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Assets and Liabilities, at Fair Value
 9 Months Ended
Jun. 30, 2011
Assets and Liabilities, at Fair Value [Abstract]  
Fair Value Disclosures [Text Block]
Assets and Liabilities, at Fair Value
The Company’s financial and nonfinancial assets and liabilities reported at fair value are included within the following captions on the condensed consolidated balance sheets:
•
Cash and cash equivalents
•
Cash, securities and other assets segregated under federal and other regulations
•
Securities purchased under agreements to resell
•
Deposits and receivables from exchange-clearing organizations
•
Deposits and receivables from broker-dealers, clearing organizations and counterparties
•
Financial instruments owned
•
Accounts payable and other accrued liabilities
•
Payables to customers
•
Financial instruments sold, not yet purchased
The table below sets forth an analysis of the carrying value of financial instruments owned and financial instruments sold, not yet purchased. This is followed by tables that provide the information required by the Fair Value Measurements and Disclosures Topic of the ASC for all financial assets and liabilities that are carried at fair value. 
 
June 30, 2011
 
September 30, 2010
(in millions)
Owned
 
Sold, not yet
purchased
 
Owned
 
Sold, not yet
purchased
Common stock and American Depositary Receipts ("ADRs")
$
16.2


 
$
15.6


 
$
17.4


 
$
8.5


Exchangeable foreign ordinary equities and ADRs
13.1


 
6.4


 
6.6


 
7.5


Corporate and municipal bonds
8.9


 
—


 
13.1


 
—


U.S. and foreign government obligations
13.4


 
0.7


 
8.7


 
0.2


Derivatives
50.0


 
116.0


 
40.2


 
87.6


Commodities leases and unpriced positions
19.8


 
175.9


 
69.2


 
85.8


Mutual funds and other
0.6


 
—


 
2.1


 
—


Investment in managed funds
1.2


 
—


 
2.5


 
—


 
$
123.2


 
$
314.6


 
$
159.8


 
$
189.6


Fair Value Hierarchy
The majority of financial assets and liabilities on the condensed consolidated balance sheets are reported at fair value. Cash and cash equivalents are reported at the balance held at financial institutions. Deposits with and receivables from exchange-clearing organizations and broker-dealers and FCMs and payables to customers and exchange-clearing organizations 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. These balances also include the fair value of futures and options on futures 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 financial instruments, commodities, mutual funds and investments in managed funds. The 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.
The following tables set forth the Company’s financial and nonfinancial assets and liabilities accounted for at fair value, on a recurring basis, as of June 30, 2011 and September 30, 2010 by level within the fair value hierarchy. There were no assets or liabilities that were measured at fair value on a nonrecurring basis as of June 30, 2011. As required by the Fair Value Measurements and Disclosures Topic of the ASC, financial and nonfinancial assets and liabilities measured on recurring and nonrecurring basis are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. The three levels of the fair value hierarchy under the Fair Value Measurements and Disclosures Topic of the ASC are:
Level 1: unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2: quoted prices in markets that are not active, or inputs that are observable, either directly or indirectly, for substantially the full term of the asset or liability; and
Level 3: prices or valuation techniques that require inputs that are both significant to the fair value measurement and unobservable (i.e., supported by little or no market activity).
 
June 30, 2011
(in millions)
Level 1
 
Level 2
 
Level 3
 
Netting and
Collateral (1)
 
Total
Assets:
 
 
 
 
 
 
 
 
 
Unrestricted cash equivalents - money market funds
$
0.1


 
$
—


 
$
—


 
$
—


 
$
0.1


Commodities warehouse receipts
22.7


 
—


 
—


 
—


 
22.7


U.S. and foreign government obligations
—


 
2.5


 
—


 
—


 
2.5


Securities and other assets segregated under federal and other regulations
22.7


 
2.5


 
—


 
—


 
25.2


Securities purchased under agreements to resell
0.9


 
—


 
—


 
—


 
0.9


Money market funds
757.2


 
—


 
—


 
—


 
757.2


U.S. and foreign government obligations
—


 
702.0


 
—


 
—


 
702.0


Mortgage-backed securities
—


 
9.0


 
—


 
—


 
9.0


Derivatives
4,591.2


 
407.9


 
—


 
(5,346.8
)
 
