Fair Value Disclosures

The following is a summary of our financial assets and liabilities that are accounted for at fair value on a recurring basis, excluding Investments at fair value based on NAV of $29.5 million and $36.7 million at August 31, 2016 and November 30, 2015, respectively, by level within the fair value hierarchy (in thousands):



	August 31, 2016
	Level 1(1)		Level 2(1)		Level 3		Counterparty and Cash Collateral Netting (2)			Total
Assets:
Financial instruments owned:
Corporate equity securities	$	2,019,490	$	108,194	$	22,195	$	—		$	2,149,879
Corporate debt securities	—		2,494,303		35,007		—			2,529,310
CDOs and CLOs	—		99,794		44,070		—			143,864
U.S. government and federal agency securities	3,029,251		114,601		—		—			3,143,852
Municipal securities	—		550,210		27,257		—			577,467
Sovereign obligations	904,592		1,130,443		—		—			2,035,035
Residential mortgaged-backed securities	—		1,331,959		46,881		—			1,378,840
Commercial mortgage-backed securities	—		320,912		24,593		—			345,505
Other asset-backed securities	—		116,388		61,112		—			177,500
Loans and other receivables	—		1,323,092		78,457		—			1,401,549
Derivatives	2,530		6,206,366		9,560		(5,887,874		)	330,582
Investments at fair value	—		—		85,036		—			85,036
Total financial instruments owned, excluding Investments at fair value based on NAV	$	5,955,863	$	13,796,262	$	434,168	$	(5,887,874	)	$	14,298,419
Cash and cash equivalents	$	3,159,143	$	—	$	—	$	—		$	3,159,143
Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations (3)	$	1,026,865	$	—	$	—	$	—		$	1,026,865

Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	1,682,196	$	58,834	$	38	$	—		$	1,741,068
Corporate debt securities	—		1,704,627		523		—			1,705,150
U.S. government and federal agency securities	1,213,672		—		—		—			1,213,672
Sovereign obligations	940,451		1,432,580		—		—			2,373,031
Loans	—		538,180		848		—			539,028
Derivatives	373		6,321,172		20,607		(5,970,029		)	372,123
Total financial instruments sold, not yet purchased	$	3,836,692	$	10,055,393	$	22,016	$	(5,970,029	)	$	7,944,072
Other secured financings	$	—	$	53,318	$	268	$	—		$	53,586
Long-term debt	$	—	$	204,422	$	—	$	—		$	204,422


(1)	There were no material transfers between Level 1 and Level 2 for the nine months ended August 31, 2016.


(2)	Represents counterparty and cash collateral netting across the levels of the fair value hierarchy for positions with the same counterparty.


(3)	Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations includes U.S. treasury securities with a fair value of $99.9 million.



	November 30, 2015
	Level 1 (1)		Level 2 (1)		Level 3		Counterparty and Cash Collateral Netting (2)			Total
Assets:
Financial instruments owned:
Corporate equity securities	$	1,853,351	$	133,732	$	40,906	$	—		$	2,027,989
Corporate debt securities	—		2,867,165		25,876		—			2,893,041
CDOs and CLOs	—		89,144		85,092		—			174,236
U.S. government and federal agency securities	2,555,018		90,633		—		—			2,645,651
Municipal securities	—		487,141		—		—			487,141
Sovereign obligations	1,251,366		1,407,955		120		—			2,659,441
Residential mortgage-backed securities	—		2,731,070		70,263		—			2,801,333
Commercial mortgage-backed securities	—		1,014,913		14,326		—			1,029,239
Other asset-backed securities	—		118,629		42,925		—			161,554
Loans and other receivables	—		1,123,044		189,289		—			1,312,333
Derivatives	1,037		4,395,704		19,785		(4,165,446		)	251,080
Investments at fair value	—		26,224		53,120		—			79,344
Total financial instruments owned, excluding Investments at fair value based on NAV	$	5,660,772	$	14,485,354	$	541,702	$	(4,165,446	)	$	16,522,382
Cash and cash equivalents	$	3,510,163	$	—	$	—	$	—		$	3,510,163
Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations	$	751,084	$	—	$	—	$	—		$	751,084
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	1,382,377	$	36,518	$	38	$	—		$	1,418,933
Corporate debt securities	—		1,556,941		—		—			1,556,941
U.S. government and federal agency securities	1,488,121		—		—		—			1,488,121
Sovereign obligations	837,614		505,382		—		—			1,342,996
Residential mortgage-backed securities	—		117		—		—			117
Loans	—		758,939		10,469		—			769,408
Derivatives	364		4,446,639		19,543		(4,257,998		)	208,548
Total financial instruments sold, not yet purchased	$	3,708,476	$	7,304,536	$	30,050	$	(4,257,998	)	$	6,785,064
Other secured financings (3)	$	—	$	67,801	$	544	$	—		$	68,345


(1)	There were no material transfers between Level 1 and Level 2 for the year ended November 30, 2015.


(2)	Represents counterparty and cash collateral netting across the levels of the fair value hierarchy for positions with the same counterparty.


(3)	Level 2 liabilities include $67.8 million of other secured financings that were previously not disclosed in our Annual Report on Form 10-K for the year ended November 30, 2015.

The following is a description of the valuation basis, including valuation techniques and inputs, used in measuring our financial assets and liabilities that are accounted for at fair value on a recurring basis:

Corporate Equity Securities


•	Exchange Traded Equity Securities: Exchange-traded equity securities are measured based on quoted closing exchange prices, which are generally obtained from external pricing services, and are categorized within Level 1 of the fair value hierarchy, otherwise they are categorized within Level 2 of the fair value hierarchy.

•

Non-exchange Traded Equity Securities: Non-exchange traded equity securities are measured primarily using broker quotations, pricing data from external pricing services and prices observed for recently executed market transactions and are categorized within Level 2 of the fair value hierarchy. Where such information is not available, non-exchange traded equity securities are categorized within Level 3 of the fair value hierarchy and measured using valuation techniques involving quoted prices of or market data for comparable companies, similar company ratios and multiples (e.g., price/EBITDA, price/book value), discounted cash flow analyses and transaction prices observed for subsequent financing or capital issuance by the company. When using pricing data of comparable companies, judgment must be applied to adjust the pricing data to account for differences between the measured security and the comparable security (e.g., issuer market capitalization, yield, dividend rate, geographical concentration).


•	Equity Warrants: Non-exchange traded equity warrants are generally categorized within Level 3 of the fair value hierarchy and are measured using the Black-Scholes model with key inputs impacting the valuation, including the underlying security price, implied volatility, dividend yield, interest rate curve, strike price and maturity date.

