Fair Value Disclosures (Tables)

3 Months Ended

Feb. 28, 2021

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 $1,017.8 million and $956.0 million at February 28, 2021 and November 30, 2020, respectively, by level within the fair value hierarchy (in thousands):

	February 28, 2021
	Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (1)		Total
Assets:
Financial instruments owned:
Corporate equity securities	$	2,687,871	$	58,056	$	83,278	$	—	$	2,829,205
Corporate debt securities	—		3,451,794		6,811		—		3,458,605
Collateralized debt obligations and collateralized loan obligations	—		91,654		25,894		—		117,548
U.S. government and federal agency securities	2,485,813		73,550		—		—		2,559,363
Municipal securities	—		292,604		—		—		292,604
Sovereign obligations	1,668,975		799,239		—		—		2,468,214
Residential mortgage-backed securities	—		1,880,823		21,692		—		1,902,515
Commercial mortgage-backed securities	—		37,013		2,671		—		39,684
Other asset-backed securities	—		63,956		60,594		—		124,550
Loans and other receivables	—		3,099,917		79,055		—		3,178,972
Derivatives	3,346		3,091,787		39,397		(2,604,607)		529,923
Investments at fair value	—		6,399		45,472		—		51,871
Total financial instruments owned, excluding Investments at fair value based on NAV	$	6,846,005	$	12,946,792	$	364,864	$	(2,604,607)	$	17,553,054
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	2,124,994	$	1,075	$	4,443	$	—	$	2,130,512
Corporate debt securities	—		1,824,458		1,571		—		1,826,029
U.S. government and federal agency securities	2,618,198		—		—		—		2,618,198
Sovereign obligations	1,343,920		1,016,688		—		—		2,360,608
Commercial mortgage-backed securities	—		—		35		—		35
Loans	—		2,326,306		14,916		—		2,341,222
Derivatives	2,173		3,734,965		344,903		(2,997,103)		1,084,938
Total financial instruments sold, not yet purchased	$	6,089,285	$	8,903,492	$	365,868	$	(2,997,103)	$	12,361,542
Other secured financings	$	—	$	—	$	2,168	$	—	$	2,168
Long-term debt	$	—	$	1,061,042	$	723,115	$	—	$	1,784,157

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

	November 30, 2020
	Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (1)		Total
Assets:
Financial instruments owned:
Corporate equity securities	$	2,331,440	$	58,159	$	75,797	$	—	$	2,465,396
Corporate debt securities	—		2,954,201		23,146		—		2,977,347
Collateralized debt obligations and collateralized loan obligations	—		64,155		10,513		—		74,668
U.S. government and federal agency securities	2,840,025		91,653		—		—		2,931,678
Municipal securities	—		453,881		—		—		453,881
Sovereign obligations	1,962,346		591,342		—		—		2,553,688
Residential mortgage-backed securities	—		1,100,849		21,826		—		1,122,675
Commercial mortgage-backed securities	—		736,291		2,003		—		738,294
Other asset-backed securities	—		103,611		79,995		—		183,606
Loans and other receivables	—		2,610,746		77,042		—		2,687,788
Derivatives	1,523		2,000,752		21,678		(1,556,136)		467,817
Investments at fair value	—		6,122		67,108		—		73,230
Total financial instruments owned, excluding Investments at fair value based on NAV	$	7,135,334	$	10,771,762	$	379,108	$	(1,556,136)	$	16,730,068
Securities received as collateral	$	7,517	$	—	$	—	$	—	$	7,517
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	2,046,441	$	9,046	$	4,434	$	—	$	2,059,921
Corporate debt securities	—		1,237,631		141		—		1,237,772
U.S. government and federal agency securities	2,609,660		—		—		—		2,609,660
Sovereign obligations	1,050,771		624,740		—		—		1,675,511
Residential mortgage-backed securities	—		477		—		—		477
Commercial mortgage-backed securities	—		—		35		—		35
Loans	—		1,776,446		16,635		—		1,793,081
Derivatives	551		2,391,478		47,695		(1,798,659)		641,065
Total financial instruments sold, not yet purchased	$	5,707,423	$	6,039,818	$	68,940	$	(1,798,659)	$	10,017,522
Short-term borrowings	$	—	$	5,067	$	—	$	—	$	5,067
Other secured financings	$	—	$	—	$	1,543	$	—	$	1,543
Obligation to return securities received as collateral	$	7,517	$	—	$	—	$	—	$	7,517
Long-term debt	$	—	$	1,036,217	$	676,028	$	—	$	1,712,245

