Fair Value Disclosures (Tables)

3 Months Ended

Feb. 28, 2018

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 net asset value (“NAV”) of $327.5 million and $215.4 million at February 28, 2018 and November 30, 2017, respectively, by level within the fair value hierarchy (in thousands):

	February 28, 2018
	Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (1)			Total
Assets:
Financial instruments owned:
Corporate equity securities	$	2,127,451	$	65,101	$	35,412	$	—		$	2,227,964
Corporate debt securities	—		2,865,547		26,103		—			2,891,650
Collateralized debt obligations and collateralized loan obligations	—		144,505		26,433		—			170,938
U.S. government and federal agency securities	844,212		42,943		—		—			887,155
Municipal securities	—		713,643		—		—			713,643
Sovereign obligations	1,312,317		1,139,803		—		—			2,452,120
Residential mortgage-backed securities	—		2,357,081		21,762		—			2,378,843
Commercial mortgage-backed securities	—		505,552		15,103		—			520,655
Other asset-backed securities	—		286,459		51,288		—			337,747
Loans and other receivables	—		2,118,571		62,043		—			2,180,614
Derivatives (2)	8,651		2,545,221		4,712		(2,409,046		)	149,538
Investments at fair value	—		—		79,879		—			79,879
Total financial instruments owned, excluding Investments at fair value based on NAV	$	4,292,631	$	12,784,426	$	322,735	$	(2,409,046	)	$	14,990,746
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	1,768,112	$	6,592	$	61	$	—		$	1,774,765
Corporate debt securities	—		1,595,775		522		—			1,596,297
U.S. government and federal agency securities	1,398,020		—		—		—			1,398,020
Municipal securities	—		7,659		—		—			7,659
Sovereign obligations	1,208,396		923,899		—		—			2,132,295
Commercial mortgage-backed securities	—		—		35		—			35
Loans	—		1,861,278		10,323		—			1,871,601
Derivatives	11,451		3,476,824		11,594		(2,650,128		)	849,741
Total financial instruments sold, not yet purchased	$	4,385,979	$	7,872,027	$	22,535	$	(2,650,128	)	$	9,630,413
Long-term debt	$	—	$	735,456	$	—	$	—		$	735,456

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

(2) During the three months ended February 28, 2018, we transferred from Level 1 to Level 2 $20.8 million of listed options included in Financial instruments owned—Derivatives, which are measured based on broker quotes or mid-market valuations. There were no other material transfers between Level 1 and Level 2 for three months ended February 28, 2018 and 2017.

	November 30, 2017
	Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (1)			Total
Assets:
Financial instruments owned:
Corporate equity securities	$	1,801,453	$	57,091	$	22,009	$	—		$	1,880,553
Corporate debt securities	—		3,261,300		26,036		—			3,287,336
Collateralized debt obligations and collateralized loan obligations	—		139,166		30,004		—			169,170
U.S. government and federal agency securities	1,269,230		39,443		—		—			1,308,673
Municipal securities	—		710,513		—		—			710,513
Sovereign obligations	1,381,552		1,035,907		—		—			2,417,459
Residential mortgage-backed securities	—		1,453,294		26,077		—			1,479,371
Commercial mortgage-backed securities	—		508,115		12,419		—			520,534
Other asset-backed securities	—		217,111		61,129		—			278,240
Loans and other receivables	—		1,620,581		47,304		—			1,667,885
Derivatives	160,168		3,248,586		9,295		(3,254,216		)	163,833
Investments at fair value	—		946		93,454		—			94,400
Total financial instruments owned, excluding Investments at fair value based on NAV	$	4,612,403	$	12,292,053	$	327,727	$	(3,254,216	)	$	13,977,967
Securities received as collateral	$	103	$	—	$	—	$	—		$	103
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	1,456,675	$	32,122	$	48	$	—		$	1,488,845
Corporate debt securities	—		1,688,825		522		—			1,689,347
U.S. government and federal agency securities	1,430,737		—		—		—			1,430,737
Sovereign obligations	1,216,643		956,992		—		—			2,173,635
Commercial mortgage-backed securities	—		—		105		—			105
Loans	—		1,148,824		3,486		—			1,152,310
Derivatives	247,919		3,399,239		16,041		(3,426,249		)	236,950
Total financial instruments sold, not yet purchased	$	4,351,974	$	7,226,002	$	20,202	$	(3,426,249	)	$	8,171,929
Short-term borrowings	$	—	$	23,324	$	—	$	—		$	23,324
Long-term debt	$	—	$	606,956	$	—	$	—		$	606,956
Obligation to return securities received as collateral	$	103	$	—	$	—	$	—		$	103

