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Fair Value Disclosures (Tables)
 6 Months Ended
May 31, 2019
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 $566.1 million and $322.9 million at May 31, 2019 and November 30, 2018, respectively, by level within the fair value hierarchy (in thousands):
 
May 31, 2019
 
Level 1
 
Level 2
 
Level 3
 
Counterparty and
Cash Collateral
Netting (1)
 
Total
Assets:
 
 
 
 
 
 
 
 
 
Financial instruments owned:
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
2,121,270

 
$
132,121

 
$
59,307

 
$
—

 
$
2,312,698

Corporate debt securities
—

 
2,978,062

 
7,429

 
—

 
2,985,491

Collateralized debt obligations and collateralized loan obligations
—

 
123,840

 
16,195

 
—

 
140,035

U.S. government and federal agency securities
1,505,882

 
114,761

 
—

 
—

 
1,620,643

Municipal securities
—

 
963,607

 
—

 
—

 
963,607

Sovereign obligations
1,866,301

 
1,020,111

 
—

 
—

 
2,886,412

Residential mortgage-backed securities
—

 
1,159,961

 
17,266

 
—

 
1,177,227

Commercial mortgage-backed securities
—

 
404,897

 
12,530

 
—

 
417,427

Other asset-backed securities
—

 
267,565

 
43,185

 
—

 
310,750

Loans and other receivables
—

 
2,105,642

 
98,484

 
—

 
2,204,126

Derivatives
9,729

 
2,498,708

 
8,414

 
(2,193,408
)
 
323,443

Investments at fair value
—

 
84,058

 
103,833

 
—

 
187,891

Total financial instruments owned, excluding Investments at fair value based on NAV
$
5,503,182

 
$
11,853,333

 
$
366,643

 
$
(2,193,408
)
 
$
15,529,750

Securities purchased under agreements to resell
$
—

 
$
—

 
$
25,000

 
$
—

 
$
25,000

 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
 
 
Financial instruments sold, not yet purchased:
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
2,664,846

 
$
4,820

 
$
221

 
$
—

 
$
2,669,887

Corporate debt securities
—

 
1,919,466

 
669

 
—

 
1,920,135

U.S. government and federal agency securities
1,236,461

 
—

 
—

 
—

 
1,236,461

Sovereign obligations
1,328,132

 
870,039

 
—

 
—

 
2,198,171

Commercial mortgage-backed securities
—

 
724

 
—

 
—

 
724

Loans
—

 
1,524,341

 
9,428

 
—

 
1,533,769

Derivatives
24,578

 
2,839,455

 
55,863

 
(2,365,653
)
 
554,243

Total financial instruments sold, not yet purchased
$
5,254,017

 
$
7,158,845

 
$
66,181

 
$
(2,365,653
)
 
$
10,113,390

Long-term debt
$
—

 
$
582,947

 
$
236,562

 
$
—

 
$
819,509

(1)
Represents counterparty and cash collateral netting across the levels of the fair value hierarchy for positions with the same counterparty.
 
November 30, 2018
 
Level 1
 
Level 2
 
Level 3
 
Counterparty and
Cash Collateral
Netting (1)
 
Total
Assets:
 
 
 
 
 
 
 
 
 
Financial instruments owned:
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
1,907,945

 
$
118,681

 
$
51,040

 
$
—

 
$
2,077,666

Corporate debt securities
—

 
2,683,180

 
9,484

 
—

 
2,692,664

Collateralized debt obligations and collateralized loan obligations
—

 
72,949

 
25,815

 
—

 
98,764

U.S. government and federal agency securities
1,789,614

 
56,592

 
—

 
—

 
1,846,206

Municipal securities
—

 
894,253

 
—

 
—

 
894,253

Sovereign obligations
1,769,556

 
1,043,409

 
—

 
—

 
2,812,965

Residential mortgage-backed securities
—

 
2,163,629

 
19,603

 
—

 
2,183,232

Commercial mortgage-backed securities
—

 
819,406

 
10,886

 
—

 
830,292

Other asset-backed securities
—

 
239,381

 
53,175

 
—

 
292,556

Loans and other receivables
—

 
2,056,593

 
46,985

 
—

 
2,103,578

Derivatives
12,186

 
2,524,988

 
5,922

 
(2,412,486
)
 