(347.7
)
Deposits and receivables from exchange-clearing organizations
5,348.4


 
1,118.9


 
—


 
(5,346.8
)
 
1,120.5


U.S. and foreign government obligations
—


 
0.7


 
—


 
—


 
0.7


Derivatives
—


 
278.2


 
—


 
(281.4
)
 
(3.2
)
Deposits and receivables from broker-dealers, clearing organizations and counterparties
—


 
278.9


 
—


 
(281.4
)
 
(2.5
)
Common stock and ADRs
26.3


 
1.8


 
1.2


 
—


 
29.3


Corporate and municipal bonds
—


 
5.1


 
3.8


 
—


 
8.9


U.S. and foreign government obligations
12.5


 
0.9


 
—


 
—


 
13.4


Derivatives
320.1


 
341.2


 
—


 
(611.3
)
 
50.0


Commodities leases and unpriced positions
—


 
121.9


 
—


 
(102.1
)
 
19.8


Mutual funds and other
0.2


 
—


 
0.4


 
—


 
0.6


Investment in managed funds
—


 
1.2


 
—


 
—


 
1.2


Financial instruments owned
359.1


 
472.1


 
5.4


 
(713.4
)
 
123.2


Total assets at fair value
$
5,731.2


 
$
1,872.4


 
$
5.4


 
$
(6,341.6
)
 
$
1,267.4


Liabilities:
 
 
 
 
 
 
 
 
 
Accounts payable and other accrued liabilities - contingent liabilities
$
—


 
$
—


 
$
27.7


 
$
—


 
$
27.7


Payables to customers - derivatives
4,295.4


 
256.3


 
—


 
(4,551.7
)
 
—


Common stock and ADRs
21.2


 
0.8


 
—


 
—


 
22.0


U.S. and foreign government obligations
—


 
0.7


 
—


 
—


 
0.7


Derivatives
306.9


 
620.9


 
—


 
(811.8
)
 
116.0


Commodities leases and unpriced positions
—


 
396.3


 
—


 
(220.4
)
 
175.9


Financial instruments sold, not yet purchased
328.1


 
1,018.7


 
—


 
(1,032.2
)
 
314.6


Total liabilities at fair value
$
4,623.5


 
$
1,275.0


 
$
27.7


 
$
(5,583.9
)
 
$
342.3


 
(1)
Represents cash collateral and the impact of netting across the levels of the fair value hierarchy. Netting among positions classified within the same level are included in that level.
 
September 30, 2010
(in millions)
Level 1
 
Level 2
 
Level 3
 
Netting and
Collateral (1)
 
Total
Assets:
 
 
 
 
 
 
 
 
 
Unrestricted cash equivalents - money market funds
$
0.3


 
$
—


 
$
—


 
$
—


 
$
0.3


U.S. and foreign government obligations
—


 
0.8


 
—


 
—


 
0.8


Securities segregated under federal and other regulations
—


 
0.8


 
—


 
—


 
0.8


Securities purchased under agreements to resell
342.0


 
—


 
—


 
—


 
342.0


Money market funds
428.2


 
—


 
—


 
—


 
428.2


U.S. and foreign government obligations
—


 
988.1


 
—


 
—


 
988.1


Mortgage-backed securities
—


 
10.0


 
—


 
—


 
10.0


Derivatives
4,228.1


 
—


 
—


 
(4,748.0
)
 
(519.9
)
Deposits and receivables from exchange-clearing organizations
4,656.3


 
998.1


 
—


 
(4,748.0
)
 
906.4


Common stock and ADRs
22.1


 
0.7


 
1.2


 
—


 
24.0


Corporate and municipal bonds
—


 
5.1


 
8.0


 
—


 
13.1


U.S. and foreign government obligations
2.8


 
5.9


 
—


 
—


 
8.7


Derivatives (2)
186.0


 
897.9


 
—


 
(1,043.7
)
 
