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Fair Value Disclosures

12 Months Ended

Nov. 30, 2021

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 $1.01 billion and $956.0 million at November 30, 2021 and 2020, respectively, by level within the fair value hierarchy (in thousands):


	November 30, 2021
	Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (1)		Total
Assets:
Financial instruments owned:
Corporate equity securities	$	2,567,690	$	199,244	$	76,082	$	—	$	2,843,016
Corporate debt securities	—		3,836,303		11,803		—		3,848,106
Collateralized debt obligations and collateralized loan obligations	—		579,518		31,944		—		611,462
U.S. government and federal agency securities	3,045,295		68,784		—		—		3,114,079
Municipal securities	—		509,559		—		—		509,559
Sovereign obligations	899,086		654,199		—		—		1,553,285
Residential mortgage-backed securities	—		1,168,246		1,477		—		1,169,723
Commercial mortgage-backed securities	—		196,419		2,333		—		198,752
Other asset-backed securities	—		337,022		93,524		—		430,546
Loans and other receivables	—		3,363,050		74,585		—		3,437,635
Derivatives	4,429		3,858,848		10,248		(3,304,566)		568,959
Investments at fair value	—		4,236		34,557		—		38,793
Total financial instruments owned, excluding Investments at fair value based on NAV	$	6,516,500	$	14,775,428	$	336,553	$	(3,304,566)	$	18,323,915

Securities received as collateral	$	7,289	$	—	$	—	$	—	$	7,289

Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	1,671,696	$	19,654	$	4,635	$	—	$	1,695,985
Corporate debt securities	—		2,111,777		482		—		2,112,259
U.S. government and federal agency securities	2,457,420		—		—		—		2,457,420

Sovereign obligations	935,801		593,040		—		—		1,528,841
Residential mortgage-backed securities	—		719		—		—		719
Commercial mortgage-backed securities	—		—		210		—		210
Loans	—		2,476,087		15,770		—		2,491,857
Derivatives	1,815		5,024,682		78,017		(3,701,010)		1,403,504
Total financial instruments sold, not yet purchased	$	5,066,732	$	10,225,959	$	99,114	$	(3,701,010)	$	11,690,795

Other secured financings	$	—	$	76,883	$	25,905	$	—	$	102,788
Obligation to return securities received as collateral	$	7,289	$	—	$	—	$	—	$	7,289
Long-term debt	$	—	$	961,866	$	881,732	$	—	$	1,843,598

(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.

The following is a description of the valuation basis, including valuation techniques and inputs, used in measuring our financial assets and liabilities that are accounted for at fair value on a recurring basis:

Corporate Equity Securities

•Exchange-Traded Equity Securities: Exchange-traded equity securities are measured based on quoted closing exchange prices, which are generally obtained from external pricing services, and are categorized within Level 1 of the fair value hierarchy, otherwise they are categorized within Level 2 of the fair value hierarchy. To the extent these securities are actively traded, valuation adjustments are not applied.

•Non-Exchange-Traded Equity Securities: Non-exchange-traded equity securities are measured primarily using broker quotations, pricing data from external pricing services and prices observed from recently executed market transactions and are categorized within Level 2 of the fair value hierarchy. Where such information is not available, non-exchange-traded equity securities are categorized within Level 3 of the fair value hierarchy and measured using valuation techniques involving quoted prices of or market data for comparable companies, similar company ratios and multiples (e.g., price/Earnings before interest, taxes, depreciation and amortization (“EBITDA”), price/book value), discounted cash flow analyses and transaction prices observed from subsequent financing or capital issuance by the company. When using pricing data of comparable companies, judgment must be applied to adjust the pricing data to account for differences between the measured security and the comparable security (e.g., issuer market capitalization, yield, dividend rate, geographical concentration).

•Equity Warrants: Non-exchange-traded equity warrants are measured primarily from observed prices on recently executed market transactions and broker quotations and are categorized within Level 2 of the fair value hierarchy. Where such information is not available, non-exchange-traded equity warrants are generally categorized within Level 3 of the fair value hierarchy and can be measured using third-party valuation services or the Black-Scholes model with key inputs impacting the valuation including the underlying security price, implied volatility, dividend yield, interest rate curve, strike price and maturity date.

Corporate Debt Securities

•Investment Grade Corporate Bonds: Investment grade corporate bonds are measured primarily using pricing data from external pricing services and broker quotations, where available, prices observed from recently executed market transactions and bond spreads or credit default swap spreads of the issuer adjusted for basis differences between the swap curve and the bond curve. Investment grade corporate bonds measured using these valuation methods are categorized within Level 2 of the fair value hierarchy. If broker quotes, pricing data or spread data is not available, alternative valuation techniques are used including cash flow models incorporating interest rate curves, single name or index credit default swap curves for comparable issuers and recovery rate assumptions. Investment grade corporate bonds measured using alternative valuation techniques are categorized within Level 2 or Level 3 of the fair value hierarchy and are a limited portion of our investment grade corporate bonds.

