INTL FCStone 2011 Annual Report Download - page 83

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INTL FCSTONE INC.Form10K 69
PART II
ITEM 8 Consolidated Financial Statements and Supplementary Data
e table below sets forth an analysis of the carrying value of fi nancial instruments owned and fi nancial instruments sold, not yet
purchased as of September30,2011 and 2010. is is followed by tables that provide the information required by the Fair Value
Measurements and Disclosures Topic of the ASC for all fi nancial assets and liabilities that are carried at fair value.
(in millions)
September30,2011 September30,2010
Owned
Sold,notyet
purchased Owned
Sold,notyet
purchased
Common stock and American Depositary Receipts (“ADRs”) $ 46.9 $ 23.4 $ 17.4 $ 8.5
Exchangeable foreign ordinary equities and ADRs 9.8 23.8 6.6 7.5
Corporate and municipal bonds 8.7 — 13.1 —
U.S. government obligations 0.8 — 5.4 0.2
Foreign government obligations 6.7 — 3.3 —
Derivatives 101.9 122.9 40.2 87.6
Commodities leases and unpriced positions 26.1 220.8 69.2 85.8
Commodities warehouse receipts 16.2 — — —
Exchange fi rm common stock 3.7 — — —
Mutual funds and other 1.0 — 2.1 —
Investment in managed funds 1.3 — 2.5 —
$ 223.1 $ 390.9 $ 159.8 $ 189.6
Fair Value Hierarchy
As required by the Fair Value Measurements and Disclosures Topic
of the ASC, fi nancial and nonfi nancial assets and liabilities are
classifi ed in their entirety based on the lowest level of input that
is signifi cant to the fair value measurement. e hierarchy gives
the highest priority to unadjusted quoted prices in active markets
for identical assets or liabilities (Level1 measurements) and the
lowest priority to unobservable inputs (Level3 measurements).
A market is active if there are suffi cient transactions on an
ongoing basis to provide current pricing information for the asset
or liability, pricing information is released publicly, and price
quotations do not vary substantially either over time or among
market makers. Observable inputs refl ect the assumptions market
participants would use in pricing the asset or liability developed
based on market data obtained from sources independent of the
reporting entity. e guidance requires the Company to consider
counterparty credit risk of all parties to outstanding derivative
instruments that would be considered by a market participant
in the transfer or settlement of such contracts (exit price).
e Company’s exposure to credit risk on derivative fi nancial
instruments relates to the portfolio of OTC derivative contracts
as all exchange-traded contracts held can be settled on an active
market with the credit guarantee by the respective exchange. e
Company requires each counterparty to deposit margin collateral
for all OTC instruments and is also required to deposit margin
collateral with counterparties. e Company has assessed the
nature of these deposits and used its discretion to adjust each based
on the underlying credit considerations for the counterparty and
determined that the collateral deposits minimize the exposure
to counterparty credit risk in the evaluation of the fair value of
OTC instruments as determined by a market participant.
e majority of fi nancial assets and liabilities on the consolidated
balance sheets are reported at fair value. Cash is reported at the
balance held at fi nancial institutions. Cash equivalents includes
money market funds, which are valued at period-end at the net
asset value provided by the fund’s administrator, and certifi cates
of deposit, which are stated at cost plus accrued interest, which
approximates fair value. Cash, securities and other assets segregated
under federal and other regulations include the value of cash
collateral as well as the value of other pledged investments,
primarily U.S.Treasury bills and obligations issued by government
sponsored entities and commodities warehouse receipts. Deposits
with and receivables from exchange-clearing organizations and
broker-dealers, clearing organizations and counterparties and
payables to customers and broker-dealers, clearing organizations
and counterparties include the value of cash collateral as well as
the value of money market funds and other pledged investments,
primarily U.S.Treasury bills and obligations issued by government
sponsored entities and mortgage-backed securities. ese balances
also include the fair value of exchange-traded futures and options
on futures and exchange-cleared swaps and options determined
by prices on the applicable exchange. Financial instruments
owned and sold, not yet purchased include the value of U.S.
and foreign government obligations, corporate debt securities,
derivative fi nancial instruments, commodities, mutual funds
and investments in managed funds. e fair value of exchange
common stock is determined by quoted market prices, and the
fair value of exchange memberships is determined by recent sale
transactions. Notes payable and subordinated debt carry variable
rates of interest and thus approximate fair value.
e fair value estimates presented herein are based on pertinent
information available to management as of September30,2011
and 2010. Although management is not aware of any factors that
would signifi cantly aff ect the estimated fair value amounts, such
amounts have not been comprehensively revalued for purposes of
these fi nancial statements since that date and current estimates of fair
value may diff er signifi cantly from the amounts presented herein.