(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, 2021
	Fair Value (1)		Unfunded Commitments
Equity Long/Short Hedge Funds (2)	$	345,570	$	—
Equity Funds (3)	23,856		11,043
Commodity Funds (4)	19,217		—
Multi-asset Funds (5)	580,269		—
Other Funds (6)	48,910		21,750
Total	$	1,017,822	$	32,793

	November 30, 2020
	Fair Value (1)		Unfunded Commitments
Equity Long/Short Hedge Funds (2)	$	328,096	$	—
Equity Funds (3)	23,821		11,242
Commodity Funds (4)	17,747		—
Multi-asset Funds (5)	561,236		—
Other Funds (6)	25,084		5,000
Total	$	955,984	$	16,242

(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 both public and private equity securities in domestic and international markets. At both February 28, 2021 and November 30, 2020, approximately 94% of the fair value of investments in this category cannot be redeemed because these investments include restrictions that do not allow for redemption before December 31, 2021. At both February 28, 2021 and November 30, 2020, approximately 6% of the fair value of investments in this category are redeemable quarterly with 60 days prior written notice.

(3)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 primarily expected to be liquidated in approximately one to eight 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 both February 28, 2021 and November 30, 2020, investments representing approximately 57% of the fair value of investments in this category are redeemable monthly with 60 days prior written notice.

(6)This category primarily includes investments in a fund that invests in short-term trade receivables and payables that are expected to generally be outstanding between 90 to 120 days and short-term credit instruments. These investments are redeemable quarterly with 90 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, 2021 (in thousands):

	Three Months Ended February 28, 2021
	Balance at November 30, 2020		Total gains/losses (realized and unrealized) (1)		Purchases		Sales		Settlements		Issuances		Net transfers into/ (out of) Level 3		Balance at February 28, 2021		For instruments still held at February 28, 2021 changes in unrealized gains/(losses) included in:
																	Earnings (1)		Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	75,797	$	1,309	$	4,805	$	(4,647)	$	—	$	—	$	6,014	$	83,278	$	135	$	—
Corporate debt securities	23,146		266		130		(6)		—		—		(16,725)		6,811		297		—
CDOs and CLOs	10,513		3,840		11,427		(8,007)		(5,652)		—		13,773		25,894		3,368		—
RMBS	21,826		1,327		791		(627)		(514)		—		(1,111)		21,692		1,347		—
CMBS	2,003		(29)		1,105		(393)		—		—		(15)		2,671		97		—
Other ABS	79,995		2,361		14,604		(20,909)		(8,449)		—		(7,008)		60,594		1,721		—
Loans and other receivables	77,042		1,642		8,758		(44,427)		(66)		—		36,106		79,055		1,656		—
Investments at fair value	67,108		1,939		—		(23,575)		—		—		—		45,472		1,939		—
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	4,434	$	9	$	—	$	—	$	—	$	—	$	—	$	4,443	$	(22)	$	—
Corporate debt securities	141		1,430		—		—		—		—		—		1,571		(1,430)		—
CMBS	35		—		(35)		35		—		—		—		35		—		—
Loans	16,635		1,559		(6,821)		3,358		—		—		185		14,916		(1,559)		—
Net derivatives (2)	26,017		43,727		—		12,670		(92)		—		223,184		305,506		(43,727)		—
Other secured financings	1,543		—		—		—		—		625		—		2,168		—		—
Long-term debt	676,028		25,357		—		—		—		21,730		—		723,115		15,501		(40,858)

(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 within long-term debt 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 February 29, 2020 (in thousands):

