11. Securities Pledged under Repurchase Agreements

In mln of Russian Roubles 2011 2010
Trading securities pledged under repurchase agreements    
Corporate shares 34,311 -
Russian Federation Eurobonds 7,045 12,150
Corporate bonds 6,102 -
Federal loan bonds (OFZ bonds) 440 -
Investments in mutual funds 312 -
Total trading securities pledged under repurchase agreements 48,210 12,150
Securities designated at fair value through profit or loss pledged under repurchase agreements    
Federal loan bonds (OFZ bonds) 8,060 -
Corporate shares 1,282 -
Total securities designated at fair value through profit or loss pledged under repurchase agreements 9,342 -
Investment securities available for sale pledged under repurchase agreements    
Corporate bonds 30,773 13,484
Russian Federation Eurobonds 29,384 47,027
Federal loan bonds (OFZ bonds) 25,551 -
Corporate shares 20,126 8,276
Foreign government bonds 275 556
Total investment securities available for sale pledged under repurchase agreements 106,109 69,343
Investment securities held to matu rity pledged under repurchase agreements    
Federal loan bonds (OFZ bonds) 136,425 -
Corporate bonds 753 -
Total investment securities held to maturity pledged under repurchase agreements 137,178 -
Total securities pledged under repurchase agreements 300,839 81,493

Securities pledged under repurchase agreements represent securities pledged under sale and repurchase agreements, where the counterparty has the right, by contract or custom, to sell or repledge. As at 31 December 2011, included in Due to corporate customers, are deposits in the amount of RR 38 090 mln (31 December 2010: RR 5 968 mln) received under sale and repurchase agreements with legal entities. Refer to Note 17. Deposits in the amount of RR 220 863 mln (31 December 2010: RR 61 803 mln) received under sale and repurchase agreements with other banks are included in Due to other banks. Refer to Note 16.

OFZ bonds included in the portfolio of trading securities, securities designated at fair value through profit or loss, investment securities available for sale and investment securities held to maturity pledged under repurchase agreements are Russian Rouble denominated government securities issued by the Ministry of Finance of the Russian Federation. OFZ bonds have maturity dates from August 2012 to January 2019, coupon rates from 0% to 12% p.a. and yield to maturity from 6% to 9% p.a., depending on the type of bond issue.

Corporate bonds included in the portfolio of trading securities, investment securities available for sale and investment securities held to maturity pledged under repurchase agreements have maturity dates from March 2012 to March 2031 (2010: from January 2012 to November 2019), coupon rates from 5% to 13% p.a. (2010: from 6% to 10% p.a.) and yield to maturity from 2% to 16% p.a. (2010: from 2% to 8% p.a.), depending on the type of bond issue. As at 31 December 2011 corporate bonds pledged under repurchase agreements are mostly represented by debt securities issued by oil and gas companies, telecommunication companies and banks. As at 31 December 2010 corporate bonds pledged under repurchase agreements are mostly represented by debt securities issued by a bank, oil and gas and metallurgy companies.

Russian Federation Eurobonds included in the portfolio of trading securities and investment securities available for sale pledged under repurchase agreements have maturity dates from July 2018 to March 2030 (2010: from July 2018 to March 2030), coupon rates from 7% to 13% p.a. (2010: from 8% to 13% p.a.) and yield to maturity from 4% to 6% p.a. (2010: from 5% to 6% p.a.), depending on the type of bond issue. Foreign government bonds included in the portfolio of investment securities available for sale pledged under repurchase agreements are interest-bearing securities denominated in foreign currencies, issued by foreign governments, and are freely tradable internationally. These bonds have maturity from February 2012 to December 2012 (2010: in October 2012), coupon rate from 10% to 20% p.a. (2010: 20% p.a.) and yield to maturity from 15% p.a. to 24% p.a. (2010: 14% p.a.).

As at 31 December 2011 corporate shares included in the portfolio of trading securities, securities designated at fair value through profit or loss and investment securities available for sale pledged under repurchase agreements are mostly represented by quoted shares of Russian oil and gas companies. As at 31 December 2010 corporate shares pledged under repurchase agreements are mostly represented by quoted shares of Russian oil and gas and metallurgy companies.

Investments in mutual funds included in the portfolio of trading securities pledged under repurchase agreements are on-demand investments in a stock market index fund nominated in Russian Roubles.

Analysis by credit quality of debt securities pledged under repurchase agreements outstanding at 31 December 2011 is as follows:

In mln of Russian Roubles Investment rating Speculative rating Not rated Total
Federal loan bonds (OFZ bonds) 170,476     170,476
Corporate bonds 24,902 11,500 1,226 37,628
Russian Federation Eurobonds 36,429 - - 36,429
Foreign government bonds - 275 - 275
Total debt securities pledged under repurchase agreements 231,807 11,775 1,226 244,808

Analysis by credit quality of debt securities pledged under repurchase agreements outstanding at 31 December 2010 is as follows:

In mln of Russian Roubles Investment rating Speculative rating Not rated Total
Russian Federation Eurobonds 59,177 - - 59,177
Corporate bonds 7,620 5,864 - 13,484
Foreign government bonds - 556 - 556
Total debt securities pledged under repurchase agreements 66,797 6,420 - 73,217

Credit quality in the tables above is based on the rating scale developed by the international rating agencies.

All corporate bonds pledged under repurchase agreements are not past due. None of the securities pledged under repurchase agreements were renegotiated.

Currency and maturity analyses of securities pledged under repurchase agreements are disclosed in Note 31. The information on related party balances is disclosed in Note 36.

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