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

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):

	February 28, 2018
	Fair Value (1)		Unfunded Commitments		Redemption Frequency (if currently eligible)
Equity Long/Short Hedge Funds (2)	$	34,623	$	—	Monthly, Quarterly
Fixed Income and High Yield Hedge Funds (3)	405		—		—
Fund of Funds (4)	186		—		—
Equity Funds (5)	32,839		18,176		—
Multi-asset Funds (6)	259,424		—		—
Total	$	327,477	$	18,176

	November 30, 2017
	Fair Value (1)		Unfunded Commitments		Redemption Frequency (if currently eligible)
Equity Long/Short Hedge Funds (2)	$	33,176	$	—	Monthly, Quarterly
Fixed Income and High Yield Hedge Funds (3)	417		—		—
Fund of Funds (4)	189		—		—
Equity Funds (5)	26,798		19,084		—
Multi-asset Funds (6)	154,805		—		—
Total	$	215,385	$	19,084

(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 both February 28, 2018 and November 30, 2017, approximately 1% of the fair value of investments in this category are 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.

(4) This category includes investments in fund of funds that invest in various private equity funds. The investments in this category are managed by us and have no redemption provisions. These investments are gradually being liquidated or we have requested redemption, however, we are unable to estimate when these funds will be received.

(5) At February 28, 2018 and November 30, 2017, the 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 be liquidated in one to six 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 February 28, 2018 and November 30, 2017, investments representing approximately 17% and 12%, respectively, of the fair value of investments in this category are redeemable with 30 days prior written notice.

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 three months ended February 28, 2017 (in thousands):

	Three Months Ended February 28, 2017
	Balance at November 30, 2016		Total gains/losses (realized and unrealized) (1)			Purchases			Sales			Settlements			Issuances		Net transfers into/ (out of) Level 3			Balance at February 28, 2017		Change in unrealized gains/ (losses) relating to instruments still held at February 28, 2017 (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	21,739	$	532		$	847		$	(145	)	$	(186	)	$	—	$	(2,207	)	$	20,580	$	362
Corporate debt securities	25,005		(1,793		)	3,002			(3,157		)	(1,207		)	—		11,617			33,467		(1,662		)
CDOs and CLOs	54,354		(7,594		)	8,663			(22,633		)	(45		)	—		12,609			45,354		(8,525		)
Municipal securities	27,257		(636		)	—			(67		)	—			—		—			26,554		(641		)
RMBS	38,772		(253		)	263			(12,411		)	(210		)	—		13,098			39,259		(440		)
CMBS	20,580		(1,420		)	—			(412		)	—			—		1,905			20,653		(1,421		)
Other ABS	40,911		(1,788		)	3,553			(299		)	(3,335		)	—		(1,340		)	37,702		(1,717		)
Loans and other receivables	81,872		4,950			9,489			(9,778		)	(7,764		)	—		(25,597		)	53,172		836
Investments at fair value	96,369		(2,199		)	—			(10,119		)	(266		)	—		—			83,785		(176		)
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	313	$	11		$	—		$	—		$	—		$	—	$	—		$	324	$	(11	)
Corporate debt securities	523		—			—			—			—			—		—			523		—
Loans	378		189			(323		)	—			—			—		792			1,036		(189		)
Net derivatives (2)	3,441		(4,384		)	—			—			3,373			186		3,797			6,413		1,347
Other secured financings	418		(8		)	—			—			—			—		(323		)	87		11