130,610

Investments at fair value
—

 
—

 
113,831

 
—

 
113,831

Total financial instruments owned, excluding Investments at fair value based on NAV
$
5,479,301

 
$
12,673,061

 
$
336,741

 
$
(2,412,486
)
 
$
16,076,617

 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
 
 
Financial instruments sold, not yet purchased:
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
1,685,071

 
$
1,444

 
$
—

 
$
—

 
$
1,686,515

Corporate debt securities
—

 
1,505,618

 
522

 
—

 
1,506,140

U.S. government and federal agency securities
1,384,295

 
—

 
—

 
—

 
1,384,295

Sovereign obligations
1,735,242

 
661,095

 
—

 
—

 
2,396,337

Loans
—

 
1,371,630

 
6,376

 
—

 
1,378,006

Derivatives
26,471

 
3,585,249

 
27,536

 
(2,511,605
)
 
1,127,651

Total financial instruments sold, not yet purchased
$
4,831,079

 
$
7,125,036

 
$
34,434

 
$
(2,511,605
)
 
$
9,478,944

Long-term debt
$
—

 
$
485,425

 
$
200,745

 
$
—

 
$
686,170

(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):
 
May 31, 2019
 
Fair Value (1)
 
Unfunded
Commitments
Equity Long/Short Hedge Funds (2)
$
280,761

 
$
—

Equity Funds (3)
35,863

 
19,679

Commodity Funds (4)
15,672

 
—

Multi-asset Funds (5)
233,512

 
—

Other Funds (6)
326

 
—

Total
$
566,134

 
$
19,679

 
November 30, 2018
 
Fair Value (1)
 
Unfunded
Commitments
Equity Long/Short Hedge Funds (2)
$
15,338

 
$
—

Equity Funds (3)
40,070

 
20,996

Commodity Funds (4)
10,129

 
—

Multi-asset Funds (5)
256,972

 
—

Other Funds (6)
400

 
—

Total
$
322,909

 
$
20,996

(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 May 31, 2019 and November 30, 2018, approximately 94% and 0%, respectively, of the fair value of investments in this category cannot be redeemed because these investments include restrictions that do not allow for redemption in the first 36 months after acquisition. At the end of this restriction period, which is in approximately 31 months at May 31, 2019, these investments are redeemable monthly with 45-90 days prior written notice. At May 31, 2019 and November 30, 2018, approximately 6% and 97%, respectively, of the fair value of investments in this category are redeemable quarterly with 60 days prior written notice.
(3)
At May 31, 2019 and November 30, 2018, 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 approximately one to ten years.
(4)
This category includes investments in a hedge fund that invests, long and short, primarily in commodities. Investments in this category are redeemable quarterly with 60 days prior written notice.
(5)
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 May 31, 2019 and November 30, 2018, investments representing approximately 5% and 15%, respectively, of the fair value of investments in this category are redeemable monthly with 30 days prior written notice.
(6)
This category includes investments in a fund that invests 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 and there are no redemption provisions. This category also includes investments in a fund of funds that invests in various private equity funds that are managed by us and have no redemption provisions. Investments in the fund of funds are gradually being liquidated, however, the timing of when the proceeds will be received is uncertain.
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 six months ended May 31, 2018 (in thousands):
 
Six Months Ended May 31, 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
May 31, 2018
 
Change in unrealized gains/ (losses) relating to instruments still held at May 31, 2018 (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments owned:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
22,009

 
$
13,343

 
$
5,383

 
$
(520
)
 
$
(1,779
)
 
$
—

 
$
4,465

 
$
42,901

 
$
12,710

Corporate debt securities
26,036

 
434

 
19,304

 
(15,704
)
 
(2,049
)
 
—

 
45

 
28,066

 
(1,048
)
CDOs and CLOs
30,004

 
(2,961
)
 
