Incredimail 2011 Annual Report Download - page 125

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PERION NETWORK LTD. AND ITS SUBSIDIARIES
(Formerly: Incredimail Ltd.)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
U.S. dollars in thousands (except share and per share data)
The Company measured the fair value of the contracts in accordance with ASC No. 820 at level 2.
The Company’s derivatives expose it to credit risks from possible non-
performance by counterparties. The maximum amount of loss due to credit risk
that the Company would incur if counterparties to the derivative financial instruments failed completely to perform according to the terms of the
contracts, based on the gross fair value of the Company’
s derivative contracts that are favorable to the Company, was approximately $ 44 presented as
part of accrued expenses and other liabilities, as of December 31, 2011. The Company has limited its credit risk by entering into derivative transactions
exclusively with investment-grade rated financial institutions and monitors the creditworthiness of these financial institutions on an ongoing basis.
The notional amounts of the Company’
s derivative instruments as of December 31, 2010 and 2011 amounted to $ 1,950 and $ 4,300, respectively.
Notional values are U.S. dollar translated and calculated based on forward rates for forward contracts and based on spot rates for options. Gross notional
amounts do not quantify risk or represent assets or liabilities of the Company, but are used in the calculation of settlements under the contracts.
NOTE 13:
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DERIVATIVE FINANCIAL INSTRUMENTS (Cont.)
F
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38