Corporate Debt Securities

•

Corporate Bonds: Corporate bonds are measured primarily using pricing data from external pricing services and broker quotations, where available, prices observed for recently executed market transactions and bond spreads or credit default swap spreads of the issuer adjusted for basis differences between the swap curve and the bond curve. Corporate bonds measured using these valuation methods are categorized within Level 2 of the fair value hierarchy. If broker quotes, pricing data or spread data is not available, alternative valuation techniques are used including cash flow models incorporating interest rate curves, single name or index credit default swap curves for comparable issuers and recovery rate assumptions. Corporate bonds measured using alternative valuation techniques are categorized within Level 3 of the fair value hierarchy and are a limited portion of our corporate bonds.

•

High Yield Corporate and Convertible Bonds: A significant portion of our high yield corporate and convertible bonds are categorized within Level 2 of the fair value hierarchy and are measured primarily using broker quotations and pricing data from external pricing services, where available, and prices observed for recently executed market transactions of comparable size. Where pricing data is less observable, valuations are categorized within Level 3 and are based on pending transactions involving the issuer or comparable issuers, prices implied from an issuer’s subsequent financings or recapitalizations, models incorporating financial ratios and projected cash flows of the issuer and market prices for comparable issuers.

CDOs and CLOs

CDOs and CLOs are measured based on prices observed for recently executed market transactions of the same or similar security or based on valuations received from third party brokers or data providers and are categorized within Level 2 or Level 3 of the fair value hierarchy depending on the observability and significance of the pricing inputs. Valuation that is based on recently executed market transactions of similar securities incorporates additional review and analysis of pricing inputs and comparability criteria including but not limited to collateral type, tranche type, rating, origination year, prepayment rates, default rates, and severity.

U.S. Government and Federal Agency Securities


•	U.S. Treasury Securities: U.S. Treasury securities are measured based on quoted market prices and categorized within Level 1 of the fair value hierarchy.


•	U.S. Agency Issued Debt Securities: Callable and non-callable U.S. agency issued debt securities are measured primarily based on quoted market prices obtained from external pricing services and are generally categorized within Level 1 or Level 2 of the fair value hierarchy.

Municipal Securities

Municipal securities are measured based on quoted prices obtained from external pricing services and are generally categorized within Level 2 of the fair value hierarchy.

Sovereign Obligations

Foreign sovereign government obligations are measured based on quoted market prices obtained from external pricing services, where available, or recently executed independent transactions of comparable size. To the extent external price quotations are not available or recent transactions have not been observed, valuation techniques incorporating interest rate yield curves and country spreads for bonds of similar issuers, seniority and maturity are used to determine fair value of sovereign bonds or obligations. Foreign sovereign government obligations are classified in Level 1, Level 2 or Level 3 of the fair value hierarchy, primarily based on the country of issuance.

Residential Mortgage-Backed Securities


•	Agency Residential Mortgage-Backed Securities ("RMBS"): Agency RMBS include mortgage pass-through securities (fixed and adjustable rate), collateralized mortgage obligations and interest-only and principal-only securities and are generally measured using market price quotations from external pricing services and categorized within Level 2 of the fair value hierarchy.

•

Agency Residential Interest-Only and Inverse Interest-Only Securities (“Agency Inverse IOs”): The fair value of Agency Inverse IOs is estimated using expected future cash flow techniques that incorporate prepayment models and other prepayment assumptions to amortize the underlying mortgage loan collateral. We use prices observed for recently executed transactions to develop market-clearing spread and yield curve assumptions. Valuation inputs with regard to the underlying collateral incorporate weighted average coupon, loan-to-value, credit scores, geographic location, maximum and average loan size, originator, servicer, and weighted average loan age. Agency Inverse IOs are categorized within Level 2 of the fair value hierarchy. We also use vendor data in developing our assumptions, as appropriate.

•

Non-Agency RMBS: Fair values are determined primarily using discounted cash flow methodologies and securities are categorized within Level 2 or Level 3 of the fair value hierarchy based on the observability and significance of the pricing inputs used. Performance attributes of the underlying mortgage loans are evaluated to estimate pricing inputs, such as prepayment rates, default rates and the severity of credit losses. Attributes of the underlying mortgage loans that affect the pricing inputs include, but are not limited to, weighted average coupon; average and maximum loan size; loan-to-value; credit scores; documentation type; geographic location; weighted average loan age; originator; servicer; historical prepayment, default and loss severity experience of the mortgage loan pool; and delinquency rate. Yield curves used in the discounted cash flow models are based on observed market prices for comparable securities and published interest rate data to estimate market yields.

Commercial Mortgage-Backed Securities

•

Agency Commercial Mortgage-Backed Securities ("CMBS"): Government National Mortgage Association (“GNMA”) project loans are measured based on inputs corroborated from and benchmarked to observed prices of recent securitization transactions of similar securities with adjustments incorporating an evaluation for various factors, including prepayment speeds, default rates, and cash flow structures as well as the likelihood of pricing levels in the current market environment. Federal National Mortgage Association (“FNMA”) Delegated Underwriting and Servicing (“DUS”) mortgage-backed securities are generally measured by using prices observed for recently executed market transactions to estimate market-clearing spread levels for purposes of estimating fair value. GNMA project loan bonds and FNMA DUS mortgage-backed securities are categorized within Level 2 of the fair value hierarchy.


•	Non-Agency CMBS: Non-agency CMBS are measured using pricing data obtained from external pricing services and prices observed for recently executed market transactions and are categorized within Level 2 and Level 3 of the fair value hierarchy.

Other Asset-Backed Securities

Other asset-backed securities include, but are not limited to, securities backed by auto loans, credit card receivables, student loans and other consumer loans and are categorized within Level 2 and Level 3 of the fair value hierarchy. Valuations are primarily determined using pricing data obtained from external pricing services and broker quotes and prices observed for recently executed market transactions.

Loans and Other Receivables

•

Corporate Loans: Corporate loans categorized within Level 2 of the fair value hierarchy are measured based on market price quotations where market price quotations from external pricing services are supported by transaction data. Corporate loans categorized within Level 3 of the fair value hierarchy are measured based on price quotations that are considered to be less transparent, market prices for debt securities of the same creditor, and estimates of future cash flow incorporating assumptions regarding creditor default and recovery rates and consideration of the issuer’s capital structure.

