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Derivative Financial Instruments (Tables)
 6 Months Ended
May 31, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Fair Value and Related Number of Derivative Contracts Categorized by Type of Derivative Contract
The following tables present the fair value and related number of derivative contracts at May 31, 2017 and November 30, 2016 categorized by type of derivative contract and the platform on which these derivatives are transacted. The fair value of assets/liabilities represents our receivable/payable for derivative financial instruments, gross of counterparty netting and cash collateral received and pledged. The following tables also provide information regarding 1) the extent to which, under enforceable master netting arrangements, such balances are presented net in our Consolidated Statements of Financial Condition as appropriate under U.S. GAAP and 2) the extent to which other rights of setoff associated with these arrangements exist and could have an effect on our financial position (in thousands, except contract amounts).
 
May 31, 2017 (1)
 
Assets
 
Liabilities
 
Fair Value
 
Number of Contracts (2)
 
Fair Value
 
Number of Contracts (2)
Derivatives designated as accounting hedges:
 
 
 
 
 
 
 
Interest rate contracts:
 
 
 
 
 
 
 
Cleared OTC
$
10,448

 
1

 
$
—

 
—

Total derivatives designated as accounting hedges
10,448

 
 
 
—

 
 
 
 
 
 
 
 
 
 
Derivatives not designated as accounting hedges:
 
 
 
 
 
 
 
Interest rate contracts:
 
 
 
 
 
 
 
Exchange-traded
632

 
17,359

 
73

 
48,603

Cleared OTC
1,815,375

 
3,485

 
1,765,864

 
3,750

Bilateral OTC
417,755

 
1,691

 
386,018

 
559

Foreign exchange contracts:
 
 
 
 
 
 
 
Exchange-traded
—

 
496

 
—

 
176

Bilateral OTC
295,104

 
5,416

 
293,527

 
5,688

Equity contracts:
 
 
 
 
 
 
 
Exchange-traded
415,268

 
1,975,152

 
720,347

 
1,696,985

Bilateral OTC
51,826

 
1,161

 
79,257

 
1,134

Commodity contracts:
 
 
 
 
 
 
 
Exchange-traded
—

 
5,020

 
—

 
5,155

Credit contracts:
 
 
 
 
 
 
 
Cleared OTC
26,980

 
59

 
37,238

 
72

Bilateral OTC
17,241

 
148

 
17,760

 
142

Total derivatives not designated as hedges
3,040,181

 
 
 
3,300,084

 
 
 
 
 
 
 
 
 
 
Total gross derivative assets/ liabilities:
 
 
 
 
 
 
 
Exchange-traded
415,900

 
 
 
720,420

 

Cleared OTC
1,852,803

 
 
 
1,803,102

 

Bilateral OTC
781,926

 
 
 
776,562

 

Amounts offset in our Consolidated Statements of Financial Condition (3):
 
 
 
 
 
 
 
Exchange-traded
(409,282
)
 
 
 
(409,282
)
 
 
Cleared OTC
(1,841,960
)
 
 
 
(1,789,139
)
 
 
Bilateral OTC
(620,956
)
 
 
 
(661,259
)
 
 
Net amounts per Consolidated Statements of Financial Condition (4)
$
178,431

 
 
 
$
440,404

 
 
(1)
Exchange-traded derivatives include derivatives executed on an organized exchange. Cleared OTC derivatives include derivatives executed bilaterally and subsequently novated to and cleared through central clearing counterparties. Bilateral OTC derivatives include derivatives executed and settled bilaterally without the use of an organized exchange or central clearing counterparty.
(2)
Number of exchange traded contracts may include open futures contracts. The unsettled fair value of these futures contracts is included in Receivables from brokers, dealers and clearing organizations on our Consolidated Statements of Financial Condition.
(3)
Amounts netted include both netting by counterparty and for cash collateral paid or received.
(4)
We have not received or pledged additional collateral under master netting agreements and/or other credit support agreements that is eligible to be offset beyond what has been offset in our Consolidated Statements of Financial Condition.
 