	Three Months Ended February 29, 2020
	Balance at November 30, 2019		Total gains/losses (realized and unrealized) (1)		Purchases		Sales		Settlements		Issuances		Net transfers into/ (out of) Level 3		Balance at February 29, 2020		For instruments still held at February 29, 2020, changes in unrealized gains/(losses) included in:
																	Earnings (1)		Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	58,301	$	(8,195)	$	2,792	$	(1,934)	$	—	$	—	$	52,679	$	103,643	$	(8,206)	$	—
Corporate debt securities	7,490		1,269		1,478		(503)		(601)		—		15,957		25,090		879		—
CDOs and CLOs	20,081		(2,069)		17,594		(17,833)		—		—		3,179		20,952		(1,823)		—
RMBS	17,740		(280)		—		—		(3)		—		(487)		16,970		(250)		—
CMBS	6,110		(306)		—		—		(1,401)		—		(139)		4,264		571		—
Other ABS	42,563		(4,159)		81,323		(72,032)		(1,974)		—		(3,818)		41,903		(3,797)		—
Loans and other receivables	64,240		(3,781)		12,940		(13,042)		(7,087)		—		1,051		54,321		(5,109)		—
Investments at fair value	75,738		(20,392)		—		(76)		—		—		—		55,270		(20,392)		—
Securities purchased under agreements to resell	25,000		—		—		—		(25,000)		—		—		—		—		—
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	4,487	$	291	$	(513)	$	—	$	—	$	—	$	10	$	4,275	$	65	$	—
Corporate debt securities	340		(189)		(13,832)		14,079		369		—		—		767		(35)		—
CMBS	35		—		—		—		—		—		—		35		—		—
Loans	9,463		1		(9,872)		2,781		—		—		5,486		7,859		(1)		—
Net derivatives (2)	77,168		(17,528)		(278)		5,627		192		—		45,662		110,843		17,460		—
Long-term debt	480,069		(9,016)		—		—		—		128,475		(56,065)		543,463		(5,590)		14,606

(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 within long-term debt 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.

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, 2021
Financial Instruments Owned:	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input / Range				Weighted Average
Corporate equity securities	$	83,278
Non-exchange traded securities			Market approach	Price	$1		-	$213	$76
				EBITDA multiple	8.0				—
Corporate debt securities	$	6,811	Scenario analysis	Estimated recovery percentage	20	%	-	44%	30%
CDOs and CLOs	$	24,806	Discounted cash flows	Constant prepayment rate	8	%	-	20%	19%
				Constant default rate	2%				—
				Loss severity	25	%	-	35%	26%
				Discount rate/yield	4	%	-	21%	16%
RMBS	$	21,692	Discounted cash flows	Discount rate/yield	3	%	-	4%	3%
				Cumulative loss rate	3%				—
				Duration (years)	3.0		-	5.5	4.9
				Loss severity	35%				—
CMBS	$	2,671	Discounted cash flows	Loss severity	65%				—
				Discount rate/yield	16%				—
				Cumulative loss rate	10%				—
				Duration (years)	0.2				—
Other ABS	$	60,594	Discounted cash flows	Discount rate/yield	3	%	-	14%	9%
				Cumulative loss rate	8	%	-	19%	13%
				Duration (years)	0.9		-	2.0	1.5
			Market approach	Price	$100				—
Loans and other receivables	$	79,055	Market approach	Price	$31		-	$101	$83
			Scenario analysis	Estimated recovery percentage	0	%	-	100%	41%
Derivatives	$	38,014
Equity options			Volatility benchmarking	Volatility	41	%	-	57%	54%
Interest rate swaps			Market approach	Basis points upfront	0.7		-	6.4	3.3
Investments at fair value	$	45,472
Private equity securities			Market approach	Price	$6		-	$169	$53
			Scenario analysis	Estimated recovery percentage	17%				—
Financial Instruments Sold, Not Yet Purchased:
Corporate equity securities	$	4,443	Market approach	Price	$1				—
Corporate debt securities	$	1,571	Scenario analysis	Estimated recovery percentage	20%				—
Loans	$	14,916	Market approach	Price	$31		-	$50	$35
			Scenario analysis	Estimated recovery percentage	5%				—
Derivatives	$	344,903
Equity options			Volatility benchmarking	Volatility	29	%	-	62%	46%
Interest rate swaps			Market approach	Basis points upfront	0.7		-	6.4	3.5
Other secured financings	$	2,168	Scenario analysis	Estimated recovery percentage	19	%	-	100%	61%
Long-term debt
Structured notes	$	723,115	Market approach	Price	$104				—
				Price	€82		-	€112	€102