•

Participation Certificates in Agency Residential Loans: Valuations of participation certificates in agency residential loans are based on observed market prices of recently executed purchases and sales of similar loans. The loan participation certificates are categorized within Level 2 of the fair value hierarchy given the observability and volume of recently executed transactions and availability of data provider pricing.

•

Project Loans and Participation Certificates in GNMA Project and Construction Loans: Valuations of participation certificates in GNMA project and construction loans are based on inputs corroborated from and benchmarked to observed prices of recent securitizations of assets with similar underlying loan collateral to derive an implied spread. Securitization prices are adjusted to estimate the fair value of the loans incorporating an evaluation for various factors, including prepayment speeds, default rates, and cash flow structures as well as the likelihood of pricing levels in the current market environment. The measurements are categorized within Level 2 of the fair value hierarchy given the observability and volume of recently executed transactions.

•

Consumer Loans and Funding Facilities: Consumer and small business whole loans and related funding facilities are valued based on observed market transactions incorporating additional valuation inputs including, but not limited to, delinquency and default rates, prepayment rates, borrower characteristics, loan risk grades and loan age. These assets are categorized within Level 2 or Level 3 of the fair value hierarchy.

•

Escrow and Trade Claim Receivables: Escrow and trade claim receivables are categorized within Level 3 of the fair value hierarchy where fair value is estimated based on reference to market prices and implied yields of debt securities of the same or similar issuers. Escrow and trade claim receivables are categorized within Level 2 of the fair value hierarchy where fair value is based on recent trade activity in the same security.

Derivatives

•

Listed Derivative Contracts: Listed derivative contracts that are actively traded are measured based on quoted exchange prices, which are generally obtained from external pricing services, and are categorized within Level 1 of the fair value hierarchy. Listed derivatives for which there is limited trading activity are measured based on incorporating the closing auction price of the underlying equity security, use similar valuation approaches as those applied to over-the-counter derivative contracts and are categorized within Level 2 of the fair value hierarchy.

•

OTC Derivative Contracts: Over-the-counter (“OTC”) derivative contracts are generally valued using models, whose inputs reflect assumptions that we believe market participants would use in valuing the derivative in a current period transaction. Inputs to valuation models are appropriately calibrated to market data. For many OTC derivative contracts, the valuation models do not involve material subjectivity as the methodologies do not entail significant judgment and the inputs to valuation models do not involve a high degree of subjectivity as the valuation model inputs are readily observable or can be derived from actively quoted markets. OTC derivative contracts are primarily categorized within Level 2 of the fair value hierarchy given the observability and significance of the inputs to the valuation models. Where significant inputs to the valuation are unobservable, derivative instruments are categorized within Level 3 of the fair value hierarchy.

OTC options include OTC equity, foreign exchange, interest rate and commodity options measured using various valuation models, such as the Black-Scholes, with key inputs impacting the valuation including the underlying security, foreign exchange spot rate or commodity price, implied volatility, dividend yield, interest rate curve, strike price and maturity date. Discounted cash flow models are utilized to measure certain OTC derivative contracts including the valuations of our interest rate swaps, which incorporate observable inputs related to interest rate curves, valuations of our foreign exchange forwards and swaps, which incorporate observable inputs related to foreign currency spot rates and forward curves and valuations of our commodity swaps and forwards, which incorporate observable inputs related to commodity spot prices and forward curves. Credit default swaps include both index and single-name credit default swaps. External prices are available as inputs in measuring index credit default swaps and single-name credit default swaps. For commodity and equity total return swaps, market prices are observable for the underlying asset and used as the basis for measuring the fair value of the derivative contracts. Total return swaps executed on other underlyings are measured based on valuations received from external pricing services.

Investments at Fair Value and Investments in Managed Funds

Investments at fair value based on NAV and Investments in Managed Funds include investments in hedge funds, fund of funds, private equity funds, convertible bond funds and commodity funds, which are measured at the NAV of the funds, provided by the fund managers and are excluded from the fair value hierarchy. Investments at fair value also include direct equity investments in private companies, which are measured at fair value using valuation techniques involving quoted prices of or market data for comparable companies, similar company ratios and multiples (e.g., price/EBITDA, price/book value), discounted cash flow analyses and transaction prices observed for subsequent financing or capital issuance by the company. Direct equity investments in private companies are categorized within Level 2 or Level 3 of the fair value hierarchy. Additionally, investments at fair value include investments in insurance contracts relating to our defined benefit plan in Germany. Fair value for the insurance contracts is determined using a third party and is categorized within Level 3 of the fair value hierarchy.

The following tables present information about our investments in entities that have the characteristics of an investment company (in thousands):



	August 31, 2016
	Fair Value (1)		Unfunded Commitments		Redemption Frequency (if currently eligible)
Equity Long/Short Hedge Funds (2)	$	46,195	$	—	Monthly, Quarterly
Fixed Income and High Yield Hedge Funds (3)	807		—		—
Fund of Funds (4)	226		—		—
Equity Funds (5)	41,716		20,295		—
Multi-asset Funds (6)	132,248		—		Monthly, Quarterly
Total	$	221,192	$	20,295



	November 30, 2015 (7)
	Fair Value (1)		Unfunded Commitments		Redemption Frequency (if currently eligible)
Equity Long/Short Hedge Funds (2)	$	54,725	$	—	Monthly, Quarterly
Fixed Income and High Yield Hedge Funds (3)	1,703		—		—
Fund of Funds (4)	287		94		—
Equity Funds (5)	42,111		20,791		—
Multi-asset Funds (6)	23,358		—		Monthly, Quarterly
Convertible Bond Funds (8)	326		—		At Will
Total	$	122,510	$	20,885


(1)	Where fair value is calculated based on NAV, fair value has been derived from each of the funds’ capital statements.


(2)	This category includes investments in hedge funds that invest, long and short, primarily in equity securities in domestic and international markets in both the public and private sectors. At August 31, 2016, approximately 2% of the fair value of investments in this category is classified as being in liquidation.

(3)

This category includes investments in funds that invest in loans secured by a first trust deed on property, domestic and international public high yield debt, private high yield investments, senior bank loans, public leveraged equities, distressed debt, and private equity investments. There are no redemption provisions. At November 30, 2015, the underlying assets of 8% of these funds are being liquidated and we are unable to estimate when the underlying assets will be fully liquidated.

(4)

This category includes investments in fund of funds that invest in various private equity funds. At August 31, 2016 and November 30, 2015, approximately 98% and 95%, respectively, of the fair value of investments in this category are managed by us and have no redemption provisions. The investments in this category are gradually being liquidated or we have requested redemption, however, we are unable to estimate when these funds will be received.