568

 
(2,374
)
 
(3,765
)
 
—

 
9,131

 
30,603

 
(5,375
)
RMBS
26,077

 
(4,193
)
 
112

 
(10,959
)
 
(88
)
 
—

 
(7,294
)
 
3,655

 
419

CMBS
12,419

 
(2,292
)
 
1,208

 
(487
)
 
(3,209
)
 
—

 
19,600

 
27,239

 
(3,176
)
Other ABS
61,129

 
(5,476
)
 
132,291

 
(124,787
)
 
(7,622
)
 
—

 
—

 
55,535

 
(2,498
)
Loans and other receivables
47,304

 
(201
)
 
46,682

 
(25,456
)
 
(11,648
)
 
—

 
7,355

 
64,036

 
(1,756
)
Investments at fair value
93,454

 
418

 
2,240

 
(17,570
)
 
—

 
—

 
946

 
79,488

 
(176
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments sold, not yet purchased:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
48

 
$
39

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
87

 
$
(39
)
Corporate debt securities
522

 
—

 
—

 
—

 
—

 
—

 
—

 
522

 
—

CMBS
105

 
(105
)
 
—

 
—

 
—

 
—

 
—

 
—

 
—

Loans
3,486

 
1,226

 
(5,100
)
 
12,092

 
—

 
—

 
1,177

 
12,881

 
106

Net derivatives (2)
6,746

 
(668
)
 
(6
)
 
—

 
(494
)
 
296

 
—

 
5,874

 
535

Long-term debt
—

 
(28,082
)
 
—

 
—

 
—

 
81,284

 
107,424

 
160,626

 
20,082

(1)
Realized and unrealized gains/losses are reported in Principal transactions revenues in our Consolidated Statements of Earnings. Changes in instrument-specific credit risk related to structured notes are included in our Consolidated Statement of Comprehensive Income, net of tax.
(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 May 31, 2019 (in thousands):
 
Three Months Ended May 31, 2019
 
 
 
Total gains/losses (realized and unrealized) (1)
 
 
 
 
 
 
 
 
 
Net transfers into/
 (out of) Level 3
 
 
 
For instruments still held at
May 31, 2019, changes in unrealized gains/(losses) included in:
 
Balance at February 28, 2019
 
 
Purchases
 
Sales
 
Settlements
 
Issuances
 
 
Balance at May 31, 2019
 
Earnings (1)
 
Other comprehensive income (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments owned:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
54,766

 
$
2,353

 
$
221

 
$
(179
)
 
$
(551
)
 
$
—

 
$
2,697

 
$
59,307

 
$
2,454

 
$
—

Corporate debt securities
10,930

 
(587
)
 
180

 
—

 
(325
)
 
—

 
(2,769
)
 
7,429

 
(588
)
 
—

CDOs and CLOs
32,566

 
(1,793
)
 
—

 
—

 
—

 
—

 
(14,578
)
 
16,195

 
(1,795
)
 
—

RMBS
20,963

 
(802
)
 
—

 
—

 
(18
)
 
—

 
(2,877
)
 
17,266

 
(759
)
 
—

CMBS
12,820

 
(357
)
 
—

 
(331
)
 
(3,238
)
 
—

 
3,636

 
12,530

 
(1,292
)
 
—

Other ABS
35,886

 
3,070

 
16,531

 
(8,868
)
 
(8,549
)
 
—

 
5,115

 
43,185

 
3,563

 
—

Loans and other receivables
78,051

 
(2,753
)
 
38,780

 
(13,898
)
 
(2,438
)
 
—

 
742

 
98,484

 
(1,277
)
 
—

Investments at fair value
140,812

 
2,841

 
—

 
—

 
—

 
—

 
(39,820
)
 
103,833

 
2,841

 
—

Securities purchased under agreements to resell
—

 
—

 
—

 
—

 
—

 
25,000

 
—

 
25,000

 
—

 
—

Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments sold, not yet purchased:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
78

 
$
(74
)
 
$
(1,520
)
 
