Note 25 - Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2020

Derivatives Not Designated as Hedging Instruments

The net effect of foreign currency forward contracts in the results of operations is shown in the following table:

	Three Months Ended					Nine Months Ended
	September 30,					September 30,
(in millions)	2020			2019		2020			2019
Net (gain) loss from derivatives not designated as hedging instruments	$	(4	)	$	1	$	(6	)	$	(2	)

Derivative Liability Key Inputs in Determination of Fair Value for Embedded Conversion Features and Termination Option

The following table presents the key inputs in the determination of fair value for the embedded conversion features and termination option derivatives at each conversion date:

	Valuation Date
	September 30,			August 3,
	2020			2020
Total value of embedded derivative liability immediately prior to any extinguishment ($ millions)	$	9		$	429
Value of embedded derivative that expired ($ million)	$	9		$	416
Value of remaining embedded derivative liability ($ million)	$	—		$	13
Kodak's stock price⁽¹⁾	$	8.82		$	16.91
Risk free rate		0.12	%		0.12	%
Yield on the Notes		8.93	%		9.47	%

The following tables present the key inputs in the determination of fair value for the embedded conversion features and termination option derivatives:

Notes:

	Valuation Date
	December 31,
	2019
Value of embedded derivative liability ($ million)	$	51
Kodak's closing stock price	$	4.65
Expected stock price volatility		104.61	%
Risk free rate		1.58	%
Yield on the Notes		11.52	%

Series A Preferred Stock:

	Valuation Date
	September 30,			December 31,
	2020			2019
Total value of embedded derivative liability ($ millions)	$	9		$	1
Kodak's closing stock price	$	8.82		$	4.65
Expected stock price volatility		146.96	%		104.61	%
Risk free rate		0.12	%		1.58	%
Yield on the preferred stock		13.13	%		16.27	%