•High Yield Corporate and Convertible Bonds: A significant portion of our high yield corporate and convertible bonds are categorized within Level 2 of the fair value hierarchy and are measured primarily using broker quotations and pricing data from external pricing services, where available, and prices observed from recently executed market transactions of institutional size. Where pricing data is less observable, valuations are categorized within Level 3 of the fair value hierarchy and are based on pending transactions involving the issuer or comparable issuers, prices implied from an issuer’s subsequent financing or recapitalization, models incorporating financial ratios and projected cash flows of the issuer and market prices for comparable issuers.

Collateralized Debt Obligations and Collateralized Loan Obligations

Collateralized debt obligations (“CDOs”) and collateralized loan obligations (“CLOs”) are measured based on prices observed from recently executed market transactions of the same or similar security or based on valuations received from third-party brokers or data providers and are categorized within Level 2 or Level 3 of the fair value hierarchy depending on the observability and significance of the pricing inputs. Valuation that is based on recently executed market transactions of similar securities incorporates additional review and analysis of pricing inputs and comparability criteria, including, but not limited to, collateral type, tranche type, rating, origination year, prepayment rates, default rates and loss severity.

U.S. Government and Federal Agency Securities

•U.S. Treasury Securities: U.S. Treasury securities are measured based on quoted market prices obtained from external pricing services and categorized within Level 1 of the fair value hierarchy.

•U.S. Agency Debt Securities: Callable and non-callable U.S. agency debt securities are measured primarily based on quoted market prices obtained from external pricing services and are generally categorized within Level 1 or Level 2 of the fair value hierarchy.

Municipal Securities

Municipal securities are measured based on quoted prices obtained from external pricing services, where available, or recently executed independent transactions of comparable size and are generally categorized within Level 2 of the fair value hierarchy.

Sovereign Obligations

Sovereign government obligations are measured based on quoted market prices obtained from external pricing services, where available, or recently executed independent transactions of comparable size. Sovereign government obligations, with consideration given to the country of issuance, are generally categorized within Level 1 or Level 2 of the fair value hierarchy.

Residential Mortgage-Backed Securities

•Agency Residential Mortgage-Backed Securities (“RMBS”): Agency RMBS include mortgage pass-through securities (fixed and adjustable rate), collateralized mortgage obligations and principal-only and interest-only (including inverse interest-only) securities. Agency RMBS are generally measured using recent transactions, pricing data from external pricing services or expected future cash flow techniques that incorporate prepayment models and other prepayment assumptions to amortize the underlying mortgage loan collateral and are categorized within Level 2 or Level 3 of the fair value hierarchy. We use prices observed from recently executed transactions to develop market-clearing spread and yield assumptions. Valuation inputs with regard to the underlying collateral incorporate factors such as weighted average coupon, loan-to-value, credit scores, geographic location, maximum and average loan size, originator, servicer and weighted average loan age.

•Non-Agency RMBS: The fair value of non-agency RMBS is determined primarily using pricing data from external pricing services, where available, and discounted cash flow methodologies and securities are categorized within Level 2 or Level 3 of the fair value hierarchy based on the observability and significance of the pricing inputs used. Performance attributes of the underlying mortgage loans are evaluated to estimate pricing inputs, such as prepayment rates, default rates and the severity of credit losses. Attributes of the underlying mortgage loans that affect the pricing inputs include, but are not limited to, weighted average coupon; average and maximum loan size; loan-to-value; credit scores; documentation type; geographic location; weighted average loan age; originator; servicer; historical prepayment, default and loss severity experience of the mortgage loan pool; and delinquency rate. Yield curves used in the discounted cash flow models are based on observed market prices for comparable securities and published interest rate data to estimate market yields. In addition, broker quotes, where available, are also referenced to compare prices primarily on interest-only securities.

Commercial Mortgage-Backed Securities

•Agency Commercial Mortgage-Backed Securities (“CMBS”): Government National Mortgage Association (“Ginnie Mae”) project loan bonds are measured based on inputs corroborated from and benchmarked to observed prices of recent securitization transactions of similar securities with adjustments incorporating an evaluation of various factors, including prepayment speeds, default rates and cash flow structures. Federal National Mortgage Association (“Fannie Mae”) Delegated Underwriting and Servicing (“DUS”) mortgage-backed securities are generally measured by using prices observed from recently executed market transactions to estimate market-clearing spread levels for purposes of estimating fair value. Ginnie Mae project loan bonds and Fannie Mae DUS mortgage-backed securities are categorized within Level 2 of the fair value hierarchy.

•Non-Agency CMBS: Non-agency CMBS are measured using pricing data obtained from external pricing services, prices observed from recently executed market transactions or based on expected cash flow models that incorporate underlying loan collateral characteristics and performance. Non-Agency CMBS are categorized within Level 2 or Level 3 of the fair value hierarchy depending on the observability of the underlying inputs.

