Barclays 2011 Annual Report Download - page 229

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20 Fair value of financial instruments continued
Valuation technique using significant unobservable inputs – Level 3
Financial instruments are classified as Level 3 if their valuation incorporates significant inputs that are not based on observable market data
(unobservable inputs). Such inputs are generally determined based on observable inputs of a similar nature, historical observations on the level of the
input or other analytical techniques.
This category includes certain corporate debt securities, distressed debt, private equity investments, commercial real estate loans, certain OTC
derivatives (requiring complex and unobservable inputs such as correlations and long dated volatilities), certain convertible bonds, certain CDS,
derivative exposures to monoline insurers, certain fund units, certain asset backed securities, certain issued notes, certain CDOs (synthetic and some
cash underlyings), certain CLOs and certain loans.
The following table shows the Group’s financial assets and liabilities that are measured at fair value analysed by level within the fair value hierarchy.
Financial assets and liabilities measured at fair value Valuation technique using
Quoted
market
prices
(Level 1)
£m
Observable
inputs
(Level 2)
£m
Significant
unobservable
inputs
(Level 3)
£m
Total
£m
As at 31 December 2011
Trading portfolio assets 61,530 81,449 9,204 152,183
Financial assets designated at fair value 4,179 24,091 8,679 36,949
Derivative financial assets 2,550 525,147 11,267 538,964
Available for sale financial investments 30,857 34,761 2,873 68,491
Total assets 99,116 665,448 32,023 796,587
Trading portfolio liabilities (26,155) (19,726) (6) (45,887)
Financial liabilities designated at fair value (39) (84,822) (3,136) (87,997)
Derivative financial liabilities (2,263) (517,066) (8,581) (527,910)
Total liabilities (28,457) (621,614) (11,723) (661,794)
As at 31 December 2010
Trading portfolio assets 48,466 114,660 5,741 168,867
Financial assets designated at fair value 5,406 25,175 10,904 41,485
Derivative financial assets 3,023 408,214 9,082 420,319
Available for sale financial investments 25,619 36,201 3,290 65,110
Total assets 82,514 584,250 29,017 695,781
Trading portfolio liabilities (30,247) (42,345) (101) (72,693)
Financial liabilities designated at fair value (4) (94,088) (3,637) (97,729)
Derivative financial liabilities (2,567) (396,695) (6,254) (405,516)
Total liabilities (32,818) (533,128) (9,992) (575,938)
Transfers between Level 1 and Level 2 primarily comprised government bonds that had more observable market prices moving from Level 2 to Level 1.
Barclays PLC Annual Report 2011 www.barclays.com/annualreport 227
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