(5)

At August 31, 2016 and November 30, 2015, approximately 99% and 100%, respectively, of the fair value of investments in this category include investments in equity funds that invest in the equity of various U.S. and foreign private companies in the energy, technology, internet service and telecommunication service industries. These investments cannot be redeemed; instead distributions are received through the liquidation of the underlying assets of the funds, which are expected to liquidate in one to eight years.

(6)

This category includes investments in hedge funds that invest, long and short, primarily in multi-asset securities in domestic and international markets in both the public and private sectors. At August 31, 2016 and November 30, 2015, investments representing approximately 12% and 100%, respectively, of the fair value of investments in this category are redeemable with 30-90 days prior written notice.


(7)	Prior period amounts have been recast to conform to the current year's presentation due to the presentation of multi-asset funds. Previously, these investments had been classified within equity long/short hedge funds.


(8)	This category represents an investment in the Jefferies Umbrella Fund, an open-ended investment company managed by us that invested primarily in convertible bonds. The underlying assets were fully liquidated during the nine months ended August 31, 2016.

Other Secured Financings

Other secured financings that are accounted for at fair value include notes issued by consolidated VIEs, which are classified as Level 2 or Level 3 within the fair value hierarchy. Fair value is based on recent transaction prices for similar assets.

Long-term Debt-Structured Notes

Long-term debt includes variable rate and fixed to floating rate structured notes that contain various interest rate payment terms and are generally measured using valuation models for the derivative and debt portions of the notes. These models incorporate market price quotations from external pricing sources referencing the appropriate interest rate curves and are generally categorized within Level 2 of the fair value hierarchy. The impact of the Company’s own credit spreads is also included based on observed secondary bond market spreads and asset-swap spreads.

Long-term Debt - Embedded Conversion Option

The embedded conversion option presented within long-term debt represents the fair value of the conversion option on Leucadia shares within our 3.875% Convertible Senior Debentures, due November 1, 2029 and categorized as Level 3 within the fair value hierarchy. The conversion option was valued using a convertible bond model using as inputs the price of Leucadia's common stock, the conversion strike price, 252-day historical volatility, a maturity date of November 1, 2017 (the first put date), dividend yield and the risk-free interest rate curve.

The following is a summary of changes in fair value of our financial assets and liabilities that have been categorized within Level 3 of the fair value hierarchy for the three months ended August 31, 2016 (in thousands):



	Three Months Ended August 31, 2016
	Balance at May 31, 2016		Total gains/ losses (realized and unrealized) (1)			Purchases		Sales			Settlements			Issuances		Net transfers into/ (out of) Level 3			Balance at August 31, 2016		Change in unrealized gains/ (losses) relating to instruments still held at August 31, 2016 (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	48,816	$	(6,492	)	$	291	$	(49	)	$	—		$	—	$	(20,371	)	$	22,195	$	(892	)
Corporate debt securities	24,113		(145		)	10,696		(5,046		)	—			—		5,389			35,007		405
CDOs and CLOs	52,710		(4,067		)	4,205		(5,203		)	—			—		(3,575		)	44,070		(4,606		)
Municipal securities	—		(7,074		)	—		—			—			—		34,331			27,257		(7,074		)
Sovereign obligations	120		5			—		(125		)	—			—		—			—		—
RMBS	63,308		(2,343		)	1,884		(10,874		)	(463		)	—		(4,631		)	46,881		(183		)
CMBS	24,983		(1,531		)	—		—			—			—		1,141			24,593		(236		)
Other asset-backed securities	43,033		(2,247		)	3,416		(2,727		)	(1,429		)	—		21,066			61,112		(2,202		)
Loans and other receivables	104,399		(23,445		)	31,512		(10,140		)	(16,804		)	—		(7,065		)	78,457		(16,044		)
Investments at fair value	57,765		(966		)	—		(485		)	(278		)	—		29,000			85,036		(1,113		)
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	—	$	—		$	—	$	—		$	—		$	—	$	38		$	38	$	—
Corporate debt securities	—		(27		)	—		550			—			—		—			523		(27		)
Net derivatives (2)	4,424		(4,736		)	—		11,101			32			601		(375		)	11,047		(1,589		)
Loans	1,896		(402		)	—		170			—			—		(816		)	848		(400		)
Other secured financings	468		(200		)	—		—			—			—		—			268		200


(1)	Realized and unrealized gains/losses are reported in Principal transaction revenues in the Consolidated Statements of Earnings.


(2)	Net derivatives represent Financial instruments owned—Derivatives and Financial instruments sold, not yet purchased —Derivatives.

Analysis of Level 3 Assets and Liabilities for the Three Months Ended August 31, 2016

During the three months ended August 31, 2016, transfers of assets of $147.0 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:


•	Other asset-backed securities of $27.3 million, CDOs and CLOs of $23.7 million and RMBS of $13.7 million, for which no recent trade activity was observed for purposes of determining observable inputs;


•	Municipals securities of $34.3 million and investments at fair value of $29.0 million due to a lack of observable market transactions.

During the three months ended August 31, 2016, transfers of assets of $91.8 million from Level 3 to Level 2 are primarily attributed to:


•	CDOs and CLOs of $27.3 million and RMBS of $18.3 million, for which market trades were observed in the period for either identical or similar securities;


•	Corporate equity securities of $20.5 million due to an increase in observable market transactions;


•	Loans and other receivables of $15.8 million due to a greater number of contributors for certain vendor quotes to support classification within Level 2.

Net losses on Level 3 assets were $48.3 million and net gains on Level 3 liabilities were $5.4 million for the three months ended August 31, 2016. Net losses on Level 3 assets were primarily due to decreased valuations in loans and other receivables, municipal securities, corporate equity securities, CDOs and CLOs, RMBS, other asset-backed securities and CMBS. Net gains on level 3 liabilities were primarily due to decreased valuations of certain derivative liabilities.