(1) Realized and unrealized gains/losses are reported in Principal transaction revenues in our 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 February 28, 2018 (in thousands):

	Three Months Ended February 28, 2018
	Balance at November 30, 2017		Total gains/losses (realized and unrealized) (1)			Purchases			Sales			Settlements			Issuances		Net transfers into/  (out of) Level 3			Balance at February 28, 2018		Change in unrealized gains/ (losses) relating to instruments still held at February 28, 2018 (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	22,009	$	11,684		$	2,733		$	(1,381	)	$	(1,687	)	$	—	$	2,054		$	35,412	$	10,674
Corporate debt securities	26,036		(9		)	928			(346		)	(2,049		)	—		1,543			26,103		(1,086		)
CDOs and CLOs	30,004		(3,782		)	43,796			(34,168		)	(3,838		)	—		(5,579		)	26,433		(3,006		)
RMBS	26,077		(3,212		)	—			—			(3		)	—		(1,100		)	21,762		(2,366		)
CMBS	12,419		(231		)	1,260			(508		)	(1,285		)	—		3,448			15,103		(622		)
Other ABS	61,129		(1,385		)	57,095			(53,459		)	(3,776		)	—		(8,316		)	51,288		127
Loans and other receivables	47,304		1,598			15,635			(803		)	(9,730		)	—		8,039			62,043		(190		)
Investments at fair value	93,454		499			240			(16,624		)	—			—		2,310			79,879		(95		)
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	48	$	13		$	—		$	—		$	—		$	—	$	—		$	61	$	(13	)
Corporate debt securities	522		—			—			—			—			—		—			522		—
CMBS	105		(70		)	—			—			—			—		—			35		(35		)
Loans	3,486		6			(25		)	3,442			—			—		3,414			10,323		(6		)
Net derivatives (2)	6,746		(1,166		)	(6		)	—			1,012			296		—			6,882		(5,609		)

(1) Realized and unrealized gains/losses are reported in Principal transaction revenues in our 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.

February 28, 2018
Financial Instruments Owned:	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input / Range	Weighted Average
Corporate equity securities	$	30,335
Non-exchange-traded securities			Market approach	Price	$3-$750	$	183
				Underlying stock price	$11	—
			Comparable pricing	Comparable asset price	$10	—
Corporate debt securities	$	26,103	Convertible bond model	Discount rate/yield	9%	—
				Volatility	40%	—
			Market approach	Estimated recovery percentage	2%-32%	25		%
				Price	$10	—
			Comparable pricing	Comparable asset price	$47	—
CDOs and CLOs	$	26,433	Discounted cash flows	Constant prepayment rate	20%	—
				Constant default rate	2%	—
				Loss severity	25%-30%	26		%
				Discount rate/yield	6%-31%	17		%
			Scenario analysis	Estimated recovery percentage	7%-40%	23		%
RMBS	$	21,762	Discounted cash flows	Cumulative loss rate	3%-19%	9		%
				Duration (years)	2-4	3
				Discount rate/yield	3%-9%	7		%
CMBS	$	15,103	Discounted cash flows	Cumulative loss rate	7%-65%	33		%
				Duration (years)	0-2	1
				Discount rate/yield	3%-24%	17		%
			Scenario analysis	Estimated recovery percentage	26%-32%	28		%
				Price	$49-$52	$	50
Other ABS	$	51,288	Discounted cash flows	Cumulative loss rate	0%-27%	22		%
				Duration (years)	1-6	2
				Discount rate/yield	5%-11%	8		%
			Scenario analysis	Estimated recovery percentage	11%	—
Loans and other receivables	$	54,004	Market approach	Estimated recovery percentage	23%-79%	36		%
				Price	$97	—
				Transaction level	$100	—
			Scenario analysis	Estimated recovery percentage	62%-107%	90		%
Derivatives	$	4,712
Total return swaps			Market approach	Price	$102	—
Investments at fair value	$	79,879
Private equity securities			Market approach	Price	$0-$250	$	104
Financial Instruments Sold, Not Yet Purchased:
Derivatives	$	11,594
Equity options			Option model/default rate	Default probability	0%	—
Unfunded commitments			Market approach	Price	$97	—
Total return swaps			Market approach	Price	$102	—
Variable funding note swaps			Discounted cash flows	Constant prepayment rate	20%	—
				Constant default rate	2%	—
				Loss severity	25%	—
				Discount rate/yield	31%	—

