ANNUAL REPORT AND FINANCIAL STATEMENTS 2011 | 77


18. Financial instruments continued Level 3 assets/(liabilities) measured at fair value


Financial assets at FVTPL


Financial


investments in respect


Fair value movements At 1 January 2010


Total gains or losses: In profit or loss


In other comprehensive income


Purchases Settlements


Transfers out of level 3* At 31 December 2010


Total gains or losses: In profit or loss


In other comprehensive income Settlements


Transfers out of level 3* At 31 December 2011


Total gains or losses included in the Income Statement for the year: 2011 Net gains and investment income on unit-linked assets


Finance revenue F&C REIT put option fair value gain


2010 Net losses and investment income on unit-linked assets F&C REIT put option fair value gain


of unit-linked contracts £m


3.5 Other financial


investments £m


0.2 Unquoted


investments £m


2.2


F&C REIT put options £m


(60.4)


0.4 –– 6.4 –– 1.3


–


Total £m


(54.5) 6.8


1.3


1.4 ––– 1.4 (0.7) ––– (0.7) (3.2) ––– (3.2)


1.4 (0.2)


0.2 –


3.5 (3.3) –– 1.5 0.4 * Transfers out of level 3 resulted from investments receiving an active market price during the year. 0.2 1.7


(54.0) 8.7


– (45.3)


(48.9) 5.2


1.5


(0.6) ––– (0.6) (0.2) ––– (0.2)


(43.0)


Available for sale financial assets


Financial liabilities at FVTPL


(0.2) ––– (0.2) –– 3.3


– (0.2)


––– 8.7 –


3.3 8.7


3.3 8.7


11.8


0.4 ––– 0.4 ––– 6.4


0.4 –– 6.4 The gains or losses included in profit or loss for the year were all in respect of assets or liabilities held at the reporting date.


Sensitivities for level 3 While the Group believes that its estimates of fair value are appropriate, the use of different assumptions could lead to different measurements of fair value. Potential changes in the assumptions used in the valuation of level 3 financial assets are not considered to have a material impact on the Income Statement. In respect of level 3 financial liabilities changing one or more of the unobservable inputs to reasonably possible alternative assumptions would have the following effects:


Effect on other Effect on profit or loss At 31 December 2011


Available for sale financial assets: Unquoted investments Financial liabilities at FVTPL: F&C REIT put options


At 31 December 2010 Available for sale financial assets: Unquoted investments


Financial liabilities at FVTPL: F&C REIT put options £m comprehensive income


Favourable (Unfavourable) Favourable (Unfavourable) £m


£m –– 0.2 4.7 £m (0.2) (3.4) –– –– 0.3 5.0 (0.3) (4.6) ––


The F&C REIT put option sensitivities were derived from reasonable changes to the assumptions, as disclosed in note 28, on the following unobservable inputs:


• Recurring discount rates +/– 1% • Weightings of 2011 results +/– 10% • Recurring EBITDA multiple +/– 1x • Flexing the relative weightings of the 3 valuation methodologies +/– 10%


6.4 6.8


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