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Derivative Financial Instruments (Tables)

12 Months Ended

Nov. 30, 2020

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 November 30, 2020 and 2019 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).


	November 30, 2020 (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	$	67,381	1	$	6,891	1
Foreign exchange contracts:
Bilateral OTC	—		—	3,306		11
Total derivatives designated as accounting hedges	67,381			10,197

Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	2,442		52,620	439		42,611
Cleared OTC	17,379		3,785	114,524		4,307
Bilateral OTC	626,210		1,493	317,534		466
Foreign exchange contracts:
Exchange-traded	—		—	—		180

Bilateral OTC	297,165		15,005	277,628		15,049
Equity contracts:
Exchange-traded	558,304		1,147,486	564,951		971,938

Bilateral OTC	429,304		2,374	1,125,944		2,421
Commodity contracts:
Exchange-traded	64		3,207	—		2,654


Credit contracts:

Cleared OTC	24,696		39	26,298		31
Bilateral OTC	1,008		11	2,209		11
Total derivatives not designated as accounting hedges	1,956,572			2,429,527
Total gross derivative assets/ liabilities:
Exchange-traded	560,810			565,390
Cleared OTC	109,456			147,713
Bilateral OTC	1,353,687			1,726,621
Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	(546,989)			(546,989)
Cleared OTC	(109,228)			(111,654)
Bilateral OTC	(899,919)			(1,140,016)
Net amounts per Consolidated Statements of Financial Condition (4)	$	467,817		$	641,065

(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, 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	$	28,663	1	$	—	—
Total derivatives designated as accounting hedges	28,663			—

Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	1,191		65,226	103		38,464
Cleared OTC	213,224		3,329	284,433		3,443
Bilateral OTC	421,700		1,325	258,857		738
Foreign exchange contracts:
Exchange-traded	—		256	—		199

Bilateral OTC	190,570		9,255	187,836		9,187
Equity contracts:
Exchange-traded	717,494		1,714,538	962,535		1,481,388
Bilateral OTC	248,720		4,731	445,241		4,271
Commodity contracts:
Exchange-traded	—		5,524	—		4,646

Credit contracts:
Cleared OTC	2,514		13	5,768		12
Bilateral OTC	6,281		25	14,219		28
Total derivatives not designated as accounting hedges	1,801,694			2,158,992
Total gross derivative assets/liabilities:
Exchange-traded	718,685			962,638
Cleared OTC	244,401			290,201
Bilateral OTC	867,271			906,153
Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	(688,871)			(688,871)
Cleared OTC	(222,869)			(266,900)
Bilateral OTC	(521,066)			(676,016)
Net amounts per Consolidated Statements of Financial Condition (4)	$	397,551		$	527,205

(3)Amounts netted include both netting by counterparty and for cash collateral paid or received.

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 related to fair value hedges (in thousands):


	Year Ended November 30,
Gains (Losses)	2020		2019		2018
Interest rate swaps	$	41,524	$	56,385	$	(25,539)
Long-term debt	(36,668)		(58,931)		27,363
Total	$	4,856	$	(2,546)	$	1,824

The following table provides information related to gains (losses) on our net investment hedges recognized in Currency translation adjustments and other, a component of Other comprehensive income (loss), in our Consolidated Statements of Comprehensive Income (in thousands):


	Year Ended November 30,
Gains (Losses)	2020		2019		2018
Foreign exchange contracts	$	(3,306)	$	—	$	—

Total	$	(3,306)	$	—	$	—

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):


	Year Ended November 30,
Gains (Losses)	2020		2019		2018
Interest rate contracts	$	(52,331)	$	(188,605)	$	67,291
Foreign exchange contracts	3,851		(4,016)		(304)
Equity contracts	47,631		(108,961)		(232,873)
Commodity contracts	(189)		(681)		1,112
Credit contracts	15,218		9,147		2,715
Total	$	14,180	$	(293,116)	$	(162,059)

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 November 30, 2020 (in thousands):


	OTC Derivative Assets (1) (2) (3)
	0 – 12 Months		1 – 5 Years		Greater Than 5 Years		Cross-Maturity Netting (4)		Total

Equity options and forwards	$	32,766	$	951	$	16,650	$	(24,685)	$	25,682
Credit default swaps	—		750		11		—		761
Total return swaps	140,394		25,110		1,321		(2,975)		163,850
Foreign currency forwards, swaps and options	62,249		18,460		517		(5,746)		75,480

Interest rate swaps, options and forwards	80,949		168,430		204,467		(40,131)		413,715
Total	$	316,358	$	213,701	$	222,966	$	(73,537)	679,488
Cross product counterparty netting									(24,723)
Total OTC derivative assets included in Financial instruments owned									$	654,765

(1)At November 30, 2020, we held net exchange-traded derivative assets and other credit agreements with a fair value of $29.8 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 November 30, 2020, cash collateral received was $216.8 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 options and forwards	$	23,278	$	491,595	$	119,988	$	(24,685)	$	610,176
Credit default swaps	—		596		1,615		—		2,211
Total return swaps	88,130		190,616		22		(2,975)		275,793
Foreign currency forwards, swaps and options	50,949		13,376		—		(5,746)		58,579
Fixed income forwards	213		—		—		—		213
Interest rate swaps, options and forwards	61,558		65,934		68,252		(40,131)		155,613
Total	$	224,128	$	762,117	$	189,877	$	(73,537)	1,102,585
Cross product counterparty netting									(24,723)
Total OTC derivative liabilities included in Financial instruments sold, not yet purchased									$	1,077,862

(1)At November 30, 2020, we held net exchange-traded derivative liabilities and other credit agreements with a fair value of $22.5 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 November 30, 2020, cash collateral pledged was $459.3 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 November 30, 2020 (in thousands):


Counterparty credit quality (1):
A- or higher	$	164,718
BBB- to BBB+	19,628
BB+ or lower	316,361
Unrated	154,058
Total	$	654,765

(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):


	November 30, 2020
	External Credit Rating
	Investment Grade		Non-investment Grade		Unrated		Total Notional
Credit protection sold:
Index credit default swaps	$	62.0	$	262.8	$	—	$	324.8

Single name credit default swaps	—		6.2		0.2		6.4


	November 30, 2019
	External Credit Rating
	Investment Grade		Non-investment Grade		Unrated		Total Notional
Credit protection sold:
Index credit default swaps	$	3.0	$	32.0	$	—	$	35.0
Single name credit default swaps	3.4		29.0		1.5		33.9

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):


	November 30,
	2020		2019
Derivative instrument liabilities with credit-risk-related contingent features	$	284.6	$	42.9
Collateral posted	(129.8)		(3.1)
Collateral received	141.4		114.1
Return of and additional collateral required in the event of a credit rating downgrade below investment grade (1)	296.2		154.0

(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.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details