40.2


Commodities leases and unpriced positions
—


 
201.9


 
—


 
(132.7
)
 
69.2


Mutual funds and other
1.7


 
—


 
0.4


 
—


 
2.1


Investment in managed funds
—


 
1.9


 
0.6


 
—


 
2.5


Financial instruments owned
212.6


 
1,113.4


 
10.2


 
(1,176.4
)
 
159.8


Total assets at fair value
$
5,211.2


 
$
2,112.3


 
$
10.2


 
$
(5,924.4
)
 
$
1,409.3


Liabilities:
 
 
 
 
 
 
 
 
 
Accounts payable and other accrued liabilities - contingent liabilities
$
—


 




 
$
32.3


 
$
—


 
$
32.3


Payables to customers - derivatives
5,451.0


 
—


 
—


 
(5,451.0
)
 
—


Common stock and ADRs
15.5


 
0.5


 
—


 
—


 
16.0


U.S. and foreign government obligations
—


 
0.2


 
—


 
—


 
0.2


Derivatives (2)
189.3


 
859.5


 
—


 
(961.2
)
 
87.6


Commodities leases and unpriced positions
—


 
127.2


 
—


 
(41.4
)
 
85.8


Financial instruments sold, not yet purchased
204.8


 
987.4


 
—


 
(1,002.6
)
 
189.6


Total liabilities at fair value
$
5,655.8


 
$
987.4


 
$
32.3


 
$
(6,453.6
)
 
$
221.9


 
(1)
Represents cash collateral and the impact of netting across the levels of the fair value hierarchy. Netting among positions classified within the same level are included in that level.
(2)
The derivatives include net unrealized gains (losses) that are reclassified to deposits and receivables from broker-dealers, clearing organizations and counterparties and receivables from customers of $56.1 million as of September 30, 2010, as a result of netting and collateral.
Realized and unrealized gains and losses are included within ‘trading gains’ in the condensed consolidated income statements.
Information on Level 3 Financial Assets and Liabilities
The Company’s financial assets at fair value classified within level 3 of the fair value hierarchy are summarized below:
 
(in millions)
As of June 30, 2011
 
As of September 30, 2010
Total level 3 assets
$
5.4


 
$
10.2


Level 3 assets for which the Company bears economic exposure
$
5.4


 
$
10.2


Total assets
$
2,830.7


 
$
2,021.7


Total financial assets at fair value
$
1,267.4


 
$
1,409.3


Total level 3 assets as a percentage of total assets
0.2
%
 
0.5
%
Level 3 assets for which the Company bears economic exposure as a percentage of total assets
0.2
%
 
0.5
%
Total level 3 assets as a percentage of total financial assets at fair value
0.4
%
 
0.7
%


The following tables set forth a summary of changes in the fair value of the Company’s level 3 financial assets and liabilities during the three and nine months ended June 30, 2011 including a summary of unrealized gains (losses) during the three and nine months on the Company’s level 3 financial assets and liabilities still held at June 30, 2011. 
 
Level 3 Financial Assets and Financial Liabilities
For the Three Months Ended June 30, 2011
(in millions)
Balances at
beginning of
period


Realized gains
(losses) during
period


Unrealized
gains (losses)
during period


Purchases,
issuances,
settlements


Transfers in
or (out) of
Level 3


Balances at
end of period
Assets:
 
 
 
 
 
 
 
 
 
 
 
Common stock and ADRs
$
1.2


 
$
—


 
$
—


 
$
—


 
$
—


 
$
1.2


Corporate and municipal bonds
5.3


 
—


 
(0.6
)
 
(0.9
)
 
—


 
3.8


Mutual funds and other
0.4


 
—


 
—


 
—


 
—


 
0.4


Investment in managed funds
0.8


 
—


 
—


 
(0.8
)
 
—


 
—




$
7.7


 
$
—


 
$
(0.6
)
 