November 30, 2016 (1)
 
Assets
 
Liabilities
 
Fair Value
 
Number of Contracts (2)
 
Fair Value
 
Number of Contracts (2)
Derivatives not designated as accounting hedges:
 
 
 
 
 
 
 
Interest rate contracts:
 
 
 
 
 
 
 
Exchange-traded
$
2,275

 
24,300

 
$
24

 
29,773

Cleared OTC (3)
2,835,812

 
3,596

 
2,636,469

 
3,445

Bilateral OTC
444,159

 
1,136

 
522,965

 
1,627

Foreign exchange contracts:
 
 
 
 
 
 
 
Exchange-traded
—

 
376

 
—

 
686

Bilateral OTC
529,609

 
7,448

 
516,869

 
7,633

Equity contracts:
 
 
 
 
 
 
 
Exchange-traded
712,767

 
2,820,702

 
1,095,582

 
2,410,956

Bilateral OTC
72,041

 
1,077

 
67,033

 
1,191

Commodity contracts:
 
 
 
 
 
 
 
Exchange-traded
—

 
1,356

 
—

 
920

Credit contracts:
 
 
 
 
 
 
 
Cleared OTC
645

 
6

 
2,304

 
8

Bilateral OTC
19,225

 
213

 
25,503

 
184

Total gross derivative assets/liabilities:
 
 
 
 
 
 
 
Exchange-traded
715,042

 
 
 
1,095,606

 
 
Cleared OTC
2,836,457

 
 
 
2,638,773

 
 
Bilateral OTC
1,065,034

 
 
 
1,132,370

 
 
Amounts offset in our Consolidated Statements of Financial Condition (4):
 
 
 
 
 
 
 
Exchange-traded
(691,009
)
 
 
 
(691,009
)
 
 
Cleared OTC (3)
(2,751,650
)
 
 
 
(2,638,774
)
 
 
Bilateral OTC
(813,340
)
 
 
 
(899,431
)
 
 
Net amounts per Consolidated Statements of Financial Condition (5)
$
360,534

 
 
 
$
637,535

 
 
(1)
Exchange-traded derivatives include derivatives executed on an organized exchange. Cleared OTC derivatives include derivatives executed bilaterally and subsequently novated to and cleared through central clearing counterparties. Bilateral OTC derivatives include derivatives executed and settled bilaterally without the use of an organized exchange or central clearing counterparty.
(2)
Number of exchange traded contracts may include open futures contracts. The unsettled fair value of these futures contracts is included in Receivables from brokers, dealers and clearing organizations on our Consolidated Statements of Financial Condition.
(3)
Pursuant to a rule change by the Chicago Mercantile Exchange in the first quarter of 2017, variation margin exchanged each day with this clearing organization on certain interest rate and credit derivatives is characterized as settlement payments as opposed to cash posted as collateral. The impact of this rule change would have been a reduction in gross interest rate derivative assets and liabilities as of November 30, 2016 of approximately $1.0 billion, and a corresponding decrease in counterparty and cash collateral netting, with no impact to the Consolidated Statement of Financial Condition.
(4)
Amounts netted include both netting by counterparty and for cash collateral paid or received.
(5)
We have not received or pledged additional collateral under master netting agreements and/or other credit support agreements that is eligible to be offset beyond what has been offset in our Consolidated Statements of Financial Condition.
Unrealized and Realized Gains (Losses) on Derivative Contracts
The following table provides information related to gains (losses) recognized in Interest expense in our Consolidated Statements of Earnings on a fair value hedge (in thousands):
 
Three Months Ended 
 May 31,
 
Six Months Ended 
 May 31,
Gains (Losses)
2017
 
2016
 
2017
 
2016
Interest rate swaps
$
12,352

 
$
—

 
$
7,743

 
$
—

Long-term debt
(10,295
)
 
—

 
(4,890
)
 
—

Total
$
2,057

 
$
—

 
$
2,853

 
$
—

The following table presents unrealized and realized gains (losses) on derivative contracts recognized in Principal transactions revenue in our Consolidated Statements of Earnings, which are utilized in connection with our client activities and our economic risk management activities (in thousands):
 
Three Months Ended 
 May 31,
 
Six Months Ended 
 May 31,
Gains (Losses)
2017
 
2016
 
2017
 
2016
Interest rate contracts
$
(960
)
 
$
(7,559
)
 
$
9,037

 
$
(80,084
)
Foreign exchange contracts
1,099

 
4,525

 
3,107

 
6,114

Equity contracts
417

 
(98,546
)
 
(168,699
)
 
