Securitization Activities and Variable Interest Entities (Tables)

9 Months Ended

Aug. 31, 2011


	Assets obtained			As of August 31, 2011
Securitization Type	as proceeds			Total Assets (4)		Assets Retained
Residential mortgage-backed securities	$	1,490.1	(3)	$	7,097.2	$	679.8	(1)(2)
Commercial mortgage-backed securities		134.2	(3)		3,076.4		73.0	(1)(2)
Project loans		0.3	(5)		90.0		0.3	(6)


(1)		At August 31, 2011, the securities issued in these securitizations are comprised of government agency-backed securities.

(2)		A significant portion of these securities have been subsequently sold in secondary-market transactions to third parties. As of September 30, 2011, we continue to hold approximately $403.9 million and $53.4 million of these Residential mortgage-backed securities and Commercial mortgage-backed securities, respectively, in inventory.

(3)		Initial fair value of securities received on date of asset transfer that were issued by securitization vehicles.

(4)		Represents unpaid principal amount of assets in the securitization vehicles.

(5)		Initial fair value of servicing rights received on transferred project loans.

(6)		Represents amortized servicing rights on transferred project loans.


	Assets obtained			As of November 30, 2010
Securitization Type	as proceeds			Total Assets (6)		Assets Retained
Residential mortgage-backed securities	$	2,203.1	(3)	$	6,549.5	$	684.7	(1)(2)
Commercial mortgage-backed securities		105.7	(3)		2,005.4		40.4	(1)(2)
Project loans		0.1	(4)		107.8		0.1	(5)


(1)		At November 30, 2010, the securities issued in these securitizations are comprised of government agency-backed securities.

(2)		A significant portion of these securities have been subsequently sold in secondary-market transactions to third parties. As of September 30, 2011, we continue to hold approximately $60.9 million and $28.6 million of these Residential mortgage- backed securities and Commercial mortgage-backed securities, respectively, in inventory.

(3)		Initial fair value of securities received on date of asset transfer that were issued by securitization vehicles.

(4)		Initial fair value of servicing rights received on transferred project loans.

(5)		Represents amortized servicing rights on transferred project loans.


(6)		Represents unpaid principal amount of assets in the securitization vehicles.


					Nine Months		Eight Months
	Three Months Ended (1)				Ended		Ended
	August 31,		August 31,		August 31,		August 31,
	2011		2010		2011 (1)		2010 (1)
Residential mortgage-backed securities	$	24.8	$	11.5	$	55.3	$	26.3
Commercial mortgage-backed securities		2.0		0.7		4.0		0.9


(1)		There were no beneficial interests held on project loans for the three and nine months ended August 31, 2011. Cash flows received on beneficial interests in securitization vehicles of project loans were de minimis for the three and eight months ended August 31, 2010.


	August 31, 2011						November 30, 2010
			Mortgage- and						Mortgage- and
			Asset-backed						Asset-backed
	High Yield		Securitizations		Other		High Yield		Securitizations		Other
Cash	$	283.7	$	—	$	0.3	$	202.6	$	—	$	—
Financial instruments owned		779.2		11.6		7.3		889.8		101.4		21.0
Securities borrowed		238.9		—		—		455.8		—		—
Receivable from brokers and dealers		177.8		—		—		195.5		—		—
Other		24.7		—		—		11.6		0.1		—

	$	1,504.3	$	11.6	$	7.6	$	1,755.3	$	101.5	$	21.0

Financial instruments sold, not yet purchased	$	383.6	$	—	$	—	$	602.6	$	—	$	—
Payable to brokers and dealers		134.5		—		—		157.1		—		—
Mandatorily redeemable interests (1)		1,047.9		—		—		1,047.9		—		—
Promissory note (2)		—		—		4.1		—		—		4.4
Secured financing (3)		—		11.6		—		—		101.4		—
Other		36.9		—		0.3		36.3		0.1		—

	$	1,602.9	$	11.6	$	4.4	$	1,843.9	$	101.5	$	4.4


(1)		After consolidation, which eliminates our interests and the interests of our consolidated subsidiaries, JSOP and JESOP, the carrying amount of the mandatorily redeemable financial interests pertaining to the above VIEs included within Mandatorily redeemable preferred interests of consolidated subsidiaries in the Consolidated Statements of Financial Condition was approximately $313.1 million and $315.9 million at August 31, 2011 and November 30, 2010, respectively.

(2)		The promissory note represents an amount due to us and is eliminated in consolidation.

(3)		Secured financing is included within Accrued expenses and other liabilities in the Consolidated Statements of Financial Condition. Approximately $8.9 million and $15.7 million of the secured financing represents an amount held by us in inventory and is eliminated in consolidation at August 31, 2011 and November 30, 2010, respectively.


	August 31, 2011
			Maximum exposure
			to loss in non-
	VIE Assets		consolidated VIEs			Carrying Amount
Collateralized loan obligations	$	1,794.1	$	45.5	⁽²⁾	$	45.5
Mortgage- and asset-backed vehicles — Non-agency (1)		92,722.8		847.6	⁽²⁾		847.6
Mortgage- and asset-backed vehicles — Agency (1)		7,296.5		2,090.7	⁽²⁾		2,090.7
Asset management vehicle		1,167.1		3.0	⁽²⁾		3.0
Private equity vehicles		96.3		131.5			64.0

Total	$	103,076.8	$	3,118.3		$	3,050.8


(1)		VIE assets represent the unpaid principal balance of the assets in these vehicles at August 31, 2011.

(2)		Our maximum exposure to loss in these non-consolidated VIEs is limited to our investment.


	November 30, 2010
			Maximum exposure
			to loss in non-
	VIE Assets		consolidated VIEs			Carrying Amount
Collateralized loan obligations	$	1,937.8	$	35.3	⁽²⁾	$	35.3
Mortgage- and asset-backed vehicles — Non-agency (1)		91,285.1		852.1	⁽²⁾		852.1
Mortgage- and asset-backed vehicles — Agency (1)		7,464.8		1,840.9	⁽²⁾		1,840.9
Asset management vehicle		760.4		18.1	⁽²⁾		18.1
Private equity vehicles		63.9		131.0			49.7

Total	$	101,512.0	$	2,877.4		$	2,796.1


(1)		VIE assets represent the unpaid principal balance of the assets in these vehicles at November 30, 2010.

(2)		Our maximum exposure to loss in these non-consolidated VIEs is limited to our investment.