$
(1.7
)
 
$
—


 
$
5.4


Liabilities:
 
 


 
 
 
 
 
 
 
 
Contingent liabilities
$
30.5


 
$
—


 
$
0.3


 
$
(3.1
)
 
$
—


 
$
27.7




 
Level 3 Financial Assets and Financial Liabilities
 For the Nine Months Ended June 30, 2011
(in millions)
Balances at

beginning of

period
 
Realized gains

(losses) during

period
 
Unrealized

gains (losses)

during period
 
Purchases,

issuances,

settlements
 
Transfers in

or (out) of

Level 3
 
Balances at

end of period
Assets:
 
 
 
 
 
 
 
 
 
 
 
Common stock and ADRs
$
1.2


 
$
—


 
$
—


 
$
—


 
$
—


 
$
1.2


Corporate and municipal bonds
8.0


 
—


 
(3.3
)
 
(0.9
)
 
—


 
3.8


Mutual funds and other
0.4


 
—


 
—


 
—


 
—


 
0.4


Investment in managed funds
0.6


 
0.2


 
—


 
(0.8
)
 
—


 
—




$
10.2


 
$
0.2


 
$
(3.3
)
 
$
(1.7
)
 
$
—


 
$
5.4


Liabilities:


 


 


 


 


 


Contingent liabilities
$
32.3


 
$
—


 
$
2.2


 
$
(6.8
)
 
$
—


 
$
27.7


In August 2008, INTL Asia Pte, Ltd., a subsidiary of the Company, arranged a 550 million Thai Baht ("THB"), an $18 million U.S. dollar ("USD") equivalent, issue of debentures for the single asset owning company of Suriwongse Hotel located in Chiang Mai, Thailand. The debentures have a 9.5% coupon and are scheduled to mature in August 2011. The Company arranged for the sale of 375.5 million THB ($12.6 USD) of the debentures to two investors and the Company retained debentures in the amount of 174.5 million THB ($5.4 USD). The debentures are secured by a mortgage on the land and hotel buildings, the personal guarantee of the owner, and conditional assignments of accounts and agreements.
The proceeds of this issue were to be used to refinance the previous loan to the hotel owner, finance the hotel's renovation and fund interest up to 50.0 million THB. Renovations were initially planned to be completed by April 2011 and the outstanding debentures were to be refinanced following the completion of renovations. The renovations have been delayed and are currently expected to be completed by February 2012.
In addition, the political and economic conditions in Thailand over the past two years have impacted the performance of the hotel. Following the interest capitalization period, the hotel owner was able to meet four quarterly interest payments on the debentures, however the hotel owner defaulted on the interest payment that was due in March 2011. The Company and other debenture holders are currently in restructuring discussions with the hotel owner as a result of the renovation delays.
In accordance with the Fair Value Measurements and Disclosures Topic of the ASC, the Company has estimated the fair value of the debentures on a recurring basis each period. At June 30, 2011, the Company's investment in the hotel is $3.6 million, and included within the corporate and municipal bonds classification in the level 3 financial assets and financial liabilities tables. The Company has classified its investment in the hotel within level 3 of the fair value hierarchy because the fair value is determined using significant unobservable inputs, which include projected cash flows. These cash flows are discounted employing present value techniques. During the nine months ended June 30, 2011, the Company recorded a loss of $1.7 million, representing an other than temporary impairment.
The Company is required to make additional future cash payments based on certain financial performance measures of its acquired businesses. The Company is required to remeasure the fair value of the cash earnout arrangements on a recurring basis in accordance with the guidance in the Business Combinations Topic of the ASC. The Company has classified its net liabilities for the contingent earnout arrangements within level 3 of the fair value hierarchy because the fair value is determined using significant unobservable inputs, which include projected cash flows. The estimated fair value of the contingent purchase consideration is based upon management-developed forecasts, a level 3 input in the fair value hierarchy. These cash flows are discounted employing present value techniques in arriving at the acquisition-date fair value. The discount rate was developed using market participant company data, a level 2 input in the fair value hierarchy, and there have been no significant changes in the discount rate environment. From the dates of acquisition to June 30, 2011, certain acquisitions have had changes in the estimates of undiscounted cash flows, based on actual performances fluctuating from estimates. During the three and nine months ended June 30, 2011, the fair value of the contingent consideration increased $0.3 million and $2.2 million, respectively, with the corresponding expense classified as 'other' within the condensed consolidated income statements.
 