$
1,737

 
$
—

 
$
—

 
$
—

 
$
221

 
$
—

 
$
—

Corporate debt securities
730

 
(148
)
 
(7
)
 
1

 
22

 
—

 
71

 
669

 
90

 
—

CMBS
70

 
(70
)
 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Loans
3,420

 
(191
)
 
(1,678
)
 
1,537

 
—

 
—

 
6,340

 
9,428

 
364

 
—

Net derivatives (2)
28,975

 
(14,760
)
 
(25
)
 
4,175

 
1,974

 
—

 
27,110

 
47,449

 
7,565

 
—

Long-term debt
283,139

 
1,163

 
—

 
—

 
(5,585
)
 
39,385

 
(81,540
)
 
236,562

 
(813
)
 
(350
)
(1)
Realized and unrealized gains/losses are primarily reported in Principal transactions revenues in our Consolidated Statements of Earnings. Changes in instrument-specific credit risk related to structured notes are included in our Consolidated Statements of Comprehensive Income, net of tax.
(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 May 31, 2018 (in thousands):
 
Three Months Ended May 31, 2018
 
Balance at
February 28, 2018
 
Total gains/losses (realized and unrealized) (1)
 
Purchases
 
Sales
 
Settlements
 
Issuances
 
Net transfers into/
(out of) Level 3
 
Balance at May 31, 2018
 
Change in unrealized gains/ (losses) relating to instruments still held at May 31, 2018 (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments owned:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
35,412

 
$
1,322

 
$
1,485

 
$
(75
)
 
$
(110
)
 
$
—

 
$
4,867

 
$
42,901

 
$
1,612

Corporate debt securities
26,103

 
923

 
17,058

 
(13,481
)
 
—

 
—

 
(2,537
)
 
28,066

 
543

CDOs and CLOs
26,433

 
(2,350
)
 
251

 
(1,905
)
 
(431
)
 
—

 
8,605

 
30,603

 
(2,422
)
RMBS
21,762

 
(5,416
)
 
112

 
(13,113
)
 
(35
)
 
—

 
345

 
3,655

 
423

CMBS
15,103

 
(2,213
)
 
—

 
—

 
(1,924
)
 
—

 
16,273

 
27,239

 
(2,706
)
Other ABS
51,288

 
(4,001
)
 
59,057

 
(62,905
)
 
(3,846
)
 
—

 
15,942

 
55,535

 
(2,670
)
Loans and other receivables
62,043

 
(6,051
)
 
19,029

 
(16,237
)
 
(1,940
)
 
—

 
7,192

 
64,036

 
(5,185
)
Investments at fair value
79,879

 
(82
)
 
2,001

 
(2,310
)
 
—

 
—

 
—

 
79,488

 
(82
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments sold, not yet purchased:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
61

 
$
26

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
87

 
$
(26
)
Corporate debt securities
522

 
—

 
—

 
—

 
—

 
—

 
—

 
522

 
—

CMBS
35

 
(35
)
 
—

 
—

 
—

 
—

 
—

 
—

 
—

Loans
10,323

 
(3,416
)
 
(10,543
)
 
8,685

 
(29
)
 
—

 
7,861

 
12,881

 
3,231

Net derivatives (2)
6,882

 
(1,580
)
 
—

 
—

 
569

 
—

 
3

 
5,874

 
(115
)
Long-term debt
—

 
(20,838
)
 
—

 
—

 
—

 
23,362

 
158,102

 
160,626

 
20,838

(1)
Realized and unrealized gains/losses are reported in Principal transactions revenues in our Consolidated Statements of Earnings. Changes in instrument-specific credit risk related to structured notes are included in our Consolidated Statement of Comprehensive Income, net of tax.
(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 six months ended May 31, 2019 (in thousands):
 
Six Months Ended May 31, 2019
 
 
 
Total gains/losses (realized and unrealized) (1)
 
 
 
 
 
 
 
 
 
Net transfers into/
 (out of) Level 3
 
 
 
For instruments still held at
May 31, 2019, changes in unrealized gains/(losses) included in:
 
