12. Investment Securities Available for Sale

In mln of Russian Roubles 2011 2010
Federal loan bonds (OFZ bonds) 410,978 348,353
Corporate bonds 320,307 275,563
Municipal and subfederal bonds 47,558 50,219
Russian Federation Eurobonds 23,599 4,950
Foreign government bonds 21,956 17,899
Bonds of the Bank of Russia - 433,585
Total debt investment securities available for sale 824,398 1,130,569
Corporate shares 60,131 80,352
Total investment securities available for sale 884,529 1,210,921

OFZ bonds are Russian Rouble denominated government securities issued by the Ministry of Finance of the Russian Federation. These bonds have maturity dates from January 2012 to February 2036 (2010: from January 2011 to February 2036), coupon rates from 0% to 12% p.a. (2010: from 0% to 12% p.a.) and yield to maturity from 3% to 9% p.a. (2010: from 2% to 10% p.a.), depending on the type of bond issue.

Corporate bonds are interest-bearing and non-interest-bearing securities denominated in Russian Roubles and foreign currencies, issued by large Russian and CIS companies. These bonds have maturity dates from February 2012 to November 2025 (2010: from February 2011 to November 2025), coupon rates from 0% to 16% p.a. (2010: from 1% to 18% p.a.) and yield to maturity from 1% to 33% p.a. (2010: from 2% to 34% p.a.), depending on the type of bond issue. As at 31 December 2011 corporate bonds are mostly represented by debt securities issued by oil and gas, transportation, telecommunication, metallurgy, energy, service companies and banks. As at 31 December 2010 corporate bonds are mostly represented by debt securities issued by banks, oil and gas, metallurgy, mining, transportation and telecommunication companies.

Municipal and subfederal bonds are interest-bearing securities denominated in Russian Roubles and Euros and issued by municipal and subfederal bodies of the Russian Federation. These bonds have maturity dates from May 2012 to June 2022 (2010: from April 2011 to June 2022), coupon rate from 5% to 18% p.a. (2010: from 5% to 18% p.a.) and yield to maturity from 5% to 17% p.a. (2010: from 2% to 9% p.a.), depending on the type of bond issue.

Russian Federation Eurobonds are interest-bearing securities denominated in US Dollars, issued by the Ministry of Finance of the Russian Federation, and are freely tradable internationally. These bonds 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.).

Foreign government bonds are interest-bearing and non-interest-bearing securities denominated in Russian Roubles and foreign currencies, issued by foreign governments. These bonds have maturity dates from February 2012 to October 2027 (2010: from February 2011 to October 2020), coupon rates from 0% to 20% p.a. (2010: from 4% to 20% p.a.) and yield to maturity from 4% to 22% p.a. (2010: from 2% to 20% p.a.), depending on the type of bond issue.

Bonds of the Bank of Russia are zero-coupon securities denominated in Russian Roubles, issued by the Central Bank of the Russian Federation, and are freely tradable on the domestic market. As at 31 December 2010 these bonds had maturity date in March 2011 and yield to maturity of 4% p.a.

Corporate shares are quoted and non-quoted shares of large Russian and CIS companies. As at 31 December 2011 corporate shares are mostly represented by oil and gas and finance companies. As at 31 December 2010 corporate shares are mostly represented by oil and gas, energy, communication, transport, finance and metallurgy companies. As at 31 December 2011 investment securities available for sale in the amount of RR 1 320 mln (2010: 0) represent securities collateralised under sale and repurchase agreements with other banks where the counterparty has no right to sell or repledge. Deposits in the amount of RR 1 154 mln (2010: 0) received under these sale and repurchase agreements are included in Due to other banks. Refer to Note 16.

Investment securities available for sale are carried at fair value which also reflects credit risk related write downs. Fair value of investment securities available for sale is based on their market quotations and valuation models with use of data both observable and unobservable on the open market. According to the assessment of the Group as at 31 December 2011 impairment of investment securities available for sale comprised RR 1 095 mln (2010: RR 39 mln) and was recognised in profit or loss. The unrealised gains/(losses) on revaluation of investment securities available for sale other than impairment loss are recognised in other comprehensive income and presented in equity as fair value reserve for investment securities available for sale as at 31 December 2011 in the cumulative loss of RR 7 459 mln (2010: gain of RR 24 431 mln). As at 31 December 2011 included in investment securities available for sale are past due fully impaired corporate bonds with nominal value of RR 96 mln (2010: 91 mln).

None of the investment securities available for sale were renegotiated.

Analysis by credit quality of debt investment securities available for sale 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) 410,978 - - 410,978
Corporate bonds 163,944 139,989 16,374 320,307
Municipal and subfederal bonds 28,776 18,475 307 47,558
Russian Federation Eurobonds 23,599 - - 23,599
Foreign government bonds 8,218 13,738 - 21,956
Total debt investment securities available for sale 635,515 172,202 16,681 824,398

Analysis by credit quality of debt investment securities available for sale outstanding at 31 December 2010 is as follows:

In mln of Russian Roubles Investment rating Speculative rating Not rated Total
Bonds of the Bank of Russia 433,585 - - 433,585
Federal loan bonds (OFZ bonds) 348,353 - - 348,353
Corporate bonds 140,463 100,485 34,615 275,563
Municipal and subfederal bonds 32,769 17,314 136 50,219
Foreign government bonds 6,377 11,448 74 17,899
Russian Federation Eurobonds 4,950 - - 4,950
Total debt investment securities available for sale 966,497 129,247 34,825 1,130,569

As at 31 December 2010 included in not rated corporate bonds are bonds with fair value of RR 287 mln with default rating.

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

As at 31 December 2011 included in investment securities available for sale are federal loan bonds (OFZ bonds) with fair value of RR 203 920 mln (2010: RR 42 498 mln) and Eurobonds of the Russian Federation with fair value of RR 5 mln (2010: RR 5 mln) pledged on the special accounts with the Bank of Russia as collateral against overnight interbank borrowings that the Group attracts on a regular basis from the Bank of Russia. Refer to Notes 32 and 35.

Currency and maturity analyses of investment securities available for sale are disclosed in Note 31. The information on related party balances is disclosed in Notes 35 and 36.

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