Replacement Annual Financial Report -20-
01 May 2010 - 1:47AM
UK Regulatory
+-----------------------+----------+---------------+------------------+-------------------+---------------------+
| | | (408,560) | | (268,933,084) | (269,341,644) |
| | | | - | | |
+-----------------------+----------+---------------+------------------+-------------------+---------------------+
| | | | | | |
+-----------------------+----------+---------------+------------------+-------------------+---------------------+
When fair values of listed equity and debt securities as well as publicly traded
derivatives at the reporting date are based on quoted market prices or binding
dealer price quotations (bid price for long positions and ask price for short
positions), without any deduction for transaction costs, the instruments are
included within Level 1 of the hierarchy. When the Company has assets and
liabilities with offsetting market risks, it uses mid-market prices as a basis
for establishing fair values for the off-setting risk positions and applies the
bid or ask price to the net open positions as appropriate.
For all other financial instruments, fair value is determined using valuation
techniques. Valuation techniques include the use of discounted cash flow models.
The Company uses widely recognised valuation models for determining fair values
of over-the-counter derivatives. For these financial instruments, inputs into
models are market observable and are therefore included within Level 2.
The fair values of currency exchange contracts are calculated by reference to
current exchange rates for contracts with similar maturity and risk profiles.
Instruments included in Level 3 include those for which there is currently no
active market. In valuing such instruments the Company uses a valuation model
which is accepted in the industry. Some of the inputs to that model may not be
market observable and are therefore estimated based on assumptions. The model is
calibrated to reflect performance of the investment in terms of
over-collateralisation tests, weighted average spread of the underlying
portfolio, weighted average rating factor of the underlying portfolio and
manager quality.
Transfers between Level 1 and 2
There were no transfers between level 1 and level 2 during the year.
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 31 December 2009
3. FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS
(continued)
Level 3 reconciliation
The following table shows a reconciliation of all movements in the fair value of
financial instruments categorised within Level 3 between the beginning and the
end of reporting period.
Company
+--------------------+---------------+----------------+-----------+-------------+-----------------+
| | At 1 | Total | Purchases | Sales | At 31 |
| | January | gains/(losses) | | | December |
| | 2009 | recorded in | | | 2009 |
| | | profit or loss | | | |
+--------------------+---------------+----------------+-----------+-------------+-----------------+
| | EUR | EUR | EUR | EUR | EUR |
+--------------------+---------------+----------------+-----------+-------------+-----------------+
| Financial Assets | | | | | |
+--------------------+---------------+----------------+-----------+-------------+-----------------+
| Financial assets | | | | | |
| designated at fair | | | | | |
| value through | | | | | |
| profit or loss: | | | | | |
+--------------------+---------------+----------------+-----------+-------------+-----------------+
| Colateralised debt | 47,549,869 | (9,557,421) | | (6,837,393) | 31,155,055 |
| obligations | | | - | | |
+--------------------+---------------+----------------+-----------+-------------+-----------------+
| Equities | 394,624 | (123,484) | | | 271,140 |
| | | | - | - | |
+--------------------+---------------+----------------+-----------+-------------+-----------------+
| Total Level 3 | 47,944,493 | (9,680,905) | | (6,837,393) | 31,426,195 |
| financial assets | | | - | | |
+--------------------+---------------+----------------+-----------+-------------+-----------------+
| | | | | | |
+--------------------+---------------+----------------+-----------+-------------+-----------------+
Consolidated
+--------------------+----------------+-----------------+---------------+-------------+-----------------+
| | At 1 | Total | Purchases | Sales | At 31 |
| | January | gains/(losses) | | | December |
| | 2009 | recorded in | | | 2009 |
| | | profit or loss | | | |
+--------------------+----------------+-----------------+---------------+-------------+-----------------+
| | EUR | EUR | EUR | EUR | EUR |
+--------------------+----------------+-----------------+---------------+-------------+-----------------+
| Financial Assets | | | | | |
+--------------------+----------------+-----------------+---------------+-------------+-----------------+
| Financial assets | | | | | |
| designated at fair | | | | | |
| value through | | | | | |
| profit or loss: | | | | | |
+--------------------+----------------+-----------------+---------------+-------------+-----------------+
| Collateralised | 41,648,741 | (4,304,420) | 1,369,631 | (6,837,393) | 31,876,559 |
| debt obligations | | | | | |
+--------------------+----------------+-----------------+---------------+-------------+-----------------+
| Equities | 394,624 | (123,484) | | | 271,140 |
| | | | - | - | |
+--------------------+----------------+-----------------+---------------+-------------+-----------------+
| Total Level 3 | 42,043,365 | (4,427,904) | 1,369,631 | (6,837,393) | 32,147,699 |
| financial assets | | | | | |
+--------------------+----------------+-----------------+---------------+-------------+-----------------+
| | | | | | |
+--------------------+----------------+-----------------+---------------+-------------+-----------------+
| Financial | | | | | |
| liabilities | | | | | |
+--------------------+----------------+-----------------+---------------+-------------+-----------------+
| Financial | | | | | |
| liabilities | | | | | |
| designated at fair | | | | | |
| value through | | | | | |
| profit or loss: | | | | | |
+--------------------+----------------+-----------------+---------------+-------------+-----------------+
| Term notes | 190,107,679 | 78,825,405 | | | 268,933,084 |
| | | | - | - | |
+--------------------+----------------+-----------------+---------------+-------------+-----------------+
| Total Level 3 | 190,107,679 | 78,825,405 | | | 268,933,084 |
| financial | | | - | - | |
| liabilities | | | | | |
+--------------------+----------------+-----------------+---------------+-------------+-----------------+
| | | | | | |
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