INTL FCStone 2011 Annual Report Download - page 84

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INTL FCSTONE INC.Form10K70
PART II
ITEM 8 Consolidated Financial Statements and Supplementary Data
Cash equivalents, securities, commodities warehouse receipts,
derivative nancial instruments and contingent liabilities are
carried at fair value, on a recurring basis, and are classi ed and
disclosed into three levels within the fair value hierarchy. e
Company did not have any fair value adjustments for assets or
liabilities measured at fair value on a non-recurring basis during
the years ended September30,2011 and 2010, except as disclosed
in Note18. e three levels of the fair value hierarchy under the
Fair Value Measurements and Disclosures Topic of the ASC are:
Level1 - Unadjusted quoted prices in active markets that are
accessible at the measurement date for identical, unrestricted assets
or liabilities. Level1 consists of fi nancial assets and liabilities
whose fair values are estimated using quoted market prices.
Included in Level1 are money market funds, certifi cates of
deposit, commodities warehouse receipts, common stock and
ADRs, some U.S. and foreign obligations, equity investments in
exchange fi rms, some mutual funds, as well as futures and options
on futures contracts traded on national exchanges, exchange-
cleared swaps and options which are valued using exchange
closing prices, and OTC swaps and options contracts using
quoted prices from national exchanges in which the Company
executes transactions for customer and proprietary accounts;
Level2 - Quoted prices for identical or similar assets or liabilities
in markets that are less active, that is, markets in which there
are few transactions for the asset or liability that are observable
for substantially the full term. Included in Level2 are those
fi nancial assets and liabilities for which fair values are estimated
using models or other valuation methodologies. ese models
are primarily industry-standard models that consider various
observable inputs, including time value, yield curve, volatility
factors, observable current market and contractual prices for
the underlying fi nancial instruments, as well as other relevant
economic measures. Included in Level2 are U.S. and foreign
government obligations, mortgage-backed securities, some
common stock and ADRs, corporate and municipal bonds,
some mutual funds, investments in managed funds and OTC
forwards, swaps, and options; and
Level3 - Prices or valuation techniques that require inputs that are
both signifi cant to the fair value measurement and unobservable
(i.e., supported by little or no market activity). Level3 comprises
fi nancial assets and liabilities whose fair value is estimated based
on internally developed models or methodologies utilizing
signifi cant inputs that are not readily observable from objective
sources. Included in Level3 are common stock and ADRs,
some corporate and municpal bonds, some other investments
and contingent liabilities.
e following tables set forth the Company’s fi nancial and
nonfi nancial assets and liabilities accounted for at fair value, on a
recurring basis, as of September30,2011 and September30,2010
by level within the fair value hierarchy. ere were no assets or
liabilities that were measured at fair value on a nonrecurring
basis as of September30,2011 and 2010.
(in millions)
September30,2011
Level1 Level2 Level3
Netting and
Collateral(1) Total
ASSETS:
Money market funds $ 0.1 $ — $ — $ — $ 0.1
Certifi cate of deposits 12.6 — — — 12.6
Unrestricted cash equivalents 12.7 — — — 12.7
Commodities warehouse receipts 19.0 — — — 19.0
U.S. government obligations — 3.7 — — 3.7
Securities and other assets segregated under federal
andother regulations 19.0 3.7 — — 22.7
Money market funds 1,193.5 — — — 1,193.5
U.S. government obligations — 470.5 — — 470.5
Mortgage-backed securities — 8.5 — — 8.5
Derivatives 7,227.4 — — (7,491.7) (264.3)
Deposits and receivables from exchange-clearing organizations 8,420.9 479.0 — (7,491.7) 1,408.2
U.S. government obligations — 0.1 — — 0.1
Derivatives 47.3 1,073.5 — (1,104.7) 16.1
Deposits and receivables from broker-dealers, clearing
organizations and counterparties 47.3 1,073.6 — (1,104.7) 16.2
Common stock and ADRs 53.4 2.2 1.1 — 56.7
Corporate and municipal bonds — 5.1 3.6 — 8.7
U.S. government obligations — 0.8 — — 0.8
Foreign government obligations 5.8 0.9 — — 6.7
Derivatives 210.5 557.6 — (666.2) 101.9
Commodities leases and unpriced positions — 66.3 — (40.2) 26.1
Commodities warehouse receipts 16.2 — — — 16.2
Exchange fi rm common stock 3.0 0.7 — — 3.7