November 30, 2017
Financial Instruments Owned:	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input / Range	Weighted Average
Corporate equity securities	$	18,109
Non-exchange-traded securities			Market approach	Price	$3-$75	$	33
				Underlying stock price	$6	—
			Comparable pricing	Comparable asset price	$7	—
Corporate debt securities	$	26,036	Convertible bond model	Discount rate/yield	8%	—
				Volatility	40%	—
			Market approach	Estimated recovery percentage	17%	—
				Price	$10	—
CDOs and CLOs	$	30,004	Discounted cash flows	Constant prepayment rate	20%	—
				Constant default rate	2%	—
				Loss severity	25%-30%	26		%
				Discount rate/yield	3%-26%	12		%
			Scenario analysis	Estimated recovery percentage	8%-40%	22		%
RMBS	$	26,077	Discounted cash flows	Cumulative loss rate	3%-19%	10		%
				Duration (years)	2-4	3
				Discount rate/yield	6%-10%	8		%
CMBS	$	12,419	Discounted cash flows	Cumulative loss rate	8%-65%	44		%
				Duration (years)	1-3	2
				Discount rate/yield	2%-26%	12		%
			Scenario analysis	Estimated recovery percentage	26%-32%	28		%
				Price	$52-$56	$	54
Other ABS	$	61,129	Discounted cash flows	Cumulative loss rate	0%-33%	23		%
				Duration (years)	1-6	2
				Discount rate/yield	5%-39%	9		%
			Market approach	Price	$100	—
			Scenario analysis	Estimated recovery percentage	14%	—
Loans and other receivables	$	46,121	Market approach	Estimated recovery percentage	76%	—
				Price	$54-$100	$	95
			Scenario analysis	Estimated recovery percentage	13%-107%	78		%
Derivatives	$	9,295
Total return swaps			Market approach	Price	$101-$106	$	103
Interest rate swaps			Market approach	Credit spread	800 bps	—
Investments at fair value	$	77,423
Private equity securities			Market approach	Transaction level	$3-$250	$	172
				Price	$7	—
Financial Instruments Sold, Not Yet Purchased:
Derivatives	$	16,041
Equity options			Option model/default rate	Default probability	0%	—
Unfunded commitments			Market approach	Price	$99	—
Total return swaps			Market approach	Price	$101-$106	$	103
Variable funding note swaps			Discounted cash flows	Constant prepayment rate	20%	—
				Constant default rate	2%	—
				Loss severity	25%	—
				Discount rate/yield	26%	—

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   February 28,
	2018			2017
Financial instruments owned:
Loans and other receivables	$	2,628		$	(5,127	)
Financial instruments sold:
Loans	$	250		$	(27	)
Loan commitments	(129		)	871
Long-term debt:
Changes in instrument specific credit risk (1)	$	(16,202	)	$	(16,040	)
Other changes in fair value (2)	41,154			3,417

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

(2) Other changes in fair value are included in Principal transactions revenues in our Consolidated Statements of Earnings.

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

	February 28, 2018		November 30, 2017
Financial instruments owned:
Loans and other receivables (1)	$	933,508	$	752,076
Loans and other receivables on nonaccrual status and/or 90 days or greater past due (1) (2)	222,548		159,462
Long-term debt and short-term borrowings	62,094		32,839

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

(2) Amounts include loans and other receivables 90 days or greater past due by which contractual principal exceeds fair value of $33.8 million and $38.7 million at February 28, 2018 and November 30, 2017, respectively.