8 Trading Securities
In millions of Russian Roubles | 2010 | 2009 |
---|---|---|
Federal loan bonds (OFZ bonds) | 32,037 | 31,492 |
Corporate bonds | 14,931 | 18,823 |
Municipal and subfederal bonds | 11,484 | 13,882 |
Russian Federation Eurobonds | 2,935 | 24,935 |
Foreign government bonds | 1,994 | - |
State domestic loan bonds (OVGVZ) | 16 | 15 |
Total debt trading securities | 63,397 | 89,147 |
Corporate shares | 2,771 | 1,875 |
Total trading securities | 66,168 | 91,022 |
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 February 2036 (2009: from January 2010 to February 2036), coupon rates from 3% to 12% p.a. (2009: from 0% to 13% p.a.) and yield to maturity from 2% to 9% 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 September 2028 (2009: from January 2010 to September 2028), coupon rates from 5% to 18% p.a. (2009: from 4% to 19% p.a.) and yield to maturity from 3% to 18% 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 rates from 5% to 18% p.a. (2009: from 6% to 19% p.a.) and yield to maturity from 5% to 9% p.a. (2009: from 7% to 39% 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 (2009: from July 2018 to March 2030), coupon rates from 5% to 13% p.a. (2009: from 8% to 13% p.a.) and yield to maturity from 5% to 6% p.a. (2009: from 5% to 6% p.a.), depending on the type of bond issue.
Foreign government bonds are interest-bearing securities denominated in Russian Roubles and foreign currencies, issued by foreign governments, and are freely tradable internationally. These bonds have maturity dates from December 2012 to March 2021, coupon rates from 6% to 9% p.a. and yield to maturity from 4% to 19% p.a., depending on the type of bond issue.
State domestic loan bonds (OVGVZ) are interest-bearing securities denominated in US Dollars and issued by the Ministry of Finance of the Russian Federation. The bonds have maturity date in May 2011 (2009: in May 2011); carry an annual coupon of 3% p.a. (2009: 3%p.a.) and yield to maturity 2% p.a. (2009: 3% p.a.).
As at 31 December 2010 corporate shares are mostly represented by quoted shares of large Russian metallurgy and oil and gas companies. As at 31 December 2009 corporate shares are mostly represented by oil and gas, metallurgy and transport companies.
Fair value of trading securities is based on their market quotations and valuation models with use of market data.
Trading securities are carried at fair value which reflects credit risk related write downs. As trading securities are carried at fair value based on observable market data, the Group does not analyse or monitor impairment indicators separately for these securities.
Analysis by credit quality of debt trading securities outstanding at 31 December 2010is as follows:
In millions of Russian Roubles | Investment rating | Speculative rating | Not rated | Total |
---|---|---|---|---|
Federal loan bonds (OFZ bonds) | 32,037 | 32,037 | ||
Corporate bonds | 5,255 | 7,369 | 2,307 | 14,931 |
Municipal and subfederal bonds | 1,042 | 10,309 | 133 | 11,484 |
Russian Federation Eurobonds | 2,935 | - | - | 2,935 |
Foreign government bonds | 347 | 1,647 | - | 1,994 |
State domestic loan bonds (OVGVZ) | 16 | - | - | 16 |
Total debt trading securities | 41,632 | 19,325 | 2,440 | 63,397 |
As at 31 December 2010 included in not rated corporate bonds are bonds with fair value of RR 152 million with default rating.
Analysis by credit quality of debt trading securities outstanding at 31 December 2009is as follows:
In millions of Russian Roubles | Investment rating | Speculative rating | Not rated | Total |
---|---|---|---|---|
Federal loan bonds (OFZ bonds) | 31,492 | 31,492 | ||
Russian Federation Eurobonds | 24,935 | - | - | 24,935 |
Corporate bonds | 8,014 | 5,536 | 5,273 | 18,823 |
Municipal and subfederal bonds | 1,172 | 12,509 | 201 | 13,882 |
State domestic loan bonds (OVGVZ) | 15 | - | - | 15 |
Total debt trading securities | 65,628 | 18,045 | 5,474 | 89,147 |
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 trading securities are federal loan bonds (OFZ bonds) with fair value of RR 14 715 million (2009: RR 18 105 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. As at 31 December 2009 included in trading securities are Eurobonds of the Russian Federation with fair value of RR 6 348 million also pledged on the special accounts with the Bank of Russia as collateral. Refer to Notes 32 and 35.
At 31 December 2010 and 31 December 2009 there were no renegotiated trading debt securities that would otherwise be past due. Trading debt securities are not collateralised. All trading debt securities are not past due.
Currency and maturity analyses of trading securities are disclosed in Note 31. The information on trading securities issued by related parties is disclosed in Note 36.