Other Asset-Backed Securities

Other asset-backed securities (“ABS”) include, but are not limited to, securities backed by auto loans, credit card receivables, student loans and other consumer loans and are categorized within Level 2 or Level 3 of the fair value hierarchy. Valuations are primarily determined using pricing data obtained from external pricing services, broker quotes and prices observed from recently executed market transactions. In addition, recent transaction data from comparable deals is deployed to develop market clearing yields and cumulative loss assumptions. The cumulative loss assumptions are based on the analysis of the underlying collateral and comparisons to earlier deals from the same issuer to gauge the relative performance of the deal.

Loans and Other Receivables

•Corporate Loans: Corporate loans categorized within Level 2 of the fair value hierarchy are measured based on market consensus pricing service quotations. Where available, market price quotations from external pricing services are reviewed to ensure they are supported by transaction data. Corporate loans categorized within Level 3 of the fair value hierarchy are measured based on price quotations that are considered to be less transparent, for example, derived using market prices for debt securities of the same creditor and estimates of future cash flows incorporating assumptions regarding creditor default and recovery rates and consideration of the issuer’s capital structure.

•Participation Certificates in Agency Residential Loans: Valuations of participation certificates in agency residential loans are based on observed market prices of recently executed purchases and sales of similar loans and data provider pricing. The loan participation certificates are categorized within Level 2 of the fair value hierarchy given the observability and volume of recently executed transactions and availability of data provider pricing.

•Project Loans and Participation Certificates in Ginnie Mae Project and Construction Loans: Valuations of participation certificates in Ginnie Mae project and construction loans are based on inputs corroborated from and benchmarked to observed prices of recent securitizations with similar underlying loan collateral to derive an implied spread. Securitization prices are adjusted to estimate the fair value of the loans to account for the arbitrage that is realized at the time of securitization. The measurements are categorized within Level 2 of the fair value hierarchy given the observability and volume of recently executed transactions.

•Consumer Loans and Funding Facilities: Consumer and small business whole loans and related funding facilities are valued based on observed market transactions and incorporating valuation inputs including, but not limited to, delinquency and default rates, prepayment rates, borrower characteristics, loan risk grades and loan age. These assets are categorized within Level 2 or Level 3 of the fair value hierarchy.

•Escrow and Claim Receivables: Escrow and claim receivables are categorized within Level 2 of the fair value hierarchy where fair value is based on recent observations in the same receivable. Escrow and claim receivables are categorized within Level 3 of the fair value hierarchy where fair value is estimated based on reference to market prices and implied yields of debt securities of the same or similar issuers.

Derivatives

•Listed Derivative Contracts: Listed derivative contracts that are actively traded are measured based on quoted exchange prices, broker quotes or vanilla option valuation models, such as Black-Scholes, using observable valuation inputs from the principal market or consensus pricing services. Exchange quotes and/or valuation inputs are generally obtained from external vendors and pricing services. Broker quotes are validated directly through observable and tradeable quotes. Listed derivative contracts that use exchange close prices are generally categorized within Level 1 of the fair value hierarchy. All other listed derivative contracts are generally categorized within Level 2 of the fair value hierarchy.

•Over-the-Counter (“OTC”) Derivative Contracts: OTC derivative contracts are generally valued using models, whose inputs reflect assumptions that we believe market participants would use in valuing the derivative in a current transaction. Where available, valuation inputs are calibrated from observable market data. For many OTC derivative contracts, the valuation models do not involve material subjectivity as the methodologies do not entail significant judgment and the inputs to valuation models do not involve a high degree of subjectivity as the valuation model inputs are readily observable or can be derived from actively quoted markets. OTC derivative contracts are primarily categorized within Level 2 of the fair value hierarchy given the observability and significance of the inputs to the valuation models. Where significant inputs to the valuation are unobservable, derivative instruments are categorized within Level 3 of the fair value hierarchy.

OTC options include OTC equity, foreign exchange, interest rate and commodity options measured using various valuation models, such as Black-Scholes, with key inputs including the underlying security price, foreign exchange spot rate, commodity price, implied volatility, dividend yield, interest rate curve, strike price and maturity date. Discounted cash flow models are utilized to measure certain OTC derivative contracts including the valuations of our interest rate swaps, which incorporate observable inputs related to interest rate curves, valuations of our foreign exchange forwards and swaps, which incorporate observable inputs related to foreign currency spot rates and forward curves and valuations of our commodity swaps and forwards, which incorporate observable inputs related to commodity spot prices and forward curves. Credit default swaps include both index and single-name credit default swaps. Where available, external data is used in measuring index credit default swaps and single-name credit default swaps. For commodity and equity total return swaps, market prices are generally observable for the underlying asset and used as the basis for measuring the fair value of the derivative contracts. Total return swaps executed on other underlyings are measured based on valuations received from external pricing services.