 
Level 3 Financial Assets and Financial Liabilities
For the Three Months Ended June 30, 2010
(in millions)
Balances at
beginning of
period
 
Realized gains
(losses) during
period
 
Unrealized
gains (losses)
during period
 
Purchases,
issuances,
settlements
 
Transfers in
or (out) of
Level 3
 
Balances at
end of period
Assets:
 
 
 
 
 
 
 
 
 
 
 
Common stock and ADRs
$
1.2


 
$
—


 
$
—


 
$
—


 
$
—


 
$
1.2


Corporate and municipal bonds
4.8


 
—


 
—


 
0.1


 
—


 
4.9


U.S. and foreign government obligations
—


 
—


 
—


 
—


 
—


 
—


Mutual funds and other
0.5


 
—


 
(0.1
)
 
—


 
—


 
0.4


Investment in managed funds
2.0


 
—


 
—


 
—


 
—


 
2.0


 
$
8.5


 
$
—


 
$
(0.1
)
 
$
0.1


 
$
—


 
$
8.5




 
Level 3 Financial Assets and Financial Liabilities
For the Nine Months Ended June 30, 2010
(in millions)
Balances at

beginning of

period
 
Realized gains

(losses) during

period
 
Unrealized

gains (losses)

during period
 
Purchases,

issuances,

settlements
 
Transfers in

or (out) of

Level 3
 
Balances at

end of period
Assets:
 
 
 
 
 
 
 
 
 
 
 
Common stock and ADRs
$
1.2


 
$
—


 
$
—


 
$
—


 
$
—


 
$
1.2


Corporate and municipal bonds
4.3


 
—


 
0.2


 
0.4


 
—


 
4.9


U.S. and foreign government obligations
0.7


 
—


 
—


 
—


 
(0.7
)
 
—


Mutual funds and other
0.4


 
—


 
—


 
—


 
—


 
0.4


Investment in managed funds
2.7


 
—


 
(0.1
)
 
(0.6
)
 
—


 
2.0


 
$
9.3


 
$
—


 
$
0.1


 
$
(0.2
)
 
$
(0.7
)
 
$
8.5




The Company reports transfers in and out of levels 1, 2 and 3, as applicable, using the fair value of the securities as of the beginning of the reporting period in which the transfer occurred.
The value of an exchange-traded derivative contract is equal to the unrealized gain or loss on the contract determined by marking the contract to the current settlement price for a like contract on the valuation date of the contract. A settlement price may not be used if the market makes a limit move with respect to a particular derivative contract or if the securities underlying the contract experience significant price fluctuations after the determination of the settlement price. When a settlement price cannot be used, derivative contracts will be valued at their fair market value as determined in good faith pursuant to procedures adopted by management of the Company.
On June 30, 2011, the commodities market experienced downward limit price movements on certain commodities, and at March 31, 2011, the commodities market experienced upward limit price movements on certain commodities. As a result, certain exchange-traded derivative contracts, which would normally be valued using quoted market prices and classified as level 1 within the fair value hierarchy, were priced using a valuation model using observable inputs. Due to the change in valuation techniques because of the limit moves, derivative assets of $407.9 million and derivative liabilities of $256.3 million were classified as level 2 at June 30, 2011. Such derivative assets and liabilities were valued using quoted market prices, and as such, were classified as level 1 prior to March 31, 2011.
The Company did not have any additional significant transfers between level 1 and level 2 fair value measurements for the three months and nine months ended June 30, 2011.
The Company transferred $0.7 million of U.S. and foreign obligations from level 3 to level 2 during the nine months ended June 30, 2010. The Company re-evaluated the observability of the inputs for the fair value of the securities that were transferred into level 2 from level 3 and determined that there was improvement in the market for these securities and that resulted in the Company being able to utilize inputs that were observable.