Balance at November 30, 2018
 
 
Purchases
 
Sales
 
Settlements
 
Issuances
 
 
Balance at May 31, 2019
 
Earnings (1)
 
Other comprehensive income (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments owned:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
51,040

 
$
6,126

 
$
785

 
$
(2,031
)
 
$
(720
)
 
$
—

 
$
4,107

 
$
59,307

 
$
7,972

 
$
—

Corporate debt securities
9,484

 
(389
)
 
1,545

 
(2,130
)
 
(1,177
)
 
—

 
96

 
7,429

 
(334
)
 
—

CDOs and CLOs
25,815

 
(2,790
)
 
4,782

 
—

 
—

 
—

 
(11,612
)
 
16,195

 
(2,554
)
 
—

RMBS
19,603

 
(316
)
 
39

 
—

 
(45
)
 
—

 
(2,015
)
 
17,266

 
(271
)
 
—

CMBS
10,886

 
(180
)
 
11

 
(331
)
 
(3,278
)
 
—

 
5,422

 
12,530

 
(1,183
)
 
—

Other ABS
53,175

 
(1,014
)
 
25,316

 
(13,247
)
 
(9,529
)
 
—

 
(11,516
)
 
43,185

 
(522
)
 
—

Loans and other receivables
46,985

 
2,434

 
77,004

 
(33,549
)
 
(3,378
)
 
—

 
8,988

 
98,484

 
844

 
—

Investments at fair value
113,831

 
(1,162
)
 
31,343

 
—

 
—

 
—

 
(40,179
)
 
103,833

 
(1,162
)
 
—

Securities purchased under agreements to resell
—

 
—

 
—

 
—

 
—

 
25,000

 
—

 
25,000

 
—

 
—

Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments sold, not yet purchased:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
—

 
$
(76
)
 
$
(1,546
)
 
$
1,843

 
$
—

 
$
—

 
$
—

 
$
221

 
$
—

 
$
—

Corporate debt securities
522

 
(382
)
 
(73
)
 
93

 
22

 
—

 
487

 
669

 
305

 
—

Loans
6,376

 
(401
)
 
(3,946
)
 
7,963

 
—

 
—

 
(564
)
 
9,428

 
579

 
—

Net derivatives (2)
21,614

 
(29,079
)
 
(2,829
)
 
7,259

 
2,031

 
—

 
48,453

 
47,449

 
19,607

 
—

Long-term debt
200,745

 
(12,854
)
 
—

 
—

 
(11,250
)
 
101,872

 
(41,951
)
 
236,562

 
3,827

 
9,027

(1)
Realized and unrealized gains/losses are primarily reported in Principal transactions revenues in our Consolidated Statements of Earnings. Changes in instrument-specific credit risk related to structured notes are included in our Consolidated Statements of Comprehensive Income, net of tax.
(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.
May 31, 2019
Financial Instruments Owned:
 
Fair Value
(in thousands)
 
Valuation Technique
 
Significant Unobservable Input(s)
 
Input / Range
 
Weighted
Average
Corporate equity securities
 
$
53,000

 
 
 
 
 
 
 
 
Non-exchange-traded securities
 
Market approach
 
Price
 
$3-$85
 
$
55

 
 
 
 
 
 
Underlying stock price
 
$3-$13
 
$
10

Corporate debt securities
 
$
7,429

 
Market approach
 
Estimated recovery percentage
 
49%
 
—

 
 
 
 
 
 
Price
 
$88
 
—

 
 
 
 
 
 
Discount rate/yield
 
32%
 
—

CDOs and CLOs
 
$
16,195

 
Discounted cash flows
 
Constant prepayment rate
 
10%-20%
 
16
%
 
 
 
 
 
 
Constant default rate
 
1%-2%
 
2
%
 
 
 
 
 
 
Loss severity
 
25%-30%
 
27
%
 
 
 
 
 
 
Discount rate/yield
 
11%-17%
 
13
%
 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
2%
 
—

RMBS
 
$
17,266

 
Discounted cash flows
 
Cumulative loss rate
 
2%
 
—

 
 
