Blackberry 2011 Annual Report Download - page 73

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The Company corroborates the fair values provided by the independent third party for non-U.S. government sponsored enterprise
notes by comparing those provided against fair values determined by the Company utilizing quoted prices from vendors for identical
securities, or the market prices of similar securities adjusted for observable inputs such as differences in maturity dates, interest rates
and credit ratings. The non-U.S. government sponsored enterprise notes held by the Company are primarily issued by investment banks
backed by European or Latin American countries and all have investment grade ratings.
The Company corroborates the fair values provided by the independent third party for asset backed securities by comparing those
provided against fair values determined by the Company utilizing quoted prices from vendors for identical securities, or the market
prices of similar securities adjusted for different observable inputs such as differences in swap rates and spreads, credit ratings, pricing
changes relative to asset class, priority in capital structure, principal payment windows, and maturity dates. All asset backed securities
held by the Company are issued by government or consumer agencies and are primarily backed by commercial automobile and
equipment loans and leases. All asset backed securities held by the Company have investment grade ratings.
Fair values for all investment categories provided by the independent third party that are in excess of 0.5% from the fair values
determined by the Company are communicated to the third party for consideration of reasonableness. The independent third party
considers the information provided by the Company before determining whether a change in the original pricing is warranted.
The fair values of corporate notes/bonds classified as Level 3, which represent investments in securities for which there is not an
active market, are estimated via cash flow pricing methodology using unobservable inputs such as actual monthly interest and principal
payments received, maturity rates of holdings, historical prices realized on sales, defaults experienced, maturity extension risk, pricing
for similar securities, collateral value, and recovery value for similar securities. The corporate notes/bonds classified as Level 3 held by
the Company consist of securities received in a payment-in-kind distribution from a former structured investment vehicle. The fair value
includes an impairment charge of $4 million recognized in fiscal 2008.
The fair value of auction rate securities is estimated using a discounted cash flow model incorporating maturity dates, contractual
terms and assumptions concerning liquidity and credit adjustments of the security sponsor to determine timing and amount of future
cash flows. The fair value includes an impairment charge of $6 million recognized in fiscal 2011 as discussed in note 4.
The fair value of other investments is represented by the trust claim on LBIE bankruptcy assets and is estimated using unobservable
inputs such as estimated recovery values and prices observed on market activity for similar LBIE bankruptcy claims. The fair value
includes an impairment charge of $11 million recognized in fiscal 2011 as discussed in note 4.
The fair value of currency forward contracts and currency option contracts has been determined using notional and exercise values,
transaction rates, market quoted currency spot rates and interest rate yield curves. For currency forward contracts and currency option
contracts, the estimates presented herein are not necessarily indicative of the amounts that the Company could realize in a current
market exchange. Changes in assumptions could have a significant effect on the estimates.
60 RESEARCH IN MOTION ANNUAL REPORT 2011
RESEARCH IN MOTION LIMITED
Notes to the Consolidated Financial Statements
continued
In millions of United States dollars, except share and per share data, and except as otherwise indicated