Blackberry 2015 Annual Report Download - page 87

BlackBerry Limited
Notes to the Consolidated Financial Statements
In millions of United States dollars, except share and per share data, and except as otherwise indicated
12
As at February 28, 2015 and March 1, 2014, the Company had no investments with continuous unrealized losses.
The Company engages in limited securities lending to generate fee income. Collateral, which exceeds the market value of
the loaned securities, is retained by the Company until the underlying security has been returned to the Company. As at
February 28, 2015, the Company had loaned securities (which are included in long-term investments) with a market value
of approximately $85 million (March 1, 2014 - $100 million) consisting of U.S. treasury bills/notes, to a major global
investment bank. The Company held collateral with a market value that exceeds the value of securities lent, consisting of
U.S. treasury bills/notes.
In valuing the auction rate securities, the Company used a multi-year investment horizon and considered the underlying
risk of the securities and the current market interest rate environment. The Company has the ability and intent to hold
these securities until such time that market liquidity returns to normal levels, and does not consider the principal or
interest amounts on these securities to be materially at risk. As there is uncertainty as to when market liquidity for auction
rate securities will return to normal, the Company has classified the auction rate securities as long-term investments on the
consolidated balance sheets as at February 28, 2015 and March 1, 2014.
4. FAIR VALUE MEASUREMENTS
For a description of the fair value hierarchy, please see Note 3.
Recurring Fair Value Measurements
The carrying amounts of the Company’s cash and cash equivalents, accounts receivable, other receivables, accounts
payable and accrued liabilities approximate fair value due to their short maturities.
In determining the fair value of investments held, the Company primarily relies on an independent third party valuator for
the fair valuation of securities. Pricing inputs used by the independent third party valuator are generally received from two
primary vendors. The pricing inputs are reviewed for completeness and accuracy, within a set tolerance level, on a daily
basis by the independent third party valuator. The Company also reviews and understands the inputs used in the valuation
process and assesses the pricing of the securities for reasonableness after conducting its own internal collection of quoted
prices from brokers. Fair values for all investment categories provided by the independent third party valuator that are in
excess of 0.5% from the fair values determined by the Company are communicated to the independent third party valuator
for consideration of reasonableness. The independent third party valuator considers the information provided by the
Company before determining whether a change in the original pricing is warranted.
The Company's investments (other than those classified as Level 3) largely consist of securities issued by major corporate
and banking organizations, the provincial and federal governments of Canada and the United States Department of the
Treasury, and are all investment grade.
For a description of how the fair value of currency forward contracts and currency option contracts and the fair value of
the Debentures have been determined, please see the “Derivative financial instruments” and “Convertible debentures”
accounting policies in Note 1.
The following table summarizes the changes in fair value of the Company’s Level 3 assets for the years ended March 1,
2014 and February 28, 2015:
Level 3
Balance at March 2, 2013 $ 41
Principal payments (1)
Balance at March 1, 2014 40
Principal repayments (2)
Change in fair value 2
Balance at February 28, 2015 $ 40
The Company recognizes transfers in and out of levels within the fair value hierarchy at the end of the reporting period in
which the actual event or change in circumstance occurred. There were no significant transfers in or out of Level 3 assets
during the years ended February 28, 2015 and March 1, 2014.