Evaluation of interest rate risk in Bank BTN in dealing with asset-liability mismatched maturity

HASIBUAN, Risma Ully, Prof.Dr. Mas'ud Machfoedz, MBA

2004 | Tesis | Magister Manajemen

Dalam operasional sehari-hari, Bank BTN menghimpun dana-dana jangka pendek – sebagai contoh deposito – and menyalurkan kreditkredit jangka panjang – seperti kredit perumahan – kepada para nasabah. Akibatnya, bila suku bunga berubah, deposito dengan jangka waktu pendek akan disesuaikan dengan suku bunga yang baru lebih dahulu daripada kredit yang berjangka waktu panjang. Sehingga, Bank mengalami ketidaksesuaian antara jatuh tempo asset dan liability-nya. Dengan demikian, Bank BTN menghadapi resiko suku bunga.. Resiko suku bunga didefinisikan sebagai resiko yang dialami lembaga-lembaga keuangan – termasuk bank – bila jangka waktu antara asset dan liability-nya tidak sesuai. Resiko ini merupakan kemungkinan perubahan yang tidak terduga terhadap pendapatan bunga bersih sebagai akibat dari perubahan yang tak terduga pada suku bunga. Untu mengukur resiko suku bunga, tiga model digunakan; the Repricing Gap, the Maturity Model and the Duration Model. Berdasarkan perhitungan dengan menggunakan tiga metode diatas, terlihat jelas bahwa Bank BTN menghadapi resiko suku bunga yang signifikan. Fluktuasi suku bunga akan membawa dampak yang sangat besar terhadap pendapatan bunga bersih bank, nilai pasar dari portfolio-nya dan modal. Akibatnya, Bank BTN harus mengurangi resiko suku bunganya mengingat perubahan suku bunga. Indonesia telah mengalami the pergerakan suku bunga yang sangat fluktuatif. Tesis ini memberikan sejumlah solusi alternatif bagi Bank BTN dalam upaya mengelola resiko suku bunga. Beberapa diantaranya adalah dengan diversifikasi produk, transaksi derivatif, dan sekuritisasi asset.

In daily operation, Bank BTN attracts short-term funds – for example deposits – and provides long-term loans – such as mortgages – to customers. Consequently, when interest rates change, short maturity deposits are adjusted to the new interest rate earlier than long maturity loans. Then, the Bank deals with mismatching between maturity of its assets and liabilities. In so doing, Bank BTN exposes itself to interest rate risk. Interest rate risk defined as the risk incurred by financial intermediaries – including banks – when the maturity of its assets and liabilities are mismatched. The risk is the possibility of unexpected changes in net interest income as a result of unexpected changes in interest rates. To measure the interest rate risk exposure, three models are used; the Repricing Gap, the Maturity Model and the Duration Model. Based on calculation using all three methods above, it is obvious that Bank BTN deals with significant interest rate risk. The fluctuation of interest rates will have considerable impact to bank’s net interest income, market values of its portfolio and equity. Hence, Bank BTN should reduce its interest rate risk due to interest rates changes. Indonesia has experienced the volatility of interest rates. This thesis proposes a number of alternative solutions for Bank BTN in order to manage interest rate risk. Some of them are product diversification, derivative transactions, and asset securitization.

Kata Kunci : Manajemen Perbankan, Resiko Suku Bunga, Interest Rate Risk, Asset-Liability Mismatched Maturity