Derivative Financial Instruments (Tables)

6 Months Ended

May 31, 2018

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, 2018 and November 30, 2017 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, 2018 (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	$	—		—	$	25,668		1
Total derivatives designated as accounting hedges	—				25,668
Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	877			52,817	70			17,923
Cleared OTC	423,300			2,102	429,762			2,481
Bilateral OTC	383,485			1,598	523,431			795
Foreign exchange contracts:
Exchange-traded	—			1,311	—			376
Bilateral OTC	289,720			5,190	282,478			5,221
Equity contracts:
Exchange-traded	2,121,965			2,136,503	2,083,622			1,865,988
Bilateral OTC	99,785			1,960	297,566			2,418
Commodity contracts:
Exchange-traded	105			4,154	27			4,680
Credit contracts:
Cleared OTC	42,968			74	25,053			67
Bilateral OTC	8,735			77	11,823			39
Total derivatives not designated as accounting hedges	3,370,940				3,653,832
Total gross derivative assets/ liabilities:
Exchange-traded	2,122,947				2,083,719
Cleared OTC	466,268				480,483
Bilateral OTC	781,725				1,115,298
Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	(1,957,490		)		(1,957,490		)
Cleared OTC	(439,765		)		(448,493		)
Bilateral OTC	(698,221		)		(825,951		)
Net amounts per Consolidated Statements of Financial Condition (4)	$	275,464			$	447,566

(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/Payables to brokers, dealers and clearing organizations in 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, 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 (3)	$	—		—	$	2,420		1
Total derivatives designated as accounting hedges	—				2,420
Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	1,957			33,972	66			8,515
Cleared OTC (3)	1,334,878			2,711	1,263,994			2,948
Bilateral OTC	380,223			1,804	444,716			1,346
Foreign exchange contracts:
Exchange-traded	157			2,045	20			101
Bilateral OTC	303,091			4,338	286,582			4,361
Equity contracts:
Exchange-traded	1,288,295			2,654,555	1,375,832			2,090,935
Bilateral OTC	78,812			1,847	247,750			1,722
Commodity contracts:
Exchange-traded	209			3,723	18			3,819
Credit contracts:
Cleared OTC	5,506			18	8,613			27
Bilateral OTC	24,921			110	33,188			164
Total derivatives not designated as accounting hedges	3,418,049				3,660,779
Total gross derivative assets/liabilities:
Exchange-traded	1,290,618				1,375,936
Cleared OTC	1,340,384				1,275,027
Bilateral OTC	787,047				1,012,236
Amounts offset in our Consolidated Statements of Financial Condition (4):
Exchange-traded	(1,268,043		)		(1,268,043		)
Cleared OTC (3)	(1,319,895		)		(1,274,900		)
Bilateral OTC	(666,278		)		(883,306		)
Net amounts per Consolidated Statements of Financial Condition (5)	$	163,833			$	236,950

(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/Payables to brokers, dealers and clearing organizations in our Consolidated Statements of Financial Condition.

(3) Pursuant to a rule change by the London Clearing House in the first fiscal quarter of 2018, variation margin exchanged each day with this clearing organization on certain interest rate 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, 2017 of approximately $800 million, and a corresponding decrease in counterparty and cash collateral netting, with no impact to our 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)	2018		2017			2018			2017
Interest rate swaps	$	19	$	12,352		$	(21,202	)	$	7,743
Long-term debt	120		(10,295		)	22,835			(4,890		)
Total	$	139	$	2,057		$	1,633		$	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)	2018			2017			2018			2017
Interest rate contracts	$	(4,860	)	$	(960	)	$	22,102		$	9,037
Foreign exchange contracts	6,365			1,099			10,628			3,107
Equity contracts	(53,598		)	417			(217,039		)	(168,699		)
Commodity contracts	2,921			(6,395		)	2,744			(6,906		)
Credit contracts	2,024			(1,134		)	2,406			10,907
Total	$	(47,148	)	$	(6,973	)	$	(179,159	)	$	(152,554	)

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, 2018 (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	$	940	$	4,178	$	—	$	(214	)	$	4,904
Credit default swaps	26		20,045		2,790		(779		)	22,082
Total return swaps	49,176		3,233		—		(756		)	51,653
Foreign currency forwards, swaps and options	58,321		17,215		—		(3,355		)	72,181
Fixed income forwards	477		—		—		—			477
Interest rate swaps, options and forwards	21,599		104,120		88,827		(86,399		)	128,147
Total	$	130,539	$	148,791	$	91,617	$	(91,503	)	279,444
Cross product counterparty netting										(34,466		)
Total OTC derivative assets included in Financial instruments owned										$	244,978

(1) At May 31, 2018, we held exchange-traded derivative assets and other credit agreements with a fair value of $166.0 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, 2018, cash collateral received was $135.6 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	$	13,752	$	69,159	$	3,141	$	(214	)	$	85,838
Credit default swaps	64		7,405		6		(779		)	6,696
Total return swaps	64,750		101,271		—		(756		)	165,265
Foreign currency forwards, swaps and options	55,185		13,123		—		(3,355		)	64,953
Fixed income forwards	3,879		—		—		—			3,879
Interest rate swaps, options and forwards	35,661		135,417		215,891		(86,399		)	300,570
Total	$	173,291	$	326,375	$	219,038	$	(91,503	)	627,201
Cross product counterparty netting										(34,466		)
Total OTC derivative liabilities included in Financial instruments sold, not yet purchased										$	592,735

(1) At May 31, 2018, we held exchange-traded derivative liabilities and other credit agreements with a fair value of $126.9 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, 2018, cash collateral pledged was $272.0 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

The following table presents the counterparty credit quality with respect to the fair value of our OTC derivative assets at May 31, 2018 (in thousands):

Counterparty credit quality (1):
A- or higher	$	173,732
BBB- to BBB+	3,835
BB+ or lower	52,437
Unrated	14,974
Total	$	244,978

(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.

Credit Related Derivative Contracts

The external credit ratings of the underlyings or referenced assets for our written credit related derivative contracts (in millions):

	May 31, 2018
	External Credit Rating
	Investment Grade		Non-investment Grade		Total Notional
Credit protection sold:
Index credit default swaps	$	203.0	$	280.0	$	483.0
Single name credit default swaps	44.3		27.8		72.1

	November 30, 2017
	External Credit Rating
	Investment Grade		Non-investment Grade		Total Notional
Credit protection sold:
Index credit default swaps	$	3.0	$	46.0	$	49.0
Single name credit default swaps	129.1		89.1		218.2

Derivative Instruments with Contingent Features

The following table presents the aggregate fair value of all derivative instruments with such credit-risk-related contingent features that are in a liability position, the collateral amounts we have posted or received in the normal course of business and the potential collateral we would have been required to return and/or post additionally to our counterparties if the credit-risk-related contingent features underlying these agreements were triggered (in millions):

	May 31, 2018			November 30, 2017
Derivative instrument liabilities with credit-risk-related contingent features	$	186.1		$	95.1
Collateral posted	(56.1		)	(86.4		)
Collateral received	119.5			5.6
Return of and additional collateral required in the event of a credit rating downgrade below investment grade (1)	249.5			14.3

(1) These outflows include initial margin received from counterparties at the execution of the derivative contract. The initial margin will be returned if counterparties elect to terminate the contract after a downgrade.