Investments at Fair Value

Investments at fair value includes investments in hedge funds and private equity funds, which are measured at the NAV of the funds, provided by the fund managers and are excluded from the fair value hierarchy. Investments at fair value also include direct equity investments in private companies, which are measured at fair value using valuation techniques involving quoted prices of or market data for comparable companies, similar company ratios and multiples (e.g., price/EBITDA, price/book value), discounted cash flow analyses and transaction prices observed for subsequent financing or capital issuance by the company. Direct equity investments in private companies are categorized within Level 2 or Level 3 of the fair value hierarchy.

The following tables present information about our investments in entities that have the characteristics of an investment company (in thousands):


	November 30, 2021
	Fair Value (1)		Unfunded Commitments
Equity Long/Short Hedge Funds (2)	$	466,231	$	—
Equity Funds (3)	32,412		10,593
Commodity Fund (4)	24,401		—
Multi-asset Funds (5)	390,224		—
Other Funds (6)	99,054		36,090
Total	$	1,012,322	$	46,683


	November 30, 2020
	Fair Value (1)		Unfunded Commitments
Equity Long/Short Hedge Funds (2)	$	328,096	$	—
Equity Funds (3)	23,821		11,242
Commodity Fund (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 November 30, 2021 and 2020, approximately 74% and 94%, respectively, of the fair value of investments cannot be redeemed because these investments include restrictions that do not allow for redemption before December 31, 2021. At November 30, 2021, approximately 21% of the fair value of investments cannot be redeemed because these investments include restrictions that do not allow for redemption before November 30, 2023. The remaining investments 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 seven 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 November 30, 2021 and 2020, investments representing approximately 78% and 57%, respectively, of the fair value of investments in this category are redeemable monthly with 60 days prior written notice. At November 30, 2021, approximately 22% of the fair value of investments in this category are redeemable quarterly with 90 days prior written notice.

(6)This category 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. This category also includes investments in a fund that invests in distressed and special situations long and short credit strategies across sectors and asset types. Investments in this category are redeemable quarterly with 90 days prior written notice.

Other Secured Financings

Other secured financings that are accounted for at fair value are classified within Level 2 or Level 3 of the fair value hierarchy. Fair value is based on estimates of future cash flows incorporating assumptions regarding recovery rates.

Securities Received as Collateral / Obligations to Return Securities Received as Collateral

In connection with securities-for-securities transactions in which we are the lender of securities and are permitted to sell or repledge the securities received as collateral, we report the fair value of the collateral received and the related obligation to return the collateral. Valuation is based on the price of the underlying security and is categorized within the corresponding leveling guidance above. These financial instruments are typically categorized withing Level 1 of the fair value hierarchy.

Short-term Borrowings / Long-term Debt

Short-term borrowings that are accounted for at fair value include equity-linked notes, which are generally categorized within Level 2 of the fair value hierarchy, as the fair value is based on the price of the underlying equity security. Long-term debt includes variable rate, fixed-to-floating rate, equity-linked notes, constant maturity swap, digital and Bermudan structured notes. These are valued using various valuation models that incorporate our own credit spread, market price quotations from external pricing sources referencing the appropriate interest rate curves, volatilities and other inputs as well as prices for transactions in a given note during the period. Long-term debt notes are generally categorized within Level 2 of the fair value hierarchy where market trades have been observed during the period or model pricing is available, otherwise the notes are categorized within Level 3.

Level 3 Rollforwards

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 year ended November 30, 2021 (in thousands):


	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 November 30, 2021		For instruments still held at November 30, 2021, changes in unrealized gains/(losses) included in:
																	Earnings (1)		Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	75,797	$	31,273	$	8,778	$	(34,307)	$	(49)	$	—	$	(5,410)	$	76,082	$	27,124	$	—
Corporate debt securities	23,146		1,565		11,161		(7,978)		(1,417)		—		(14,674)		11,803		1,724		—
CDOs and CLOs	10,513		7,264		32,618		(19,332)		(4,757)		—		5,638		31,944		(4,297)		—


RMBS	21,826		(243)		708		(1,183)		(354)		—		(19,277)		1,477		(131)		—
CMBS	2,003		(1,694)		2,445		(393)		(13)		—		(15)		2,333		(733)		—
Other ABS	79,995		5,335		65,277		(21,727)		(45,397)		—		10,041		93,524		(14,471)		—
Loans and other receivables	77,042		(1,065)		58,993		(61,560)		(15,442)		—		16,617		74,585		(4,924)		—
Investments at fair value	67,108		(7,260)		155		(23,575)		(1,871)		—		—		34,557		(9,151)		—

Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	4,434	$	(83)	$	(21)	$	318	$	—	$	—	$	(13)	$	4,635	$	83	$	—
Corporate debt securities	141		1,205		(815)		—		(49)		—		—		482		(139)		—

CMBS	35		—		(35)		210		—		—		—		210		—		—
Loans	16,635		1,826		(8,549)		5,673		—		—		185		15,770		(1,825)		—
Net derivatives (2)	26,017		7,246		—		—		(1,491)		44,453		(8,456)		67,769		(7,371)		—
Other secured financings	1,543		(649)		—		—		—		25,011		—		25,905		649
Long-term debt	676,028		(22,132)		—		—		—		169,975		57,861		881,732		85,260		(63,126)

(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.

