13. Investment Securities Held to Maturity

In mln of Russian Roubles 2011 2010
Corporate bonds 130,123 44,512
Federal loan bonds (OFZ bonds) 74,644 227,328
Municipal and subfederal bonds 79,613 86,052
Promissory notes 2,003 -
Foreign government bonds 133 299
Total investment securities held to maturity 286,516 358,191

Corporate bonds are 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 October 2023 (2010: from February 2011 to November 2017), coupon rates from 5% to 12% p.a. (2010: from 5% to 15% p.a.) and yield to maturity from 2% to 16% p.a. (2010: from 2% to 15% p.a.), depending on the type of bond issue. As at 31 December 2011 corporate bonds are mostly represented by debt securities issued by machine building, energy, oil and gas, metallurgy and telecommunication companies. As at 31 December 2010 corporate bonds are mostly represented by debt securities issued by energy and telecommunication companies. OFZ bonds are Russian Rouble denominated government securities issued by the Ministry of Finance of the Russian Federation. These bonds have maturity dates from August 2012 to January 2019 (2010: from June 2011 to January 2019), coupon rates from 0% to 12% p.a. (2010: from 0% to 12% p.a.) and yield to maturity from 6% to 9% p.a. (2010: from 4% to 7% p.a.), depending on the type of bond issue.

Municipal and subfederal bonds are interest-bearing securities denominated in Russian Roubles and issued by municipal and subfederal bodies of the Russian Federation. These bonds have maturity dates from March 2012 to December 2016 (2010: from December 2011 to September 2016), coupon rates from 8% to 18% p.a. (2010: from 8% to 18% p.a.) and yield to maturity from 6% to 10% p.a. (2010: from 6% to 8% p.a.), depending on the type of bond issue.

Promissory notes are interest-bearing securities denominated in Russian Roubles, issued by a Russian bank. The maturity dates are from January 2012 to March 2012; yield to maturity is 8% p.a.

Foreign government bonds are interest-bearing securities denominated in foreign currencies, issued by foreign governments. These bonds have maturity date from September 2014 to July 2020 (2010: from September 2014 to July 2020), coupon rate of 2% p.a. (2010: from 2% to 11% p.a.), depending on the type of bond issue, and yield to maturity — 11% p.a. (2010: 11% p.a.).

Analysis by credit quality of debt investment securities held to maturity outstanding at 31 December 2011 is as follows:

In mln of Russian Roubles Investment rating Speculative rating Not rated Total
Corporate bonds 27,355 48,172 54,596 130,123
Federal loan bonds (OFZ bonds) 74,644 - - 74,644
Municipal and subfederal bonds 63,351 16,262 - 79,613
Promissory notes - - 2,003 2,003
Foreign government bonds - 133 - 133
Total investment securities held to maturity 165,350 64,567 56,599 286,516

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
Federal loan bonds (OFZ bonds) 227,328 - - 227,328
Municipal and subfederal bonds 70,629 15,423 - 86,052
Corporate bonds 14,478 24,514 5,520 44,512
Foreign government bonds - 225 74 299
Total investment securities held to maturity 312,435 40,162 5,594 358,191

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

As at 31 December 2011 included in investment securities held to maturity are federal loan bonds (OFZ bonds) with carrying value of RR 36 721 mln (2010: 37 044 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.

At 31 December 2011 and at 31 December 2010 there are no renegotiated debt investment securities held to maturity that would otherwise be past due. All debt investment securities held to maturity are not past due.

The estimated fair value of investment securities held to maturity is disclosed in Note 34. Currency and maturity analyses of investment securities held to maturity are disclosed in Note 31. The information on related party balances is disclosed in Note 36.

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