The following is a summary of changes in fair value of our financial assets and liabilities that have been categorized within Level 3 of the fair value hierarchy for the nine months ended August 31, 2016 (in thousands):



	Nine Months Ended August 31, 2016
	Balance at November 30, 2015			Total gains/ losses (realized and unrealized) (1)			Purchases		Sales			Settlements			Issuances		Net transfers into/ (out of) Level 3			Balance at August 31, 2016		Change in unrealized gains/ (losses) relating to instruments still held at August 31, 2016 (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	40,906		$	(8,388	)	$	5,225	$	(49	)	$	—		$	—	$	(15,499	)	$	22,195	$	(727	)
Corporate debt securities	25,876			5,239			29,629		(20,331		)	—			—		(5,406		)	35,007		1,456
CDOs and CLOs	85,092			(24,356		)	61,707		(69,397		)	(605		)	—		(8,371		)	44,070		(13,196		)
Municipal securities	—			(1,462		)	—		—			—			—		28,719			27,257		(1,462		)
Sovereign obligations	120			5			—		(125		)	—			—		—			—		—
RMBS	70,263			(7,243		)	1,948		(13,203		)	(1,078		)	—		(3,806		)	46,881		228
CMBS	14,326			(4,606		)	1,256		(2,023		)	—			—		15,640			24,593		(3,337		)
Other asset-backed securities	42,925			(2,420		)	66,503		(60,525		)	(6,678		)	—		21,307			61,112		(9,993		)
Loans and other receivables	189,289			(30,843		)	305,920		(206,587		)	(163,913		)	—		(15,409		)	78,457		(27,714		)
Investments at fair value	53,120			(19,055		)	26,227		(485		)	(834		)	—		26,063			85,036		(11,988		)
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	38		$	—		$	—	$	—		$	—		$	—	$	—		$	38	$	—
Corporate debt securities	—			(27		)	—		550			—			—		—			523		—
Net derivatives (2)	(242		)	3,104			—		11,101			(14		)	1,606		(4,508		)	11,047		(5,745		)
Loans	10,469			7			—		681			(213		)	—		(10,096		)	848		45
Other secured financings	544			(276		)	—		—			—			—		—			268		276


(1)	Realized and unrealized gains/losses are reported in Principal transaction revenues in the Consolidated Statements of Earnings.


(2)	Net derivatives represent Financial instruments owned—Derivatives and Financial instruments sold, not yet purchased —Derivatives.

Analysis of Level 3 Assets and Liabilities for the Nine Months Ended August 31, 2016

During the nine months ended August 31, 2016, transfers of assets of $157.8 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:


•	Other asset-backed securities of $38.5 million, RMBS of $21.7 million, CMBS of $17.2 and CDOs and CLOs of $16.9 million, for which no recent trade activity was observed for purposes of determining observable inputs;


•	Municipals securities of $28.7 million and investments at fair value of $26.1 million due to a lack of observable market transactions;

During the nine months ended August 31, 2016, transfers of assets of $114.5 million from Level 3 to Level 2 are primarily attributed to:


•	CDOs and CLOs of $25.3 million, RMBS of $25.5 million and other asset-backed securities of $17.0 million, for which market trades were observed in the period for either identical or similar securities;


•	Loans and other receivables of $19.8 million due to a greater number of contributors for certain vendor quotes supporting classification into Level 2;


•	Corporate equity securities of $19.2 million due to an increase in observable market transactions.

There were $10.2 million transfers of loan liabilities from Level 3 to Level 2 due to an increase in observable inputs in the valuation.

Net losses on Level 3 assets were $93.1 million and net losses on Level 3 liabilities were $2.8 million for the nine months ended August 31, 2016. Net losses on Level 3 assets were primarily due to decreased valuations of loans and other receivables, CDOs and CLOs, investments at fair value, corporate equity securities, RMBS and municipal securities. Net losses on Level 3 liabilities were primarily due to increased valuations of certain derivative instruments.



	Three Months Ended August 31, 2015
	Balance at May 31, 2015			Total gains/ losses (realized and unrealized) (1)			Purchases			Sales			Settlements			Issuances		Net transfers into/ (out of) Level 3			Balance at August 31, 2015		Change in unrealized gains/ (losses) relating to instruments still held at August 31, 2015 (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	20,547		$	3,901		$	21,162		$	(5,173	)	$	—		$	—	$	(1,935	)	$	38,502	$	3,803
Corporate debt securities	31,917			(5,276		)	10,395			(17,197		)	(1		)	—		4,493			24,331		(5,544		)
CDOs and CLOs	89,007			(12,560		)	14,961			—			(13,230		)	—		2,872			81,050		(12,561		)
RMBS	88,695			(3,009		)	10,034			(8,424		)	(195		)	—		(679		)	86,422		655
CMBS	17,862			(510		)	—			(680		)	—			—		(1,525		)	15,147		(545		)
Other asset-backed securities	11,857			870			21,913			—			(1,167		)	—		(877		)	32,596		813
Loans and other receivables	108,756			(2,111		)	31,269			(603		)	(42,529		)	—		617			95,399		(6,182		)
Investments, at fair value	131,343			83,580			—			(127,427		)	(277		)	—		(21,010		)	66,209		19,675
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	38		$	—		$	—		$	—		$	—		$	—	$	(38	)	$	—	$	—
Corporate debt securities	452			(226		)	—			—			—			—		—			226		226
Net derivatives (2)	(1,586		)	(1,020		)	(1,432		)	11,618			24			416		(857		)	7,163		551
Loans	10,732			109			(3,012		)	—			—			—		2,542			10,371		(110		)
Other secured financings	56,060			—			—			—			(3,914		)	—		(51,572		)	574		—
Embedded conversion option	725			(611		)	—			—			—			—		—			114		611


(1)	Realized and unrealized gains/losses are reported in Principal transaction revenues in the Consolidated Statements of Earnings.


(2)	Net derivatives represent Financial instruments owned—Derivatives and Financial instruments sold, not yet purchased —Derivatives.

Analysis of Level 3 Assets and Liabilities for the Three Months Ended August 31, 2015

During the three months ended August 31, 2015, transfers of assets of $73.4 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:


•	CDOs and CLOs of $42.8 million, non-agency RMBS of $17.8 million and CMBS of $3.7 million for which no recent trade activity was observed for purposes of determining observable inputs;


•	Loans and other receivables of $4.1 million due to a lower number of contributors comprising vendor quotes to support classification within Level 2;


•	Corporate debt securities of $5.0 million due to a lack of observable market transactions.

During the three months ended August 31, 2015, transfers of assets of $91.4 million from Level 3 to Level 2 are primarily attributed to:


•	Non-agency RMBS of $18.5 million and CMBS of $5.2 million for which market trades were observed in the period for either identical or similar securities;


•	CDOs and CLOs of $39.9 million due to a greater number of contributors for certain vendor quotes supporting classification into Level 2;


•	Investments at fair value of $21.0 million due to an increase in observable market transactions;


•	Loans and other receivables of $3.5 million due to a greater number of contributors for certain vendor quotes supporting classification into Level 2;


•	Corporate equity securities of $1.9 million due to an increase in observable market transactions.