The following tables summarize the amortized cost basis, the aggregate fair value and gross unrealized holding gains and losses of the Company’s investment securities classified as available-for-sale at June 30, 2011 and September 30, 2010:
 
June 30, 2011
Amounts included in financial instruments owned:
 
 
 
 
 
 
 
 
Amortized
Cost
 
Unrealized Holding (1)
 
Estimated
Fair Value
(in millions)
 
Gains
 
(Losses)
 
U.S. government obligations
$
0.6


 
$
—


 
$
—


 
$
0.6


Corporate bonds
5.0


 
—


 
—


 
5.0


 
$
5.6


 
$
—


 
$
—


 
$
5.6


 
(1)
Unrealized gain/loss on financial instruments owned as of June 30, 2011, is less than $0.1 million.


Amounts included in deposits with and receivables from exchange-clearing organizations:
 
 
 
 
 
 
 
 
Amortized
Cost
 
Unrealized Holding
 
Estimated
Fair  Value
(in millions)
Gains
 
(Losses)
 
U.S. government obligations
$
682.2


 
$
0.2


 
$
—


 
$
682.4


Mortgage-backed securities
8.8


 
0.2


 
—


 
9.0


 
$
691.0


 
$
0.4


 
$
—


 
$
691.4


 
September 30, 2010
Amounts included in financial instruments owned:
 
 
 
 
 
 
 
 
Amortized
Cost
 
Unrealized Holding (1)
 
Estimated
Fair  Value
(in millions)
Gains
 
(Losses)
 
U.S. government obligations
$
5.0


 
$
—


 
$
—


 
$
5.0


Corporate bonds
5.1


 
—


 
—


 
5.1


 
$
10.1


 
$
—


 
$
—


 
$
10.1


 
(1)
Unrealized gain/loss on financial instruments owned as of September 30, 2010, is less than $0.1 million.


Amounts included in deposits with and receivables from exchange-clearing organizations:
 
 
 
 
 
 
 
 
Amortized
Cost
 
Unrealized Holding
 
Estimated
Fair  Value
(in millions)
Gains
 
(Losses)
 
U.S. government obligations
$
936.0


 
$
0.4


 
$
—


 
$
936.4


Mortgage-backed securities
10.1


 
—


 
(0.1
)
 
10.0


 
$
946.1


 
$
0.4


 
$
(0.1
)
 
$
946.4


At June 30, 2011 and September 30, 2010, investments in debt securities classified as available-for-sale (AFS) mature as follows:
 
June 30, 2011
 
Due in
 
Estimated
Fair  Value
(in millions)
Less than 1 year
 
1 year or more
 
U.S. government obligations
$
678.0


 
$
5.0


 
$
683.0


Corporate bonds
5.0


 
—


 
5.0


Mortgage-backed securities
—


 
9.0


 
9.0


 
$
683.0


 
$
14.0


 
$
697.0


September 30, 2010
 
Due in
 
Estimated
Fair Value
(in millions)
Less than 1 year
 
1 year or more
 
U.S. government obligations
$
876.0


 
$
65.4


 
$
941.4


Corporate bonds
—


 
5.1


 
5.1


Mortgage-backed securities
—


 
10.0


 
10.0


 
$
876.0


 
$
80.5


 
$
956.5


There were no sales of AFS Securities during three and nine months ended June 30, 2011 and 2010, and as a result, no realized gains or losses were recorded for the three and nine months ended June 30, 2011 and 2010.
For the purposes of the maturity schedule, mortgage-backed securities, which are not due at a single maturity date, have been allocated over maturity groupings based on the expected maturity of the underlying collateral. Mortgage-backed securities may mature earlier than their stated contractual maturities because of accelerated principal repayments of the underlying loans.