Sberbank - Annual Report 2010 - 12 Investment Securities Available for Sale

Home Financial Report Financial Statements Notes 12 Investment Securities Available for Sale

# 12 Investment Securities Available for Sale

In millions of Russian Roubles | 2010 | 2009
--- | --- | ---
Bonds of the Bank of Russia | 433,585 | 221,080
Federal loan bonds (OFZ bonds) | 348,353 | 213,540
Corporate bonds | 275,563 | 244,142
Municipal and subfederal bonds | 50,219 | 87,948
Foreign government bonds | 17,899 | 6,979
Russian Federation Eurobonds | 4,950 | 54,480
Total debt investment securities available for sale | 1,130,569 | 828,169
Corporate shares | 80,352 | 17,806
Total investment securities available for sale | 1,210,921 | 845,975

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. These bonds have maturity date in March 2011 (2009: in March 2010 and June 2010), yield to maturity of 4% p.a. (2009: from 6% to 7% p.a.).

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 2011 to February 2036 (2009: from January 2010 to February 2036), coupon rates from 0% to 12% p.a. (2009: from 0% to 13% p.a.) and yield to maturity from 2% to 10% p.a. (2009: from 5% to 14% 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 and CIS companies. These bonds have maturity dates from February 2011 to November 2025 (2009: from January 2010 to August 2037), coupon rates from 1% to 18% p.a. (2009: from 4% to 19% p.a.) and yield to maturity from 2% to 34% p.a. (2009: from 3% to 39% p.a.), depending on the type of bond issue.

Municipal and subfederal bonds are interest-bearing securities denominated in Russian Roubles and Euro and issued by municipal and subfederal bodies of the Russian Federation. These bonds have maturity dates from April 2011 to June 2022 (2009: from March 2010 to June 2017), coupon rate from 5% to 18% p.a. (2009: from 5% to 18% p.a.) and yield to maturity from 2% to 9% p.a. (2009: from 3% to 26% p.a.), depending on the type of bond issue.

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 2011 to October 2020 (2009: from January 2010 to September 2014), coupon rates from 4% to 20% p.a. (2009: from 0% to 20% p.a.) and yield to maturity from 2% to 20% p.a. (2009: from 2% to 14% 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 datesfrom July 2018 to March 2030 (2009: from July 2018 to March 2030), coupon ratesfrom 8% to 13% p.a. (2009: from 8% to 13% p.a.) and yield to maturity from 5% to6% p.a. (2009: from 5% to 6% p.a.).

Corporate shares are quoted and non-quoted shares of large Russian and CIS 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 2009 corporate shares are mostly represented by oil and gas, metallurgy, communication and transport companies.

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 not observable on the open market. According to the assessment of the Group as at 31 December 2010 impairment of investment securities available for sale comprised RR 39 million (2009: RR 2 274 million) 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 2010 in the cumulativegain of RR 24 431 million (2009: loss of RR 598 million). As at 31 December 2010included in investment securities available for sale are past due fully impaired corporate bonds with nominal value of RR 91 million (2009: nil). 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 2010 is as follows:

In millions 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 million with default rating.

Analysis by credit quality of debt investment securities available for sale outstanding at 31 December 2009is as follows:

In millions of Russian Roubles | Investment rating | Speculative rating | Not rated | Total
--- | --- | --- | --- | ---
Corporate bonds | 151,227 | 61,229 | 31,686 | 244,142
Bonds of the Bank of Russia | 221,080 | - | - | 221,080
Federal loan bonds (OFZ bonds) | 213,540 | - | - | 213,540
Municipal and subfederal bonds | 59,275 | 28,403 | 270 | 87,948
Russian Federation Eurobonds | 54,480 | - | - | 54,480
Foreign government bonds | 4,148 | 2,831 | - | 6,979
Total debt investment securities available for sale | 703,750 | 92,463 | 31,956 | 828,169

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

As at 31 December 2010 included in investment securities available for sale are federal loan bonds (OFZ bonds) with fair value of RR 42 498 million (2009: RR 65 299 million) and Eurobonds of the Russian Federation with fair value of RR 5 million (2009: RR 13 768 million) 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.

## History

- 11 Securities Pledged under Repurchase Agreements
- 10 Loans and Advances to Customers
- 9 Securities Designated at Fair Value through Profit or Loss
- 8 Trading Securities
- 7 Cash and Cash Equivalents

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