There were $2.5 million transfers of loan liabilities from Level 2 to Level 3 due to a decrease in observable inputs in the valuation and $51.6 million transfers of other secured financings from Level 3 to Level 2 due to an increase in observable inputs in the valuation.

Net gains on Level 3 assets were $64.9 million and net gains on Level 3 liabilities were $1.7 million for the three months ended August 31, 2015. Net gains on Level 3 assets were primarily due to increased valuations of corporate equity securities and investments at fair value, partially offset by a decrease in valuation of CDOs and CLOs, corporate debt securities, RMBS and loans and other receivables. Net gains on Level 3 liabilities were primarily due to decreased valuations of certain derivative instruments.



	Nine Months Ended August 31, 2015
	Balance at November 30, 2014			Total gains/ losses (realized and unrealized) (1)			Purchases			Sales			Settlements			Issuances		Net transfers into/ (out of) Level 3			Balance at August 31, 2015		Change in unrealized gains/ (losses) relating to instruments still held at August 31, 2015 (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	20,964		$	10,247		$	22,631		$	(5,176	)	$	—		$	—	$	(10,164	)	$	38,502	$	10,210
Corporate debt securities	22,766			(5,425		)	83,613			(88,711		)	(1		)	—		12,089			24,331		(5,797		)
CDOs and CLOs	124,650			(28,999		)	63,038			(47,570		)	(20,481		)	—		(9,588		)	81,050		(22,654		)
RMBS	82,557			(6,776		)	30,865			(25,222		)	(358		)	—		5,356			86,422		(2,507		)
CMBS	26,655			(2,053		)	3,366			(9,973		)	(6,981		)	—		4,133			15,147		(1,851		)
Other asset-backed securities	2,294			666			69,892			(40,000		)	(1,438		)	—		1,182			32,596		607
Loans and other receivables	97,258			(7,331		)	115,370			(40,978		)	(82,100		)	—		13,180			95,399		(8,850		)
Investments, at fair value	53,224			88,195			—			(124,854		)	(3,818		)	—		53,462			66,209		24,372
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	38		$	—		$	—		$	—		$	—		$	—	$	(38	)	$	—	$	—
Corporate debt securities	223			(1		)	(6,677		)	6,804			—			—		(123		)	226		(226		)
Net derivatives (2)	(4,638		)	3,022			(4,527		)	11,340			(30		)	1,901		95			7,163		(5,211		)
Loans	14,450			(102		)	(3,487		)	—			—			—		(490		)	10,371		102
Other secured financings	30,825			—			—			—			(15,674		)	36,995		(51,572		)	574		—
Embedded conversion option	693			(579		)	—			—			—			—		—			114		579


(1)	Realized and unrealized gains/losses are reported in Principal transaction revenues in the Consolidated Statements of Earnings.


(2)	Net derivatives represent Financial instruments owned—Derivatives and Financial instruments sold, not yet purchased —Derivatives.

Analysis of Level 3 Assets and Liabilities for the Nine Months Ended August 31, 2015

During the nine months ended August 31, 2015, transfers of assets of $157.7 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:


•	CDOs and CLOs of $16.0 million, non-agency RMBS of $21.3 million, CMBS of $9.8 million and other asset-backed securities of $1.4 million for which no recent trade activity was observed for purposes of determining observable inputs;


•	Loans and other receivables of $19.2 million due to a lower number of contributors comprising vendor quotes to support classification within Level 2;


•	Corporate debt securities of $12.2 million, corporate equity securities of $1.6 million and investments at fair value of $76.2 million due to a lack of observable market transactions.

During the nine months ended August 31, 2015, transfers of assets of $88.1 million from Level 3 to Level 2 are primarily attributed to:


•	Non-agency RMBS of $15.9 million and CMBS of $5.6 million for which market trades were observed in the period for either identical or similar securities;


•	CDOs and CLOs of $25.6 million and loans and other receivables of $6.1 million due to a greater number of contributors for certain vendor quotes supporting classification into Level 2;


•	Investments at fair value of $22.7 million due to an increase in observable market transactions;


•	Corporate equity securities of $11.8 million due to an increase in observable market transactions.

There were $51.6 million transfers of other secured financings from Level 3 to Level 2 due to an increase in observable inputs in the valuation.

Net gains on Level 3 assets were $48.5 million and net losses on Level 3 liabilities were $2.3 million for the nine months ended August 31, 2015. Net gains on Level 3 assets were primarily due to increased valuations of certain investments at fair value and corporate equity securities, partially offset by decreased valuations of CDOs and CLOs, loans and other receivables, and residential and CMBS, and corporate debt securities. Net losses on Level 3 liabilities were primarily due to increased valuations of certain derivative instruments.

Quantitative Information about Significant Unobservable Inputs used in Level 3 Fair Value Measurements at August 31, 2016 and November 30, 2015

The tables below present information on the valuation techniques, significant unobservable inputs and their ranges for our financial assets and liabilities, subject to threshold levels related to the market value of the positions held, measured at fair value on a recurring basis with a significant Level 3 balance. The range of unobservable inputs could differ significantly across different firms given the range of products across different firms in the financial services sector. The inputs are not representative of the inputs that could have been used in the valuation of any one financial instrument (i.e., the input used for valuing one financial instrument within a particular class of financial instruments may not be appropriate for valuing other financial instruments within that given class). Additionally, the ranges of inputs presented below should not be construed to represent uncertainty regarding the fair values of our financial instruments; rather, the range of inputs is reflective of the differences in the underlying characteristics of the financial instruments in each category.

For certain categories, we have provided a weighted average of the inputs allocated based on the fair values of the financial instruments comprising the category. We do not believe that the range or weighted average of the inputs is indicative of the reasonableness of uncertainty of our Level 3 fair values. The range and weighted average are driven by the individual financial instruments within each category and their relative distribution in the population. The disclosed inputs when compared with the inputs as disclosed in other periods should not be expected to necessarily be indicative of changes in our estimates of unobservable inputs for a particular financial instrument as the population of financial instruments comprising the category will vary from period to period based on purchases and sales of financial instruments during the period as well as transfers into and out of Level 3 each period.