Analysis of Level 3 Assets and Liabilities for the Year Ended November 30, 2021

During the year ended November 30, 2021, transfers of assets of $38.3 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:

•Loans and other receivables of $17.2 million, other ABS of $10.2 million, CDOs and CLOs of $7.6 million and corporate debt securities of $3.3 million due to reduced pricing transparency.

During the year ended November 30, 2021, transfers of assets of $45.4 million from Level 3 to Level 2 are primarily attributed to:

•RMBS of $19.3 million, corporate debt securities of $17.9 million and corporate equity securities of $5.4 million due to greater pricing transparency.

During the year ended November 30, 2021, transfers of liabilities of $74.3 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:

•Structured notes within long-term debt of $57.9 million and net derivatives of $16.2 million due to reduced market and pricing transparency.

During the year ended November 30, 2021, transfers of liabilities of $24.7 million from Level 3 to Level 2 of the fair value hierarchy are primarily attributed to:

•Net derivatives of $24.7 million due to greater pricing transparency.

Net gains on Level 3 assets were $35.2 million and net gains on Level 3 liabilities were $12.6 million for the year ended November 30, 2021. Net gains on Level 3 assets were primarily due to increased market values in corporate equity securities and CDOs and CLOs, partially offset by decreases in investments at fair value. Net gains on Level 3 liabilities were primarily due to decreased market valuations of certain structured notes within long-term debt, partially offset by increased values of certain derivatives and loans.


	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 November 30, 2020		For instruments still held at November 30, 2020, changes in unrealized gains/(losses) included in:
																	Earnings (1)		Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	58,301	$	(3,961)	$	31,778	$	(37,706)	$	—	$	—	$	27,385	$	75,797	$	(652)	$	—
Corporate debt securities	7,490		83		1,607		(391)		(602)		—		14,959		23,146		(270)		—
CDOs and CLOs	20,081		(5,703)		10,913		(14,389)		(2,071)		—		1,682		10,513		(15,964)		—


RMBS	17,740		(934)		7,887		(969)		(1,053)		—		(845)		21,826		(599)		—
CMBS	6,110		(827)		393		(1,856)		(1,787)		—		(30)		2,003		(295)		—
Other ABS	42,563		(3,848)		69,701		(1,638)		(43,072)		—		16,289		79,995		(5,945)		—
Loans and other receivables	64,240		(20,487)		73,485		(36,929)		(7,063)		—		3,796		77,042		(18,747)		—
Investments at fair value	75,738		(19,396)		28,132		(167)		(17,199)		—		—		67,108		(21,244)		—
Securities purchased under agreements to resell	25,000		—		—		—		(25,000)		—		—		—		—		—
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	4,487	$	456	$	(513)	$	—	$	—	$	—	$	4	$	4,434	$	(81)	$	—
Corporate debt securities	340		(268)		(325)		394		—		—		—		141		27		—
CMBS	35		—		—		35		—		—		(35)		35		—		—
Loans	9,463		(520)		(6,061)		13,851		—		—		(98)		16,635		360		—
Net derivatives (2)	77,168		(40)		(7,446)		19,376		(2,216)		—		(60,825)		26,017		(1,805)		—
Other secured financings	—		(2,475)		—		—		—		4,018		—		1,543		2,475		—
Long-term debt	480,069		84,930		—		—		(57,088)		248,718		(80,601)		676,028		(51,567)		(33,363)

(2)Net derivatives represent Financial instruments owned—Derivatives and Financial instruments sold, not yet purchased —Derivatives.

Analysis of Level 3 Assets and Liabilities for the Year Ended November 30, 2020

During the year ended November 30, 2020, transfers of assets of $88.0 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:

•Corporate equity securities of $32.5 million, other ABS of $23.0 million, corporate debt securities of $18.0 million and loans and other receivables of $10.9 million due to reduced pricing transparency.

During the year ended November 30, 2020, transfers of assets of $24.7 million from Level 3 to Level 2 are primarily attributed to:

•Loans and other receivables of $7.1 million, other ABS of $6.8 million, corporate equity securities of $5.1 million and corporate debt securities of $3.0 million due to greater pricing transparency supporting classification into Level 2.

During the year ended November 30, 2020, transfers of liabilities of $1.9 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:

•Loans of $1.8 million due to reduced pricing transparency.

