IMPLEMENTATION OF IMMUNIZATION STRATEGY IN MANAGING BOND PORTFOLIO IN TELKOM PENSION FUNDS

• Main Author: Andrian
• Format: Theses
• Language: Indonesia
• Subjects: Manajemen umum
• Online Access: https://digilib.itb.ac.id/gdl/view/48120
• Institution: Institut Teknologi Bandung

Telkom's pension fund as a legal entity that manages and runs programs that promise pension benefits to participants who are retired PT Telekomunikasi Indonesia Tbk as Founders who were appointed as Telkom's permanent employees before July 1, 2002, must pay pension benefits on time, in the right amount and in the right recipients. Referring to Law Number 11 of 1992 concerning Pension Funds, Minister of Finance Regulation Number 113 / PMK.05 / 2005 concerning Amendment to Decree of the Minister of Finance Number 510 / KMK.06 / 2002 concerning Funding and Solvency of Pension Funds and POJK Number 8 / POJK .05 / 2018 concerning Pension Fund Funding, Telkom Pension Funds are required to maintain an adequate fund adequacy ratio (RKD) which is a percentage between the fair value of assets and defined benefit obligation (present value of pension benefit obligations). If the RKD <100%, the Pension Fund experiences a deficit that must be met through additional contributions by the Founder within 36 (thirty six) months, whereas if the RKD> 100%, the Pension Fund experiences a surplus and Telkom as the Founder can provide normal contributions to maintain the level of the surplus. At present the trend of market interest rates has fallen in line with the downward trend in global yields and regional yields due to slowing global economic growth due to co-19 growth and aging populations in developing countries. Referring to POJK Number 8 / POJK.05 / 2018 regarding Funding, that to ensure the continuity of pension benefit payments for participants while retiring, funding for pension programs needs to be organized based on the principle of prudence by the Pension Fund to avoid underfunded. One strategy to maintain fund adequacy ratio is by duration matching (bond immunization) which will be to minimize interest rate risk by adjusting the average asset duration to the average duration of the obligation. The immunization strategy on the Dapen Telkom bond portfolio is carried out by analyzing the sensitivity of the change in duration due to the increase and decrease in market interest rates between the current portfolio and the proposed portfolio. Proposed portfolios can immunize assets against possible increases and decreases in liabilities due to changes in market interest rates. Portfolio restructuring using the proposed portfolio is carried out with 5 activities in a period of approximately 12 months.