Derivative Financial Instruments (Tables)

9 Months Ended

Aug. 31, 2019

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 August 31, 2019 and November 30, 2018 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).

	August 31, 2019 (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	$	38,588		1	$	—		—
Total derivatives designated as accounting hedges	38,588				—
Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	1,766			39,912	873			45,448
Cleared OTC	863,437			3,335	903,989			3,947
Bilateral OTC	539,158			1,865	241,817			474
Foreign exchange contracts:
Exchange-traded	—			191	—			87
Bilateral OTC	550,737			8,564	548,854			8,319
Equity contracts:
Exchange-traded	741,307			1,998,268	1,091,142			1,611,110
Bilateral OTC	228,415			4,073	357,356			4,428
Commodity contracts:
Exchange-traded	1,418			9,523	—			6,239
Credit contracts:
Cleared OTC	5,210			12	7,988			16
Bilateral OTC	10,183			34	9,993			21
Total derivatives not designated as accounting hedges	2,941,631				3,162,012
Total gross derivative assets/ liabilities:
Exchange-traded	744,491				1,092,015
Cleared OTC	907,235				911,977
Bilateral OTC	1,328,493				1,158,020
Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	(723,158		)		(723,158		)
Cleared OTC	(871,162		)		(881,963		)
Bilateral OTC	(900,155		)		(994,085		)
Net amounts per Consolidated Statements of Financial Condition (4)	$	485,744			$	562,806

(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, 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	$	—		—	$	29,647		1
Total derivatives designated as accounting hedges	—				29,647
Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	924			32,159	513			66,095
Cleared OTC	422,670			2,095	411,833			2,394
Bilateral OTC	372,899			1,398	491,697			816
Foreign exchange contracts:
Exchange-traded	42			538	2			690
Cleared OTC	—			—	36			3
Bilateral OTC	311,228			9,548	314,951			9,909
Equity contracts:
Exchange-traded	1,202,927			2,104,684	2,061,137			1,779,836
Bilateral OTC	207,221			5,126	315,996			2,764
Commodity contracts:
Exchange-traded	213			3,927	270			4,012
Credit contracts:
Cleared OTC	11,204			7	1,556			14
Bilateral OTC	13,768			123	11,618			79
Total derivatives not designated as accounting hedges	2,543,096				3,609,609
Total gross derivative assets/liabilities:
Exchange-traded	1,204,106				2,061,922
Cleared OTC	433,874				443,072
Bilateral OTC	905,116				1,134,262
Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	(1,190,951		)		(1,190,951		)
Cleared OTC	(407,351		)		(418,779		)
Bilateral OTC	(814,184		)		(901,875		)
Net amounts per Consolidated Statements of Financial Condition (4)	$	130,610			$	1,127,651

(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.

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   August 31,						Nine Months Ended   August 31,
Gains (Losses)	2019			2018			2019			2018
Interest rate swaps	$	28,052		$	(1,161	)	$	69,843		$	(22,363	)
Long-term debt	(28,519		)	1,221			(72,288		)	24,055
Total	$	(467	)	$	60		$	(2,445	)	$	1,692

The following table presents unrealized and realized gains (losses) on derivative contracts recognized in Principal transactions revenues 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   August 31,						Nine Months Ended   August 31,
Gains (Losses)	2019			2018			2019			2018
Interest rate contracts	$	(89,864	)	$	13,951		$	(193,715	)	$	36,053
Foreign exchange contracts	(3,022		)	(4,421		)	(1,604		)	6,207
Equity contracts	2,236			1,807			(118,354		)	(215,232		)
Commodity contracts	3,400			281			4,775			3,025
Credit contracts	2,687			620			11,600			3,026
Total	$	(84,563	)	$	12,238		$	(297,298	)	$	(166,921	)

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 August 31, 2019 (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	$	57,345	$	1	$	3,579	$	(3,572	)	$	57,353
Credit default swaps	887		826		—		(81		)	1,632
Total return swaps	25,166		70,022		—		(334		)	94,854
Foreign currency forwards, swaps and options	111,325		4,740		7		(3,538		)	112,534
Fixed income forwards	556		—		—		—			556
Interest rate swaps, options and forwards	76,320		225,447		183,737		(56,767		)	428,737
Total	$	271,599	$	301,036	$	187,323	$	(64,292	)	695,666
Cross product counterparty netting										(26,934		)
Total OTC derivative assets included in Financial instruments owned										$	668,732

(1) At August 31, 2019, we held net exchange-traded derivative assets and other credit agreements with a fair value of $30.3 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 August 31, 2019, cash collateral received was $213.2 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	$	8,679	$	123,854	$	49,873	$	(3,572	)	$	178,834
Credit default swaps	35		6,291		—		(81		)	6,245
Total return swaps	77,259		25,160		—		(334		)	102,085
Foreign currency forwards, swaps and options	108,267		2,758		2,984		(3,538		)	110,471
Fixed income forwards	868		—		—		—			868
Interest rate swaps, options and forwards	42,416		43,161		109,564		(56,767		)	138,374
Total	$	237,524	$	201,224	$	162,421	$	(64,292	)	536,877
Cross product counterparty netting										(26,934		)
Total OTC derivative liabilities included in Financial instruments sold, not yet purchased										$	509,943

(1) At August 31, 2019, we held net exchange-traded derivative liabilities and other credit agreements with a fair value of $370.8 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 August 31, 2019, cash collateral pledged was $318.0 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 August 31, 2019 (in thousands):

Counterparty credit quality (1):
A- or higher	$	146,495
BBB- to BBB+	42,072
BB+ or lower	275,252
Unrated	204,913
Total	$	668,732

(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):

	August 31, 2019
	External Credit Rating
	Investment Grade		Non-investment Grade		Unrated		Total Notional
Credit protection sold:
Index credit default swaps	$	—	$	96.8	$	—	$	96.8
Single name credit default swaps	7.6		31.6		32.9		72.1

	November 30, 2018
	External Credit Rating
	Investment Grade		Non-investment Grade		Unrated		Total Notional
Credit protection sold:
Index credit default swaps	$	25.7	$	167.4	$	—	$	193.1
Single name credit default swaps	57.7		84.5		3.0		145.2

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):

	August 31, 2019			November 30, 2018
Derivative instrument liabilities with credit-risk-related contingent features	$	113.7		$	93.5
Collateral posted	(80.0		)	(61.5		)
Collateral received	57.0			91.5
Return of and additional collateral required in the event of a credit rating downgrade below investment grade (1)	90.6			123.3

(1)

These potential 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.