During the year ended November 30, 2020, transfers of liabilities of $143.4 million from Level 3 to Level 2 of the fair value hierarchy are primarily attributed to:

•Structured notes within long-term debt of $80.6 million and net derivatives of $60.8 million due to greater market and pricing transparency.

Net losses on Level 3 assets were $55.1 million and net losses on Level 3 liabilities were $82.1 million for the year ended November 30, 2020. Net losses on Level 3 assets were primarily due to decreased market values in loans and other receivables, investments at fair value and CDOs and CLOs. Net losses on Level 3 liabilities were primarily due to increased market valuations of certain structured notes within long-term debt, partially offset by decreased values of other secured financings.


	Balance at November 30, 2018		Total gains/ losses (realized and unrealized) (1)		Purchases		Sales		Settlements		Issuances		Net transfers into/ (out of) Level 3		Balance at November 30, 2019		For instruments still held at November 30, 2019, changes in unrealized gains/(losses) included in:
																	Earnings (1)		Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	51,040	$	(10,380)	$	69,065	$	(28,159)	$	(18,208)	$	—	$	(5,057)	$	58,301	$	(12,821)	$	—
Corporate debt securities	9,484		(4,860)		8,900		(13,854)		(379)		—		8,199		7,490		(6,176)		—
CDOs and CLOs	25,815		(2,342)		49,658		(38,147)		(9,083)		—		(5,820)		20,081		(974)		—


RMBS	19,603		(1,669)		1,954		(2,472)		(152)		—		476		17,740		(530)		—
CMBS	10,886		(2,888)		206		(2,346)		(5,317)		—		5,569		6,110		(2,366)		—
Other ABS	53,175		433		104,097		(73,335)		(51,374)		—		9,567		42,563		(98)
Loans and other receivables	46,985		(5,505)		57,403		(48,350)		(5,068)		—		18,775		64,240		(3,319)		—
Investments, at fair value	113,831		113		240		(38,446)		—		—		—		75,738		2,964		—
Securities purchased under agreements to resell	—		—		—		—		—		25,000		—		25,000		—		—
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	—	$	(2,649)	$	(4,322)	$	11,458	$	—	$	—	$	—	$	4,487	$	1,928	$	—
Corporate debt securities	522		(381)		(457)		—		(524)		—		1,180		340		383		—
CMBS	—		35		—		—		—		—		—		35		(35)		—
Loans	6,376		(1,382)		(2,573)		6,494		—		—		548		9,463		1,382		—
Net derivatives (2)	21,614		(21,452)		(4,323)		36,144		2,227		—		42,958		77,168		12,098		—

Long-term debt	200,745		(18,662)		—		—		(11,250)		348,275		(39,039)		480,069		29,656		(10,993)

(2)Net derivatives represent Financial instruments owned—Derivatives and Financial instruments sold, not yet purchased —Derivatives.

Analysis of Level 3 Assets and Liabilities for the Year Ended November 30, 2019

During the year ended November 30, 2019, transfers of assets of $58.4 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:

•Loans and other receivables of $27.4 million, other ABS of $12.1 million, corporate debt securities of $8.9 million, CMBS of $5.6 million and CDOs and CLOs of $3.0 million due to reduced price transparency.

During the year ended November 30, 2019, transfers of assets of $26.7 million from Level 3 to Level 2 are primarily attributed to:

•CDOs and CLOs of $8.8 million, loans and other receivables of $8.6 million, corporate equity securities of $6.0 million and other ABS of $2.6 million due to greater pricing transparency supporting classification into Level 2.

During the year ended November 30, 2019, there were transfers of net derivatives of $57.2 million from Level 2 to Level 3 due to reduced observability of inputs and market data. Transfers of net derivatives from Level 3 to Level 2 were $14.3 million for the year ended November 30, 2019 due to greater observability of inputs and market data.

During the year ended November 30, 2019, there were transfers of structured notes within long-term debt of $22.6 million from Level 2 to Level 3 due to reduced market transparency. Transfers of structured notes within long-term debt from Level 3 to Level 2 were $61.7 million for the year ended November 30, 2019 due to greater market transparency.

Net losses on Level 3 assets were $27.1 million and net gains on Level 3 liabilities were $44.5 million for the year ended November 30, 2019. Net losses on Level 3 assets were primarily due to decreased market values in corporate equity securities, loans and other receivables, corporate debt securities, CMBS and CDOs and CLOs. Net gains on Level 3 liabilities were primarily due to decreased market values across certain derivatives and valuations of certain structured notes within long-term debt.

Quantitative Information about Significant Unobservable Inputs used in Level 3 Fair Value Measurements at November 30, 2021 and 2020

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.