(324,212
)
Commodity contracts
(6,395
)
 
(315
)
 
(6,906
)
 
(2,190
)
Credit contracts
(1,134
)
 
10,306

 
10,907

 
(2,583
)
Total
$
(6,973
)
 
$
(91,589
)
 
$
(152,554
)
 
$
(402,955
)
Remaining Contract Maturity of Fair Value of OTC Derivative Assets and Liabilities
The following tables set forth by remaining contract maturity the fair value of OTC derivative assets and liabilities at May 31, 2017 (in thousands):
 
OTC Derivative Assets (1) (2) (3)
 
0 – 12 Months
 
1 – 5 Years
 
Greater Than 5 Years
 
Cross-Maturity Netting (4)
 
Total
Equity swaps and options
$
4,049

 
$
3,451

 
$
—

 
$
—

 
$
7,500

Credit default swaps
3,671

 
1,515

 
3,862

 
(164
)
 
8,884

Total return swaps
20,455

 
2,652

 
262

 
(822
)
 
22,547

Foreign currency forwards, swaps and options
67,838

 
6,873

 
—

 
(2,998
)
 
71,713

Interest rate swaps, options and forwards
36,082

 
164,435

 
103,571

 
(65,569
)
 
238,519

Total
$
132,095

 
$
178,926

 
$
107,695

 
$
(69,553
)
 
349,163

Cross product counterparty netting
 
 
 
 
 
 
 
 
(11,429
)
Total OTC derivative assets included in Financial instruments owned
 
 
 
 
 
 
 
 
$
337,734

(1)
At May 31, 2017, we held exchange-traded derivative assets and other credit agreements with a fair value of $7.3 million, which are not included in this table.
(2)
OTC derivative assets in the table above are gross of collateral received. OTC derivative assets are recorded net of collateral received in our Consolidated Statements of Financial Condition. At May 31, 2017, cash collateral received was $166.6 million.
(3)
Derivative fair values include counterparty netting within product category.
(4)
Amounts represent the netting of receivable balances with payable balances for the same counterparty within product category across maturity categories.
 
OTC Derivative Liabilities (1) (2) (3)
 
0 – 12 Months
 
1 – 5 Years
 
Greater Than 5 Years
 
Cross-Maturity Netting (4)
 
Total
Equity swaps and options
$
13,419

 
$
17,600

 
$
2,385

 
$
—

 
$
33,404

Credit default swaps
1,986

 
12,843

 
2,651

 
(164
)
 
17,316

Total return swaps
18,801

 
4,075

 
203

 
(822
)
 
22,257

Foreign currency forwards, swaps and options
70,074

 
3,065

 
—

 
(2,998
)
 
70,141

Fixed income forwards
1,687

 
—

 
—

 
—

 
1,687

Interest rate swaps, options and forwards
33,981

 
92,311

 
86,507

 
(65,569
)
 
147,230

Total
$
139,948

 
$
129,894

 
$
91,746

 
$
(69,553
)
 
292,035

Cross product counterparty netting
 
 
 
 
 
 
 
 
(11,429
)
Total OTC derivative liabilities included in Financial instruments sold, not yet purchased
 
 
 
 
 
 
 
 
$
280,606

(1)
At May 31, 2017, we held exchange-traded derivative liabilities and other credit agreements with a fair value of $313.9 million, which are not included in this table.
(2)
OTC derivative liabilities in the table above are gross of collateral pledged. OTC derivative liabilities are recorded net of collateral pledged in our Consolidated Statements of Financial Condition. At May 31, 2017, cash collateral pledged was $154.1 million.
(3)
Derivative fair values include counterparty netting within product category.
(4)
Amounts represent the netting of receivable balances with payable balances for the same counterparty within product category across maturity categories.
Counterparty Credit Quality with Respect to Fair Value of OTC Derivatives Assets
At May 31, 2017, the counterparty credit quality with respect to the fair value of our OTC derivatives assets was as follows (in thousands):
Counterparty credit quality (1):
 
A- or higher
$
147,797

BBB- to BBB+
56,371

BB+ or lower
74,164

Unrated
59,402

Total
$
337,734

(1)
We utilize internal credit ratings determined by our Risk Management department. Credit ratings determined by Risk Management use methodologies that produce ratings generally consistent with those produced by external rating agencies.