9. Securities Designated at Fair Value through Profit or Loss

In mln of Russian Roubles 2011 2010
Federal loan bonds (OFZ bonds) 30,470 76,698
Foreign government bonds 203 -
Municipal and subfederal bonds 145 1,625
Corporate bonds - 4,648
Total debt securities designated at fair value through profit or loss 30,818 82,971
Corporate shares 21,175 23,904
Total securities designated at fair value through profit or loss 51,993 106,875

OFZ bonds are Russian Rouble denominated government securities issued by the Ministry of Finance of the Russian Federation. OFZ bonds have maturity dates from July 2012 to November 2021 (2010: from January 2011 to November 2021), coupon rates from 0% to 8% p.a. (2010: from 0% to 8% p.a.) and yield to maturity from 6% to 9% p.a. (2010: from 2% to 7% p.a.), depending on the type of bond issue.

Foreign government bonds included in the portfolio of securities designated at fair value through profit or loss are interest-bearing securities denominated in foreign currencies, issued by foreign governments, and are freely tradable internationally. These bonds have maturity in November 2014, coupon rate 8% p.a. and yield to maturity 8% p.a.

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 November 2013 to December 2014 (2010: from August 2011 to June 2015), coupon rates from 8% to 12% p.a. (2010: from 8% to 12% p.a.) and yield to maturity from 8% to 10% p.a. (2010: from 7% to 8% p.a.), depending on the type of bond issue.

Corporate bonds are interest-bearing securities denominated in Russian Roubles and foreign currencies, issued by large Russian companies. As at 31 December 2010 these bonds had maturity dates from February 2011 to December 2011, coupon rates from 5% to 9% p.a. and yield to maturity from 1% to 6% p.a., depending on the type of bond issue. Corporate shares are quoted and non-quoted shares of large Russian companies whose valuation was performed using the professional judgement of Management of the Group and valuation models using available market data. As at 31 December 2011 and 31 December 2010 corporate shares are mostly represented by oil and gas and construction companies.

The Group irrevocably designated the above securities that are not part of its trading book as at fair value through profit or loss. The securities meet the criteria for classification as at fair value through profit or loss because Management of the Group assesses the performance of these investments based on their fair values in accordance with the Policy of the Group for securities portfolios classification. Fair value of securities designated at fair value through profit or loss is based on their market quotations and valuation models with use of data both observable and not observable on the open market.

Securities designated at fair value through profit or loss are carried at fair value, which also reflects credit risk related write downs. Analysis by credit quality of debt securities designated at fair value through profit or loss 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) 30,470 - - 30,470
Foreign government bonds - 203 - 203
Municipal and subfederal bonds - 145 - 145
Total debt securities designated at fair value through profit or loss 30,470 348   30,818

Analysis by credit quality of debt securities at fair value through profit or loss 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) 76,698 - - 76,698
Foreign government bonds 4,233 - 415 4,648
Municipal and subfederal bonds 1,386 239 - 1,625
Total debt securities designated at fair value through profit or loss 82,317 239 415 82,971

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 securities designated at fair value through profit or loss are federal loan bonds (OFZ bonds) with fair value of RR 28 608 mln (2010: RR 31 520 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 31 December 2010 there are no renegotiated balances that would otherwise be past due. Debt securities designated at fair value through profit or loss are not collateralised. All debt securities designated at fair value through profit or loss are not past due.

Currency and maturity analyses of securities designated at fair value through profit or loss are disclosed in Note 31. The information on securities designated at fair value through profit or loss issued by related parties is disclosed in Note 36.

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