August 31, 2016
Financial Instruments Owned	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input / Range	Weighted Average
Corporate equity securities	$	22,195
Non-exchange traded securities			Market approach	EBITDA (a) multiple	5.1 - 16.3	12.1
				Underlying stock price	$3-$75	$	15
			Comparable pricing	Discount factor	60%	—
				Underlying stock price	$218	—
			Present value	Average silver production (tons per day)	783	—
Corporate debt securities	$	35,007
			Convertible bond model	Discount rate/yield	9%	—
				Volatility	40%	—
			Market approach	Price	$30-$100	$	65
CDOs and CLOs	$	32,832	Discounted cash flows	Constant prepayment rate	0%-20%	17		%
				Constant default rate	2%-7%	3		%
				Loss severity	25%-75%	40		%
				Yield	3%-35%	15		%
Municipal securities	$	27,257	Scenario analysis	Price	$4	—
RMBS	$	46,881	Discounted cash flows	Constant prepayment rate	0%-25%	6		%
				Constant default rate	2%-50%	4		%
				Loss severity	10%-100%	55		%
				Yield	3%-9%	5		%
CMBS	$	24,593	Discounted cash flows	Yield	6%-12%	9		%
				Cumulative loss rate	1%-70%	25		%
Other asset-backed securities	$	61,112	Discounted cash flows	Constant prepayment rate	0%-55%	24		%
				Constant default rate	0%-9%	6		%
				Loss severity	0%-100%	85		%
				Yield	3%-15%	12		%
			Market approach	Price	$33-$70,000,000	$	39,000,000
Loans and other receivables	$	52,216	Market approach	EBITDA (a) multiple	3.6	—
				Discount rate/yield	2%-3%	3		%
			Comparable pricing	Comparable loan price	$98	—
			Present value	Average silver production (tons per day)	783	—
			Scenario analysis	Estimated recovery percentage	6%-82%	44		%
Derivatives	$	9,560
Total return swaps			Comparable pricing	Comparable loan price	$100	—
Credit default swaps			Market approach	Credit spread	265 bps	—
Interest rate swaps				Credit spread	800 bps	—
Investments at fair value
Private equity securities	$	30,724	Market approach	Transaction level	$250	—
Liabilities
Financial Instruments Sold, Not Yet Purchased:
Derivatives	$	20,607
Equity options			Option model	Volatility	45%	—
			Default rate	Default probability	0%	—
Unfunded commitments			Comparable pricing	Comparable loan price	$98	—
			Market approach	Discount rate/yield	3%-56%	54		%
Total return swaps			Comparable pricing	Comparable loan price	$100	—
Variable funding note swaps			Discounted cash flows	Constant prepayment rate	20%	—
				Constant default rate	2%	—
				Loss severity	25%	—
				Yield	14%	—


(a)	Earnings before interest, taxes, depreciation and amortization (“EBITDA”).



November 30, 2015
Financial Instruments Owned	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input / Range	Weighted Average
Corporate equity securities	$	20,285
Non-exchange traded securities			Market approach	EBITDA multiple	4.4	—
				Transaction level	$1	—
				Underlying stock price	$5-$102	$	19
Corporate debt securities	$	20,257	Convertible bond model	Discount rate/yield	86%	—
			Market approach	Transaction level	$59	—
CDOs and CLOs	$	49,923	Discounted cash flows	Constant prepayment rate	5%-20%	13		%
				Constant default rate	2%-8%	2		%
				Loss severity	25%-90%	52		%
				Yield	6%-13%	10		%
RMBS	$	70,263	Discounted cash flows	Constant prepayment rate	0%-50%	13		%
				Constant default rate	1%-9%	3		%
				Loss severity	25%-70%	39		%
				Yield	1%-9%	6		%
CMBS	$	14,326	Discounted cash flows	Yield	7%-30%	16		%
				Cumulative loss rate	2%-63%	23		%
Other asset-backed securities	$	21,463	Discounted cash flows	Constant prepayment rate	6%-8%	7		%
				Constant default rate	3%-5%	4		%
				Loss severity	55%-75%	62		%
				Yield	7%-22%	18		%
			Over-collateralization	Over-collateralization percentage	117%-125%	118		%
Loans and other receivables	$	161,470	Comparable pricing	Comparable loan price	$99-$100	$	99.7
			Market approach	Yield	2%-17%	12		%
				EBITDA multiple	10.0	—
			Scenario analysis	Estimated recovery percentage	6%-100%	83		%
Derivatives	$	19,785
Commodity forwards			Market approach	Discount rate/yield	47%	—		%
				Transaction level	$9,500,000	—
Unfunded commitments			Comparable pricing	Comparable loan price	$100	—
			Market approach	Credit spread	298 bps	—
Total return swaps			Comparable pricing	Comparable loan price	$91.7-$92.4	$	92.1
Investments at fair value	$	7,693
Private equity securities			Market approach	Transaction level	$64	—
				Enterprise value	$5,200,000	—
Liabilities
Financial Instruments Sold, Not Yet Purchased:
Derivatives	$	19,543
Equity options			Option model	Volatility	45%	—
			Default rate	Default probability	0%	—
Unfunded commitments			Comparable pricing	Comparable loan price	$79-$100	$	82.6
			Market approach	Discount rate/yield	3%-10%	10		%
			Discounted cash flows	Constant prepayment rate	20%	—
				Constant default rate	2%	—
				Loss severity	25%	—
				Yield	11%	—
Total return swaps			Comparable pricing	Comparable loan price	$91.7-92.4	$	92.1
Loans and other receivables	$	10,469	Comparable pricing	Comparable loan price	$100	—

The fair values of certain Level 3 assets and liabilities that were determined based on third-party pricing information, unadjusted past transaction prices, reported net asset value or a percentage of the reported enterprise fair value are excluded from the above tables. At August 31, 2016 and November 30, 2015, asset exclusions consisted of $91.8 million and $156.2 million, respectively, primarily comprised of investments at fair value, private equity securities, CDOs and CLOs, sovereign obligations and loans and other receivables. At August 31, 2016 and November 30, 2015, liability exclusions consisted of $1.7 million and $0.6 million, respectively, of other secured financings, loans and other receivables and corporate debt and equity securities.

Sensitivity of Fair Values to Changes in Significant Unobservable Inputs

For recurring fair value measurements categorized within Level 3 of the fair value hierarchy, the sensitivity of the fair value measurement to changes in significant unobservable inputs and interrelationships between those unobservable inputs (if any) are described below:

•

Loans and other receivables, unfunded commitments, corporate equity securities, and total return swaps using comparable pricing valuation techniques. A significant increase (decrease) in the comparable loan and underlying stock price in isolation would result in a significantly higher (lower) fair value measurement. A significant increase (decrease) in the discount factor would result in a significantly lower (higher) fair value measurement.


