Blackberry 2012 Annual Report Download - page 137

Research In Motion Limited
Notes to the Consolidated Financial Statements
In millions of United States dollars, except share and per share data, and except as otherwise indicated
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 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, forward points 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.
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