November 30, 2021
Financial Instruments Owned	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input / Range				Weighted Average
Corporate equity securities	$	75,694
Non-exchange-traded securities			Market approach	Price	$1		-	$366	$208
Corporate debt securities	$	11,803	Market approach	Price	$13		-	$100	$86
CDOs and CLOs	$	31,944	Discounted cash flows	Constant prepayment rate	20%				—
				Constant default rate	2%				—
				Loss severity	25	%	-	30%	26%
				Discount rate/yield	8	%	-	19%	16%
			Market approach	Price	$86		-	$103	$93




CMBS	$	2,333	Scenario analysis	Estimated recovery percentage	81%				—
Other ABS	$	86,099	Discounted cash flows	Constant prepayment rate	0	%	-	35%	31%
				Constant default rate	2	%	-	4%	4%
				Loss severity	60	%	-	85%	55%
				Discount rate/yield	3	%	-	16%	10%
				Cumulative loss rate	7	%	-	20%	14%
				Duration (years)	0.7		-	1.4	1.1
			Market approach	Price	$37		-	$100	$94
Loans and other receivables	$	73,361	Market approach	Price	$31		-	$101	$54
			Scenario analysis	Estimated recovery percentage	9	%	-	100%	42%
Derivatives	$	6,501
Equity options			Volatility benchmarking	Volatility	46%				—
Interest rate swaps			Market approach	Basis points upfront	0.1		-	8.7	3.3
Total return swaps				Price	$100				—
Investments at fair value	$	34,557
Private equity securities			Market approach	Price	$1		-	$152	$48
			Scenario analysis	Estimated recovery percentage	7%				—
Financial Instruments Sold, Not Yet Purchased:
Corporate equity securities	$	4,635
Non-exchange-traded securities			Market approach	Price	$1				—

Loans	$	15,770	Market approach	Price	$31		-	$100	$43
			Scenario analysis	Estimated recovery percentage	50%				—
Derivatives	$	76,533
Equity options			Volatility benchmarking	Volatility	26	%	-	77%	40%
Interest rate swaps			Market approach	Basis points upfront	0.1		-	8.7	3.1
Total return swaps				Price	$100				—
Other secured financings	$	25,905	Scenario analysis	Estimated recovery percentage	13	%	-	98%	92%
Long-term debt
Structured notes	$	881,732	Market approach	Price	$76		-	$115	$94
				Price	€81		-	€113	€103


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
Non-exchange-traded 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

The fair values of certain Level 3 assets and liabilities that were determined based on third-party pricing information, unadjusted past transaction prices or a percentage of the reported enterprise fair value are excluded from the above tables. At November 30, 2021 and 2020, asset exclusions consisted of $14.3 million and $17.3 million, respectively, primarily comprised of other ABS, RMBS, CMBS, certain derivatives, loans and other receivables and corporate equity securities. At November 30, 2021 and 2020, liability exclusions consisted of $2.2 million and $0.8 million, respectively, primarily comprised of certain derivatives, corporate debt securities and CMBS.

Uncertainty of Fair Value Measurement from Use of Significant Unobservable Inputs

For recurring fair value measurements categorized within Level 3 of the fair value hierarchy, the uncertainty of the fair value measurement due to the use of significant unobservable inputs and interrelationships between those unobservable inputs (if any) are described below:

•Non-exchange-traded securities, corporate debt securities, CDOs and CLOs, loans and other receivables, other ABS, private equity securities, certain derivatives and structured notes using a market approach valuation technique. A significant increase (decrease) in the price of the private equity securities, non-exchange-traded securities, corporate debt securities, CDOs and CLOs, other ABS, loans and other receivables, total return swaps or structured notes would result in a significantly higher (lower) fair value measurement. A significant increase (decrease) in the EBITDA multiple related to non-exchange-traded securities would result in a significantly higher (lower) fair value measurement. Depending on whether we are a receiver or (payer) of basis points upfront, a significant increase in basis points would result in a significant increase (decrease) in the fair value measurement of interest rate swaps.

•Loans and other receivables, corporate debt securities, CMBS, private equity securities and other secured financings using scenario analysis. A significant increase (decrease) in the possible recovery rates of the cash flow outcomes underlying the financial instrument would result in a significantly higher (lower) fair value measurement for the financial instrument.

•CDOs and CLOs, RMBS and other ABS using a discounted cash flow valuation technique. A significant increase (decrease) in isolation in the constant default rate, loss severity or cumulative loss rate would result in a significantly lower (higher) fair value measurement. The impact of changes in the constant prepayment rate and duration would have differing impacts depending on the capital structure and type of security. A significant increase (decrease) in the discount rate/security yield would result in a significantly lower (higher) fair value measurement.

•Derivative equity options using volatility benchmarking. A significant increase (decrease) in volatility would result in a significantly higher (lower) fair value measurement.

