This review contains spoilers.
Holy shit, what a great twist. The police have analysed the DNA from the bullet that hit Nancy, and found that half of it matched the dead man. Nancy is Frank's daughter! What makes it worse/better is watching that info hit her like a ton of bricks right in the middle of the police briefing. Brilliant.
Episode Three really cements why I love British and European TV dramas -- instead of dragging the story out for 18 or 22 episodes, we get six tight succinct episodes.
Overall, a terrific episode that ends in a wonderfully nasty double-blind as Nancy realises someone close to her is not on The Level.