Variable Interest Entities (Tables)

3 Months Ended

Feb. 28, 2013

Assets and Liabilities of Consolidated VIEs Prior to Consolidation

The following table presents information about the assets and liabilities of our consolidated VIEs, which are presented within our Consolidated Statements of Financial Condition in the respective asset and liability categories, as of February 28, 2013 and November 30, 2012. The assets and liabilities in the tables below are presented prior to consolidation and thus a portion of these assets and liabilities are eliminated in consolidation. We have aggregated our consolidated VIEs based upon principal business activity.


(in millions)	February 28, 2013						November 30, 2012
	High Yield		Mortgage- and Asset-backed Vehicles		Other		High Yield		Mortgage- and Asset-backed Vehicles		Other

Cash	$	335.2	$	—	$	0.2	$	388.1	$	—	$	0.2
Financial instruments owned		1,238.0		9.9		0.5		894.2		10.0		0.5
Securities borrowed		488.9		—		—		372.1		—		—
Securities purchased under agreement to resell (3)		—		120.0		—		—		60.0		—
Receivable from brokers and dealers		474.1		—		—		264.5		—		—
Other		9.7		—		—		11.4		—		—

	$	2,545.9	$	129.9	$	0.7	$	1,930.3	$	70.0	$	0.7


Financial instruments sold, not yet purchased	$	918.1	$	—	$	—	$	526.1	$	—	$	—
Securities loaned		122.6		—		—		112.0		—		—
Payable to brokers and dealers		367.8		—		—		201.2		—		—
Mandatorily redeemable interests (1)		1,116.6		—		—		1,076.0		—		—
Secured financing (2)		—		129.9		—		—		70.0		—
Other		21.6		—		0.2		15.0		—		0.2

	$	2,546.7	$	129.9	$	0.2	$	1,930.3	$	70.0	$	0.2

(1)

After consolidation, which eliminates our interests and the interests of our consolidated subsidiaries, JSOP and JESOP, the carrying amount of the mandatorily redeemable financial interests pertaining to the above VIEs included within Mandatorily redeemable preferred interests of consolidated subsidiaries was approximately $359.0 million and $348.1 million at February 28, 2013 and November 30, 2012, respectively. These amounts represent the portion of the mandatorily redeemable preferred interests held by our joint venture partner.

(2)	Secured financing is included within Accrued expenses and other liabilities. Approximately $7.6 million and $7.7 million of the secured financing represents an amount held by us in inventory and are eliminated in consolidation at February 28, 2013 and November 30, 2012, respectively.

(3)	Securities purchased under agreement to resell represent an amount due from a related consolidated entity in a collateralized transaction, which is eliminated in consolidation.

Variable Interest Entity Not Primary Beneficiary [Member]

Non-Consolidated Variable Interest Entities

The following tables present information about nonconsolidated VIEs in which we had variable interests aggregated by principal business activity. The tables include VIEs where we have determined that the maximum exposure to loss is greater than specific thresholds or meets certain other criteria.


	February 28, 2013
	Variable Interests
(in millions)	Financial Statement Carrying Amount			Maximum exposure to loss			VIE Assets

Collateralized loan obligations	$	24.5	⁽²⁾	$	24.5	⁽⁴⁾	$	1,231.0
Agency mortgage- and asset-backed securitizations (1)		1,300.4	⁽²⁾		1,300.4	⁽⁴⁾		9,160.4
Non-agency mortgage- and asset-backed securitizations (1)		938.1	⁽²⁾		938.1	⁽⁴⁾		60,800.9
Asset management vehicle		2.9	⁽³⁾		2.9	⁽⁴⁾		477.7
Private equity vehicles		53.8	⁽³⁾		96.8			79.1

Total	$	2,319.7		$	2,362.7		$	71,749.1

(1)	VIE assets represent the unpaid principal balance of the assets in these vehicles at February 28, 2013 and represent the underlying assets that provide the cash flows supporting our variable interests.

(2)	Consists of debt securities accounted for at fair value, which are included within Financial instruments owned.

(3)	Consists of equity interests and loans, which are included within Investments in managed funds and Loans to and investments in related parties.

(4)	Our maximum exposure to loss in these non-consolidated VIEs is limited to our investment, which is represented by the financial statement carrying amount of our purchased or retained interests.


	November 30, 2012
	Variable Interests
(in millions)	Financial Statement Carrying Amount			Maximum exposure to loss			VIE Assets

Collateralized loan obligations	$	5.3	⁽²⁾	$	5.3	⁽⁴⁾	$	499.7
Agency mortgage- and asset-backed securitizations (1)		1,579.1	⁽²⁾		1,579.1	⁽⁴⁾		6,396.6
Non-agency mortgage- and asset-backed securitizations (1)		814.1	⁽²⁾		814.1	⁽⁴⁾		54,436.2
Asset management vehicle		3.0	⁽³⁾		3.0	⁽⁴⁾		505.3
Private equity vehicles		55.0	⁽³⁾		107.7			82.1

Total	$	2,456.5		$	2,509.2		$	61,919.9

(1)	VIE assets represent the unpaid principal balance of the assets in these vehicles at November 30, 2012 and represent the underlying assets that provide the cash flows supporting our variable interests.

(2)	Consists of debt securities accounted for at fair value, which are included within Financial instruments owned.

(3)	Consists of equity interests and loans, which are included within Investments in managed funds and Loans to and investments in related parties.

(4)	Our maximum exposure to loss in these non-consolidated VIEs is limited to our investment, which is represented by the financial statement carrying amount of our purchased or retained interests.

Summary of Securities Issued by Securitization

Total securities issued by securitization SPEs at February 28, 2013 consist of the following (in millions):


	Nonagency		Agency		Total
Variable interests in collateralized loan obligations	$	24.5	$	—	$	24.5
Variable interests in agency mortgage- and asset-backed securitizations		—		1,300.4		1,300.4
Variable interests in nonagency mortgage- and asset-backed securitizations		938.1		—		938.1
Additional securities in connection with trading and market making activities:
Residential mortgage-backed securities		64.5		1,981.1		2,045.6
Commercial mortgage-backed securities		73.6		525.6		599.2
Collateralized debt obligations		20.3		—		20.3
Other asset-backed securities		11.2		—		11.2

Total mortgage- and asset-backed securities on the Consolidated Statement of Financial Condition	$	1,132.2	$	3,807.1	$	4,939.3