Fair Value Option Election

We have elected the fair value option for all loans and loan commitments made by our investment banking and capital markets businesses. These loans and loan commitments include loans entered into by our investment banking division in connection with client bridge financing and loan syndications, loans purchased by our leveraged credit trading desk as part of its bank loan trading activities and mortgage and consumer loan commitments, purchases and fundings in connection with mortgage-backed and other asset-backed securitization activities. Loans and loan commitments originated or purchased by our leveraged credit and mortgage-backed businesses are managed on a fair value basis. Loans are included in Financial instruments owned and loan commitments are included in Financial instruments owned and Financial instruments sold, not yet purchased in our Consolidated Statements of Financial Condition. The fair value option election is not applied to loans made to affiliate entities as such loans are entered into as part of ongoing, strategic business ventures. Loans to affiliate entities are included in Loans to and investments in related parties in our Consolidated Statements of Financial Condition and are accounted for on an amortized cost basis. We have also elected the fair value option for certain of our structured notes which are managed by our investment banking and capital markets businesses and are included in Long-term debt and Short-term borrowings in our Consolidated Statements of Financial Condition. We have elected the fair value option for certain financial instruments held by subsidiaries as the investments are risk managed by us on a fair value basis. The fair value option has been elected for certain other secured financings that arise in connection with our securitization activities and other structured financings. Other secured financings, Receivables – Brokers, dealers and clearing organizations, Receivables – Customers, Receivables – Fees, interest and other, Payables – Brokers, dealers and clearing organizations and Payables – Customers, are accounted for at cost plus accrued interest rather than at fair value; however, the recorded amounts approximate fair value due to their liquid or short-term nature.

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, Other secured financings and Long-term debt measured at fair value under the fair value option (in thousands):


	Year Ended November 30,
	2021		2020		2019
Financial instruments owned:
Loans and other receivables	$	11,682	$	(25,623)	$	(2,072)
Financial instruments sold, not yet purchased:
Loans	$	1,077	$	—	$	656
Loan commitments	—		464		(1,089)
Short-term borrowings:
Changes in instrument specific credit risk (1)	$	—	$	—	$	114
Other changes in fair value (2)	—		(48)		(863)
Other secured financings:
Other changes in fair value (2)	$	650	$	2,475	$	—
Long-term debt:
Changes in instrument specific credit risk (1)	$	(113,027)	$	(70,201)	$	(20,332)
Other changes in fair value (2)	108,739		(84,116)		(25,144)

(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):


	November 30,
	2021		2020
Financial instruments owned:
Loans and other receivables (1)	$	5,600,648	$	1,662,647
Loans and other receivables on nonaccrual status and/or 90 days or greater past due (1) (2)	64,203		287,889
Long-term debt and short-term borrowings	(38,391)		(42,819)
Other secured financings	3,432		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 $19.7 million and $30.0 million at November 30, 2021 and 2020, respectively.

The aggregate fair value of loans and other receivables on nonaccrual status and/or 90 days or greater past due was $56.9 million and $69.7 million at November 30, 2021 and 2020, respectively, which includes loans and other receivables 90 days or greater past due of $23.5 million and $3.8 million at November 30, 2021 and 2020, respectively.

Assets and Liabilities Measured at Fair Value on a Non-recurring Basis

Certain intangible assets were measured at fair value on a non-recurring basis and are not included in the tables above. The following table presents those assets measured at fair value on a non-recurring basis for which we recognized a non-recurring fair value adjustment during the years ended November 30, 2021, 2020 and 2019 (in thousands):


	Carrying Value at November 30, 2021		Level 2		Impairment Losses for the Year Ended November 30, 2021
Exchange ownership interests and registrations (1)	$	1,935	$	1,935	$	66
Goodwill (2)	—		—		400


	Carrying Value at November 30, 2020		Level 2		Impairment Losses for the Year Ended November 30, 2020
Exchange ownership interests and registrations (1)	$	1,974	$	1,974	$	468
Goodwill (2)	—		—		3,000
Intangible assets (2)	—		—		300


	Carrying Value at November 30, 2019		Level 2		Impairment Losses for the Year Ended November 30, 2019
Exchange ownership interests and registrations (1)	$	2,443	$	2,443	$	291

(1)These impairment losses, which represent ownership interests in market exchanges on which trading business is conducted, and registrations, were recognized in Other expenses in our Consolidated Statements of Earnings and the assets were in the Investment Banking and Capital Markets reportable business segment. The fair value is based on observed quoted sales prices for each individual membership. (See Note 10, Goodwill and Intangible Assets.)

(2)These impairment losses for Goodwill and Intangible assets were recognized in Other expenses in our Consolidated Statements of Earnings and the assets were in the Asset Management reportable business segment. (See Note 10, Goodwill and Intangible Assets.)

Financial Instruments Not Measured at Fair Value

Certain of our financial instruments are not carried at fair value but are recorded at amounts that approximate fair value due to their liquid or short-term nature and generally negligible credit risk. These financial assets include Cash and cash equivalents and Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations and would generally be presented within Level 1 of the fair value hierarchy. Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations includes U.S. Treasury securities with a fair value of $0.0 million and $34.2 million at November 30, 2021 and 2020, respectively.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details