lainnya yang menjadi sampel dalam penelitian ini dimana komposisi Dana Pihak Ketiga didominasi oleh Deposito. Deposito memiliki rate yang lebih tinggi jika dibandingkan dengan komponen DPK lainnya yakni Giro dan Tabungan sehingga suku bunga simpanan tertimbang tergolong tinggi.

The objective of this research is to analyze the influence of the increase or decrease of BI Rate on repricing gap of State Owned Bank, Foreign Bank, Private Foreign Exchange Bank and Private Non Foreign Exchange Bank which has the largest total assets as of December 31, 2014. This research using time series data such as BI rate, NIM ratios, maturity profile and weighted interest rate of assets and liabilities of each banks for 2 years such as 2013 and 2014. Based on the repricing gap analysis of the four banks in the sample, it was found that the four banks have a greater RSA composition compare to RSL (RSA> RSL). This indicates that those 4 banks have an asset sensitive portfolio in which the financial institution will be exposed to reinvestment risk as the decreasing of interest rates in that period will reduce the NII of the bank. In this situation, decreasing of interest income would exceeded the decreasing of the interest costs. During the analysis period, the BI Rate has increased significantly and only Private Non Foreign Exchange Bank, which has declining NII when there is an increase in interest rates while the other 3 banks have increased NII. This is due to Private Non Foreign Exchange Bank has a different composition of liabilities compared to 3 other banks in the sample in which the composition of third party funds are dominated by deposits. Deposits have a higher rate when compared to other components of liabilities such as current account and savings so that the weighted interest rate of deposit is high.

Kata Kunci : BI Rate, Net Interest Margin (NIM), Repricing Gap, Net Interest Income (NII)