 
 
 
 
Duration (years)
 
7
 
—

 
 
 
 
 
 
Discount rate/yield
 
3%
 
—

CMBS
 
$
12,530

 
Discounted cash flows
 
Cumulative loss rate
 
8%-86%
 
32
%
 
 
 
 
 
 
Duration (years)
 
0-1
 
1

 
 
 
 
 
 
Discount rate/yield
 
3%-28%
 
19
%
 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
12%-83%
 
47
%
 
 
 
 
 
 
Price
 
$39-$60
 
$
50

Other ABS
 
$
43,185

 
Discounted cash flows
 
Cumulative loss rate
 
11%-31%
 
20
%
 
 
 
 
 
 
Duration (years)
 
1-2
 
1

 
 
 
 
 
 
Discount rate/yield
 
5%-12%
 
12
%
 
 
 
 
Market approach
 
Price
 
$100
 
—

Loans and other receivables
 
$
98,484

 
Market approach
 
Estimated recovery percentage
 
1%
 
—

 
 
 
 
 
 
Price
 
$50-$101
 
$
91

 
 
 
 
 
 
Comparable price
 
$33
 
—

 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
13%-117%
 
105
%
Derivatives
 
$
8,414

 
 
 
 
 
 
 
 
Interest rate swaps
 
 
 
Market approach
 
Basis points upfront
 
0-12
 
5

Investments at fair value
 
$
72,490

 
 
 
 
 
 
 
 
Private equity securities
 
 
 
Market approach
 
Price
 
$169-$250
 
$
229

 
 
 
 
Scenario analysis
 
Discount rate/yield
 
20%
 
—

 
 
 
 
 
 
Revenue growth
 
0%
 
—

Securities purchased under agreements to resell
 
$
25,000

 
Market approach
 
Spread to 6 month LIBOR
 
500
 
—

 
 
 
 
 
 
Duration (years)
 
2
 
—

Financial Instruments Sold, Not Yet Purchased:
 
 
 
 
 
 
 
 
Loans
 
$
9,428

 
Market approach
 
Price
 
$50-$80
 
$
66

Derivatives
 
$
55,863

 
 
 
 
 
 
 
 
Equity options
 
 
 
Volatility benchmarking
 
Volatility
 
3%-63%
 
46
%
Interest rate swaps
 
 
 
Market approach
 
Basis points upfront
 
0-21
 
12

Long-term debt
 
 
 
 
 
 
 
 
 
 
Structured notes
 
$
236,562

 
Market approach
 
Price
 
$83-$100
 
$
92

 
 
 
 
 
 
Price
 
€78-€107
 
€
94

November 30, 2018
Financial Instruments Owned:
 
Fair Value
(in thousands)
 
Valuation Technique
 
Significant Unobservable Input(s)
 
Input / Range
 
Weighted
Average
Corporate equity securities
 
$
43,664

 
 
 
 
 
 
 
 
Non-exchange-traded securities
 
Market approach
 
Price
 
$1-$75
 
$
12

 
 
 
 
 
 
Transaction level
 
$47
 
—

Corporate debt securities
 
$
9,484

 
Market approach
 
Estimated recovery percentage
 
46%
 
—

 
 
 
 
 
 
Transaction level
 
$80
 
—

CDOs and CLOs
 
$
25,815

 
Discounted cash flows
 
Constant prepayment rate
 
10%-20%
 
18
%
 
 
 
 
 
 
Constant default rate
 
1%-2%
 
2
%
 
 
 
 
 
 
Loss severity
 
25%-30%
 
26
%
 
 
 
 
 
 
Discount rate/yield
 
11%-16%
 
14
%
 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
2%
 
—

RMBS
 
$
19,603

 
Discounted cash flows
 
Cumulative loss rate
 
4%
 
—

 
 
 
 
 
 
Duration (years)
 
13
 
—

 
 
 
 
 
 
Loss severity
 
0%
 
—

 
 
 
 
 
 
Discount rate/yield
 
3%
 
—

 
 
