Sberbank - Annual Report 2010 - 9 Securities Designated at Fair Value through Profit or Loss

Home Financial Report Financial Statements Notes 9 Securities Designated at Fair Value through Profit or Loss

# 9 Securities Designated at Fair Value through Profit or Loss

In millions of Russian Roubles | 2010 | 2009
--- | --- | ---
Federal loan bonds (OFZ bonds) | 76,698 | 94,251
Corporate bonds | 4,648 | 7,153
Municipal and subfederal bonds | 1,625 | 3,880
Total debt securities designated at fair value through profit or loss | 82,971 | 105,284
Corporate shares | 23,904 | 19,155
Total securities designated at fair value through profit or loss | 106,875 | 124,439

OFZ bonds are Russian Rouble denominated government securities issued by the Ministry of Finance of the Russian Federation. OFZ bonds have maturity dates from January 2011 to November 2021 (2009: from January 2010 to November 2021), coupon rates from 0% to 8% p.a. (2009: from 0% to 13% p.a.) and yield to maturity from 2% to 7% 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 companies. These bonds have maturity dates from February 2011 to December 2011 (2009: from January 2010 to May 2012), coupon rates from 5% to 9% p.a. (2009: from 5% to 17% p.a.) and yield to maturity from 1% to 6% p.a. (2009: from 5% to 28% 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 August 2011 to June 2015 (2009: from July 2010 to June 2015), coupon rates from 8% to 12% p.a. (2009: from 8% to 14% p.a.) and yield to maturity from 7% to 8% p.a. (2009: from 9% to 22% p.a.), depending on the type of bond issue.

Corporate shares are quoted and non-quoted shares of large Russian companies valuation of which was performed using professional judgement of Management of the Group and valuation models with use of available market data. As at 31 December 2010 and 31 December 2009 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 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 2010 is as follows:

In millions of Russian Roubles | Investment rating | Speculative rating | Not rated | Total
--- | --- | --- | --- | ---
Federal loan bonds (OFZ bonds) | 76,698 |  |  | 76,698
Corporate 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

In millions of Russian Roubles | Investment rating | Speculative rating | Not rated | Total
--- | --- | --- | --- | ---
Federal loan bonds (OFZ bonds) | 94,251 |  |  | 94,251
Corporate bonds | 4,644 | 1,254 | 1,255 | 7,153
Municipal and subfederal bonds | 3,325 | 555 | - | 3,880
Total debt securities designated at fair value through profit or loss | 102,220 | 1,809 | 1,255 | 105,284

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

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 securities designated at fair value through profit or loss are federal loan bonds (OFZ bonds) with fair value of RR 31 520 million (2009: RR 39 658 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.

At 31 December 2010 and 31 December 2009 there are no renegotiated debt securities designated at fair value through profit or loss 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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