November 30, 2020
Financial Instruments Owned	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input / Range				Weighted Average
Corporate equity securities	$	75,409
Non-exchange-traded securities			Market approach	Price	$1		-	$213	$86
				EBITDA multiple	4.0		-	8.0	5.7
Corporate debt securities	$	23,146	Market approach	Price	$69				—
			Scenario analysis	Estimated recovery percentage	20	%	-	44%	30%
CDOs and CLOs	$	10,513	Discounted cash flows	Constant prepayment rate	20%				—
				Constant default rate	2%				—
				Loss severity	25	%	-	30%	26%
				Discount rate/yield	14	%	-	28%	20%
RMBS	$	21,826	Discounted cash flows	Cumulative loss rate	2	%	-	3%	3%
				Loss severity	35	%	-	50%	36%
				Duration (years)	2.0		-	12.9	5.1
				Discount rate/yield	3	%	-	12%	4%
Other ABS	$	67,816	Discounted cash flows	Cumulative loss rate	1	%	-	28%	11%
				Loss severity	50	%	-	85%	54%
				Duration (years)	0.2		-	2.1	1.3
				Discount rate/yield	1	%	-	16%	9%
			Market approach	Price	$100				—
Loans and other receivables	$	76,046	Market approach	Price	$31		-	$100	$84
			Scenario analysis	Estimated recovery percentage	19	%	-	100%	52%
Derivatives	$	19,951
Equity options			Volatility benchmarking	Volatility	47%				—
Interest rate swaps			Market approach	Basis points upfront	1.2		-	8.0	4.8
Investments at fair value	$	67,108
Private equity securities			Market approach	Price	$1		-	$169	$34
			Scenario analysis	Estimated recovery percentage	17%				—
Financial Instruments Sold, Not Yet Purchased:
Corporate equity securities	$	4,434	Market approach	Price	$1				—
Corporate debt securities	$	141	Scenario analysis	Estimated recovery percentage	20%				—
Loans	$	16,635	Market approach	Price	$31		-	$99	$55
Derivatives	$	46,971
Equity options			Volatility benchmarking	Volatility	33	%	-	50%	42%
Interest rate swaps			Market approach	Basis points upfront	1.2		-	8.0	5.4
Other secured financings	$	1,543	Scenario analysis	Estimated recovery percentage	19	%	-	55%	45%
Long-term debt
Structured notes	$	676,028	Market approach	Price	$100				—
				Price	€76		-	€113	€99

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 Short-term borrowings and Long-term debt measured at fair value under the fair value option (in thousands):

	Three Months Ended
	February 28, 2021		February 29, 2020
Financial instruments owned:
Loans and other receivables	$	10,696	$	1,739
Financial instruments sold, not yet purchased:
Loans	$	—	$	(610)
Loan commitments	—		(661)
Short-term borrowings:
Changes in instrument specific credit risk (1)	$	—	$	57
Other changes in fair value (2)	—		12
Long-term debt:
Changes in instrument specific credit risk (1)	$	(91,982)	$	29,432
Other changes in fair value (2)	80,819		(37,642)

(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 amounts by which contractual principal is greater than (less than) fair value for loans and other receivables, short-term borrowings, other secured financings and long-term debt measured at fair value under the fair value option (in thousands):

	February 28, 2021		November 30, 2020
Financial instruments owned:
Loans and other receivables (1)	$	5,826,957	$	1,662,647
Loans and other receivables on nonaccrual status and/or 90 days or greater past due (1) (2)	252,790		287,889
Long-term debt and short-term borrowings	(53,138)		(42,819)
Other secured financings	2,782		2,782

(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 $30.2 million and $30.0 million at February 28, 2021 and November 30, 2020, respectively.