•	Corporate debt securities using a convertible bond model. A significant increase (decrease) in the bond discount rate/yield would result in a significantly lower (higher) fair value measurement. A significant increase (decrease) in volatility would result in a significantly higher (lower) fair value measurement.

•

Non-exchange traded securities, corporate debt securities, loans and other receivables, unfunded commitments, commodity forwards, credit default swaps, interest rate swaps, other asset backed securities and private equity securities using a market approach valuation technique. A significant increase (decrease) in the EBITDA or other multiples in isolation would result in a significantly higher (lower) fair value measurement. A significant increase (decrease) in the discount rate/yield of a corporate debt security, loan and other receivable or certain derivatives would result in a significantly lower (higher) fair value measurement. A significant increase (decrease) in the transaction level of a private equity security, non-exchange traded security or corporate debt security would result in a significantly higher (lower) fair value measurement. A significant increase (decrease) in the enterprise value of a private equity security would result in a significantly higher (lower) fair value measurement. A significant increase (decrease) in the underlying stock price of the non-exchange traded securities would result in a significantly higher (lower) fair value measurement. A significant increase (decrease) in the credit spread of certain derivatives would result in a significantly lower (higher) fair value measurement. A significant increase (decrease) in the price of the corporate debt securities or other asset backed securities would result in a significantly higher (lower) fair value measurement.

•

Loans and other receivables and municipal securities using scenario analysis. A significant increase (decrease) in the possible recovery rates of the cash flow outcomes underlying the investment would result in a significantly higher (lower) fair value measurement for the financial instrument. A significant increase (decrease) in the price of the municipal securities would result in a significantly higher (lower) fair value measurement for the financial instrument.

•

CDOs and CLOs, RMBS and CMBS and other asset-backed securities, variable funding notes and unfunded commitments using a discounted cash flow valuation technique. A significant increase (decrease) in isolation in the constant default rate, and loss severities would result in a significantly lower (higher) fair value measurement. The impact of changes in the constant prepayment rate would have differing impacts depending on the capital structure of the security. A significant increase (decrease) in the loan or bond yield would result in a significantly lower (higher) fair value measurement.


•	Certain other asset-backed securities using an over-collateralization model. A significant increase (decrease) in the over-collateralization percentage would result in a significantly higher (lower) fair value measurement.


•	Derivative equity options using an option model. A significant increase (decrease) in volatility would result in a significantly higher (lower) fair value measurement.


•	Derivative equity options using a default rate model. A significant increase (decrease) in default probability would result in a significantly lower (higher) fair value measurement.


•	Non-exchange traded securities and loans and other receivables using a present value model. A significant increase (decrease) in average silver production would result in higher (lower) fair value measurement.

Fair Value Option Election

We have elected the fair value option for all loans and loan commitments made by our capital markets businesses. These loans and loan commitments include loans entered into by our Investment Banking division in connection with client bridge financing and loan syndications, loans purchased by our leveraged credit trading desk as part of its bank loan trading activities and mortgage and consumer loan commitments, purchases and fundings in connection with mortgage- and other asset-backed securitization activities. Loans and loan commitments originated or purchased by our leveraged credit and mortgage-backed businesses are managed on a fair value basis. Loans are included in Financial instruments owned and loan commitments are included in Financial instruments owned and Financial instruments sold, not yet purchased on the Consolidated Statements of Financial Condition. The fair value option election is not applied to loans made to affiliate entities as such loans are entered into as part of ongoing, strategic business ventures. Loans to affiliate entities are included within Loans to and investments in related parties on the Consolidated Statements of Financial Condition and are accounted for on an amortized cost basis. We have also elected the fair value option for certain of our structured notes, which are managed by our capital markets businesses and are included in Long-term debt on the Consolidated Statements of Financial Condition. We have elected the fair value option for certain financial instruments held by subsidiaries as the investments are risk managed by us on a fair value basis. The fair value option has also been elected for certain secured financings that arise in connection with our securitization activities and other structured financings. Other secured financings, Receivables – Brokers, dealers and clearing organizations, Receivables – Customers, Receivables – Fees, interest and other, Payables – Brokers, dealers and clearing organizations and Payables – Customers, are accounted for at cost plus accrued interest rather than at fair value; however, the recorded amounts approximate fair value due to their liquid or short-term nature.

The following is a summary of gains (losses) due to changes in instrument specific credit risk on loans, other receivables and debt instruments and gains (losses) due to other changes in fair value on long-term debt measured at fair value under the fair value option (in thousands):



	Three Months Ended August 31,						Nine Months Ended August 31,
	2016			2015			2016			2015
Financial Instruments Owned:
Loans and other receivables	$	(24,874	)	$	(13,566	)	$	(48,658	)	$	(25,686	)
Financial Instruments Sold:
Loans	$	212		$	38		$	229		$	112
Loan commitments	4,769			(51		)	2,196			(1,673		)
Long-term Debt:
Changes in instrument specific credit risk (1)	$	(4,093	)	$	—		$	(7,848	)	$	—
Other changes in fair value (2)	3,225			—			13,530			—


(1)	Changes in instrument-specific credit risk related to structured notes are included in the Consolidated Statements of Comprehensive Income.


(2)	Other changes in fair value for the three and nine months ended August 31, 2016 include $4.5 million and $15.2 million, respectively, included within Principal transactions revenues, and $1.3 million and $1.7 million, respectively, included within Interest expenses on the Consolidated Statements of Earnings.

The following is a summary of the amount by which contractual principal exceeds fair value for loans and other receivables and long-term debt measured at fair value under the fair value option (in thousands).



	August 31, 2016		November 30, 2015
Financial Instruments Owned:
Loans and other receivables (1)	$	843,458	$	408,369
Loans and other receivables on nonaccrual status and/or greater than 90 days past due (1) (2)	223,581		54,652
Long-term debt	7,485		—


(1)	Interest income is recognized separately from other changes in fair value and is included within Interest revenues on the Consolidated Statements of Earnings.


(2)	Amounts include loans and other receivables greater than 90 days past due of $59.7 million and $29.7 million at August 31, 2016 and November 30, 2015, respectively.

The aggregate fair value of loans and other receivables on nonaccrual status and/or greater than 90 days past due was $55.1 million and $307.5 million at August 31, 2016 and November 30, 2015, respectively, which includes loans and other receivables greater than 90 days past due of $19.1 million and $11.3 million at August 31, 2016 and November 30, 2015, respectively.