Fair Value Disclosures (Tables)

9 Months Ended

Aug. 31, 2016

Fair Value Disclosures [Abstract]

Financial Assets and Liabilities Accounted for at Fair Value on Recurring Basis

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.

Investments Measured at Fair Value Based on Net Asset Value Per Share

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.

Summary of Changes in Fair Value of Financial Assets and Liabilities Classified as Level 3

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.

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

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, 2015 (in thousands):

	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.

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, 2015 (in thousands):

	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

Quantitative Information about Significant Unobservable Inputs Used in Level 3 Fair Value Measurements

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	—

Summary of Gains (Losses) Due to Changes in Instrument Specific Credit Risk and Summary of Contractual Principal Exceeds Fair Value for Loans and Other Receivables

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.