 
 
Market approach
 
Price
 
$100
 
—

CMBS
 
$
9,444

 
Discounted cash flows
 
Cumulative loss rate
 
8%-85%
 
45
%
 
 
 
 
 
 
Duration (years)
 
1-3
 
1

 
 
 
 
 
 
Loss severity
 
64%
 
—

 
 
 
 
 
 
Discount rate/yield
 
2%-15%
 
6
%
 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
26%
 
—

 
 
 
 
 
 
Price
 
$49
 
—

Other ABS
 
$
53,175

 
Discounted cash flows
 
Cumulative loss rate
 
12%-30%
 
22
%
 
 
 
 
 
 
Duration (years)
 
1-2
 
1

 
 
 
 
 
 
Discount rate/yield
 
6%-12%
 
8
%
 
 
 
 
Market approach
 
Price
 
$100
 
—

Loans and other receivables
 
$
46,078

 
Market approach
 
Price
 
$50-$100
 
$
96

 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
13%-117%
 
105
%
Derivatives
 
$
4,602

 
 
 
 
 
 
 
 
Total return swaps
 
 
 
Market approach
 
Price
 
$97
 
—

Investments at fair value
 
$
113,831

 
 
 
 
 
 
 
 
Private equity securities
 
 
 
Market approach
 
Price
 
$3-$250
 
$
108

 
 
 
 
 
 
Transaction level
 
$169
 
—

 
 
 
 
Scenario analysis
 
Discount rate/yield
 
20%
 
—

 
 
 
 
 
 
Revenue growth
 
0%
 
—

Financial Instruments Sold, Not Yet Purchased:
 
 
 
 
 
 
 
 
Loans
 
$
6,376

 
Market approach
 
Price
 
$50-$101
 
$
74

Derivatives
 
$
27,536

 
 
 
 
 
 
 
 
Equity options
 
 
 
Option model/default rate
 
Default probability
 
0%
 
—

 
 
 
 
Volatility benchmarking
 
Volatility
 
39%-62%
 
50
%
Interest rate swaps
 
 
 
Market approach
 
Price
 
$20
 
—

Total return swaps
 
 
 
Market approach
 
Price
 
$97
 
—

Long-term debt
 
 
 
 
 
 
 
 
 
 
Structured notes
 
$
200,745

 
Market approach
 
Price
 
$78-$94
 
$
86

 
 
 
 
 
 
Price
 
€68-€110
 
€
96
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 and Short-term borrowings measured at fair value under the fair value option (in thousands):
 
Three Months Ended 
 May 31,
 
Six Months Ended 
 May 31,
 
2019
 
2018
 
2019
 
2018
Financial instruments owned:
 
 
 
 
 
 
 
Loans and other receivables
$
(2,352
)
 
$
(8,754
)
 
$
(3,072
)
 
$
(6,428
)
Financial instruments sold, not yet purchased:
 
 
 
 
 
 
 
Loans
$
—

 
$
1

 
$
—

 
$
260

Loan commitments
(757
)
 
26

 
(678
)
 
(103
)
Long-term debt:
 
 
 
 
 
 
 
Changes in instrument specific credit risk (1)
$
4,009

 
$
34,787

 
$
27,492

 
$
18,585

Other changes in fair value (2)
(36,665
)
 
(175
)
 
(47,308
)
 
40,979

Short-term borrowings:
 
 
 
 
 
 
 
Changes in instrument specific credit risk (1)
$
—

 
$
27

 
$
—

 
$
27

Other changes in fair value (2)
—

 
1,636

 
—

 
1,636

(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 and long-term debt measured at fair value under the fair value option (in thousands):
 
May 31, 2019
 
November 30, 2018
Financial instruments owned:
 
 
 
Loans and other receivables (1)
$
878,221

 
$
961,554

Loans and other receivables on nonaccrual status and/or 90 days or greater past due (1) (2)
141,474

 
158,392

Long-term debt
95,079

 
114,669

(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 $18.7 million and $20.5 million at May 31, 2019 and November 30, 2018, respectively.