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Derivative Financial Instruments (Tables)

3 Months Ended

Feb. 28, 2022

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 February 28, 2022 and November 30, 2021 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).


	February 28, 2022 (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	$	13,714	1	$	56,705	2

Foreign exchange contracts:
Bilateral OTC	19,524		4	—		—
Total derivatives designated as accounting hedges	33,238			56,705

Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	3,787		32,961	2,896		75,002
Cleared OTC	1,110,870		3,824	1,038,884		3,865
Bilateral OTC	336,238		791	434,723		958
Foreign exchange contracts:

Bilateral OTC	869,171		15,664	858,003		15,520
Equity contracts:
Exchange-traded	935,862		1,706,804	715,512		1,589,013
Bilateral OTC	293,800		6,084	1,174,659		6,263
Commodity contracts:
Exchange-traded	78		1,931	30		1,860


Credit contracts:
Cleared OTC	93,487		131	103,708		140
Bilateral OTC	6,806		14	12,274		14
Total derivatives not designated as accounting hedges	3,650,099			4,340,689
Total gross derivative assets/ liabilities:
Exchange-traded	939,727			718,438
Cleared OTC	1,218,071			1,199,297
Bilateral OTC	1,525,539			2,479,659
Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	(716,499)			(716,499)
Cleared OTC	(1,189,030)			(1,199,297)
Bilateral OTC	(1,340,355)			(1,569,533)
Net amounts per Consolidated Statements of Financial Condition (4)	$	437,453		$	912,065

(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, 2021 (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	$	35,726	2	$	32,200	1
Foreign exchange contracts:
Bilateral OTC	30,462		4	—		—
Total derivatives designated as accounting hedges	66,188			32,200

Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	1,262		23,888	756		39,195
Cleared OTC	373,355		4,505	367,134		4,467
Bilateral OTC	322,353		1,037	283,481		967
Foreign exchange contracts:


Bilateral OTC	1,428,712		17,792	1,437,116		17,576
Equity contracts:
Exchange-traded	1,206,606		1,582,713	1,036,019		1,450,624
Bilateral OTC	377,132		2,888	1,824,418		2,682
Commodity contracts:
Exchange-traded	448		1,394	223		1,457
Bilateral OTC	—		1	—		—
Credit contracts:
Cleared OTC	84,180		132	108,999		128
Bilateral OTC	13,289		14	14,168		17
Total derivatives not designated as accounting hedges	3,807,337			5,072,314
Total gross derivative assets/liabilities:
Exchange-traded	1,208,316			1,036,998
Cleared OTC	493,261			508,333
Bilateral OTC	2,171,948			3,559,183
Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	(1,008,091)			(1,008,091)
Cleared OTC	(483,339)			(508,333)
Bilateral OTC	(1,813,136)			(2,184,586)
Net amounts per Consolidated Statements of Financial Condition (4)	$	568,959		$	1,403,504

(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):



	Three Months Ended February 28,
Gains (Losses)	2022		2021
Interest rate swaps	$	(43,998)	$	(43,791)
Long-term debt	50,542		46,811
Total	$	6,544	$	3,020

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




	Three Months Ended February 28,
(Losses)	2022		2021
Foreign exchange contracts	$	(10,938)	$	(41,500)

Total	$	(10,938)	$	(41,500)

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 February 28,

Gains (Losses)	2022		2021
Interest rate contracts	$	(41,592)	$	(42,124)
Foreign exchange contracts	2,624		47,030
Equity contracts	210,937		(89,697)
Commodity contracts	(1,808)		809
Credit contracts	4,432		821
Total	$	174,593	$	(83,161)

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 February 28, 2022 (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	$	10,211	$	2,998	$	—	$	(4,086)	$	9,123
Credit default swaps	—		15		—		—		15
Total return swaps	80,255		44,438		158		(8,263)		116,588
Foreign currency forwards, swaps and options	339,685		4,081		—		(4,111)		339,655
Fixed income forwards	5,285		—		—		—		5,285
Interest rate swaps, options and forwards	59,302		155,998		84,286		(45,314)		254,272
Total	$	494,738	$	207,530	$	84,444	$	(61,774)	724,938
Cross product counterparty netting									(8,869)
Total OTC derivative assets included in Financial instruments owned									$	716,069

(1)At February 28, 2022, we held net exchange-traded derivative assets and other credit agreements with a fair value of $226.9 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 February 28, 2022, cash collateral received was $505.5 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	$	9,871	$	534,211	$	33,407	$	(4,086)	$	573,403
Credit default swaps	—		10,236		—		—		10,236
Total return swaps	124,832		324,482		—		(8,263)		441,051
Foreign currency forwards, swaps and options	307,174		5,271		—		(4,111)		308,334
Fixed income forwards	2,879		—		—		—		2,879
Interest rate swaps, options and forwards	43,259		124,965		200,069		(45,314)		322,979
Total	$	488,015	$	999,165	$	233,476	$	(61,774)	1,658,882
Cross product counterparty netting									(8,869)
Total OTC derivative liabilities included in Financial instruments sold, not yet purchased									$	1,650,013

(1)At February 28, 2022, we held net exchange-traded derivative liabilities and other credit agreements with a fair value of $7.0 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 February 28, 2022, cash collateral pledged was $744.9 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 February 28, 2022 (in thousands):


Counterparty credit quality (1):
A- or higher	$	467,918
BBB- to BBB+	15,109
BB+ or lower	119,477
Unrated	113,565
Total	$	716,069

(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):


	February 28, 2022
	External Credit Rating
	Investment Grade		Non-investment Grade		Unrated		Total Notional
Credit protection sold:
Index credit default swaps	$	2,674.4	$	1,262.8	$	—	$	3,937.2
Single name credit default swaps	—		—		0.2		0.2


	November 30, 2021
	External Credit Rating
	Investment Grade		Non-investment Grade		Unrated		Total Notional
Credit protection sold:
Index credit default swaps	$	2,612.0	$	1,298.8	$	—	$	3,910.8
Single name credit default swaps	—		17.6		0.2		17.8

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):


	February 28, 2022		November 30, 2021
Derivative instrument liabilities with credit-risk-related contingent features	$	642.0	$	821.5
Collateral posted	(313.7)		(160.5)
Collateral received	117.6		369.3
Return of and additional collateral required in the event of a credit rating downgrade below investment grade (1)	446.0		1,030.4

(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