
This excerpt taken from the NT 10Q filed May 11, 2009. Derivatives All outstanding derivatives at December 31, 2008 were terminated in the quarter ended March 31, 2009 and Nortel has no outstanding derivatives at March 31, 2009. In connection with the terminations, Nortel recognized loss of $5 on interest rate swaps and a loss of $5 on foreign exchange contracts. These excerpts taken from the NT 10K filed Mar 2, 2009. Derivatives The majority of derivatives entered into by Nortel are valued using standard valuation techniques as no quoted market prices exist for the instruments. The valuation technique used and inputs required depend on the type of derivative. The principal techniques used to value these instruments are through comparing the rates at
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Table of Contentsthe time that the derivatives were acquired to the periodend rates quoted in the market. Depending on the type of derivative, the valuation could be calculated through either discounted cash flows or the BlackScholesMerton optionpricing model. The key inputs depend upon the type of derivative, and include interest rate yield curves, foreign exchange spot and forward rates, zero curves and expected volatility. The item is placed in Level 2 or Level 3 depending on whether the significant inputs are observable or not. Level 2 includes Nortel’s hedging activities. Level 3 includes embedded derivatives related to commercial or purchase contracts. Derivatives ALIGN="justify">The majority of derivatives entered into by Nortel are valued using standard valuation techniques as no quoted market prices exist for the instruments. The valuation technique used and inputs
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This excerpt taken from the NT 10Q filed Nov 10, 2008. Derivatives The majority of derivatives entered into by Nortel are valued using standard valuation techniques as no quoted market prices exist for the instruments. The valuation technique used and inputs required depend on the type of
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Table of ContentsNORTEL NETWORKS CORPORATION Notes to Condensed Consolidated Financial Statements (unaudited)—(Continued)
derivative. The principal techniques used to value these instruments are through comparing the rates at the time that the derivatives were acquired to the periodend rates quoted in the market. Depending on the type of derivative, the valuation could be calculated through either discounted cash flows or the BlackScholesMerton optionpricing model. The key inputs depend upon the type of derivative, and include interest rate yield curves, foreign exchange spot and forward rates, and expected volatility. The item is placed in Level 2 or Level 3 depending on whether the significant inputs are observable or not. Level 2 includes Nortel’s hedging activities. Level 3 includes embedded derivatives related to commercial or purchase contracts. This excerpt taken from the NT 10Q filed Aug 1, 2008. Derivatives
The majority of derivatives entered into by Nortel are valued
using standard valuation techniques as no quoted market prices
exist for the instruments. The valuation technique used and
inputs required depend on the type of derivative. The principal
techniques used to value these instruments are through comparing
the rates at the time that the derivatives were acquired to the
periodend rates quoted in the market. Depending on the type of
derivative, the valuation could be calculated through either
discounted cash flows or the BlackScholesMerton optionpricing
model. The key inputs depend upon the type of derivative, and
include interest rate yield curves, foreign exchange spot and
forward rates, and expected volatility. The item is placed in
Level 2 or Level 3 depending on whether the
significant inputs are observable or not. Level 2 includes
Nortel’s hedging activities. Level 3 includes embedded
derivatives related to commercial or purchase contracts.
This excerpt taken from the NT 10Q filed May 2, 2008. Derivatives
The majority of derivatives entered into by Nortel are valued
using standard valuation techniques as no quoted market prices
exist for the instruments. The valuation technique used and
inputs required depend on the type of derivative. The principal
techniques used to value these instruments are through comparing
the rates at the time that the derivatives were acquired to the
periodend rates quoted in the market. Depending on the type of
derivative, the valuation could be calculated through either
discounted cash flows or the BlackScholesMerton optionpricing
model. The key inputs depend upon the type of derivative, and
include interest rate yield curves, foreign exchange spot and
forward rates, and expected volatility. The item is placed in
Level 2 or Level 3 depending on whether the significant
inputs are observable or not. Level 2 includes
Nortel’s hedging activities. Level 3 includes embedded
derivatives related to commercial or purchase contracts.
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