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Derivative Financial Instruments (Tables)
 6 Months Ended
May. 31, 2015
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 May 31, 2015 and November 30, 2014 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. See Note 6, Collateralized Transactions, for information related to offsetting of certain secured financing transactions. The following tables also provide information regarding 1) the extent to which, under enforceable master netting arrangements, such balances are presented net in the 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).

 
May 31, 2015 (1)
 
Assets
 
Liabilities
 
Fair Value
 
Number of
Contracts
 
Fair Value
 
Number of
Contracts
Interest rate contracts
 
 
 
 
 
 
 
Exchange-traded
$
2,892

 
61,924

 
$
1,581

 
103,802

Cleared OTC
1,898,174

 
2,681

 
1,895,708

 
2,963

Bilateral OTC
736,995

 
1,689

 
702,048

 
1,455

Foreign exchange contracts
 
 
 
 
 
 
 
Exchange-traded
—

 
624

 
—

 
590

Bilateral OTC
645,414

 
10,656

 
655,504

 
9,780

Equity contracts
 
 
 
 
 
 
 
Exchange-traded
917,466

 
2,909,384

 
857,264

 
2,819,750

Bilateral OTC
53,815

 
1,056

 
110,662

 
1,208

Commodity contracts
 
 
 
 
 
 
 
Exchange-traded
57,831

 
709,590

 
34,881

 
712,279

Bilateral OTC
134,645

 
2,807

 
117,082

 
2,571

Credit contracts
 
 
 
 
 
 
 
Cleared OTC
47,813

 
45

 
51,038

 
39

Bilateral OTC
13,474

 
68

 
30,934

 
47

Total gross derivative assets/ liabilities:
 
 
 
 
 
 
 
Exchange-traded
978,189

 

 
893,726

 

Cleared OTC
1,945,987

 

 
1,946,746

 

Bilateral OTC
1,584,343

 

 
1,616,230

 

Amounts offset in the Consolidated
Statements of Financial Condition (2):
 
 
 
 
 
 
 
Exchange-traded
(887,594
)
 
 
 
(887,594
)
 
 
Cleared OTC
(1,912,437
)
 
 
 
(1,912,437
)
 
 
Bilateral OTC
(1,306,399
)
 
 
 
(1,405,949
)
 
 
Net amounts per Consolidated
Statements of Financial Condition (3)
$
402,089





$
250,722

 
 
 
(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)
Amounts netted include both netting by counterparty and for cash collateral paid or received.
(3)
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 the Consolidated Statements of Financial Condition.
 
November 30, 2014 (1)
 
Assets
 
Liabilities
 
Fair Value
 
Number of
Contracts
 
Fair Value
 
Number of
Contracts
Interest rate contracts
 
 
 
 
 
 
 
Exchange-traded
$
2,450

 
67,437

 
$
1,400

 
87,008

Cleared OTC
1,425,375

 
2,160

 
1,481,329

 
2,124

Bilateral OTC
871,982

 
1,908

 
809,962

 
729

Foreign exchange contracts
 
 
 
 
 
 
 
Exchange-traded
—

 
1,562

 
—

 
1,821

Bilateral OTC
1,514,881

 
11,299

 
1,519,349

 
10,931

Equity contracts
 
 
 
 
 
 
 
Exchange-traded
1,011,101

 
2,269,044

 
987,531

 
2,049,513

Bilateral OTC
39,889

 
2,463

 
70,484

 
1,956

Commodity contracts
 
 
 
 
 
 
 
Exchange-traded
62,091

 
1,027,542

 
51,145

 
1,015,894

Bilateral OTC
214,635

 
4,026

 
252,061

 
4,524

Credit contracts
 
 
 
 
 
 
 
Cleared OTC
17,831

 
27

 
23,264

 
22

Bilateral OTC
5,378

 
18

 
23,608

 
27

Total gross derivative assets/liabilities:
 
 
 
 
 
 
 
Exchange-traded
1,075,642

 
 
 
1,040,076

 
 
Cleared OTC
1,443,206

 
 
 
1,504,593

 
 
Bilateral OTC
2,646,765

 
 
 
2,675,464

 
 
Amounts offset in the Consolidated
     Statements of Financial Condition (2):
 
 
 
 
 
 
 
Exchange-traded
(1,038,992
)
 
 
 
(1,038,992
)
 
 
Cleared OTC
(1,416,613
)
 
 
 
(1,416,613
)
 
 
Bilateral OTC
(2,303,740
)
 
 
 
(2,401,013
)
 
 
Net amounts per Consolidated
     Statements of Financial Condition (3)
$
406,268

 
 
 
$
363,515

 
 

(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)
Amounts netted include both netting by counterparty and for cash collateral paid or received.
(3)
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 the Consolidated Statements of Financial Condition.
Unrealized and Realized Gains (Losses) on Derivative Contracts
The following table presents unrealized and realized gains (losses) on derivative contracts for the three and six months ended May 31, 2015 and 2014 (in thousands):

 
Three Months Ended
 
Six Months Ended
Gains (Losses)
May 31, 2015
 
May 31, 2014
 
May 31, 2015
 
May 31, 2014
Interest rate contracts
$
18,064

 
$
(61,367
)
 
$
(24,728
)
 
$
(66,485
)
Foreign exchange contracts
8,352

 
(3,718
)
 
23,524

 
2,348

Equity contracts
(111,682
)
 
(73,925
)
 
(40,641
)
 
(170,161
)
Commodity contracts
5,746

 
21,793

 
20,237

 
37,980

Credit contracts
9,805

 
(11,745
)
 
3,763

 
(15,623
)
Total
$
(69,715
)
 
$
(128,962
)
 
$
(17,845
)
 
$
(211,941
)
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 May 31, 2015 (in thousands):
 
OTC Derivative Assets (1) (2) (3)
 
0 – 12 Months
 
1 – 5 Years
 
Greater Than 
5 Years
 
Cross-Maturity
Netting (4)
 
Total
Commodity swaps, options and forwards
$
50,402

 
$
1,592

 
$
21,717

 
$
(3,562
)
 
$
70,149

Equity swaps and options
12,791

 
13,371

 
5,349

 
—

 
31,511

Credit default swaps
—

 
2,045

 
7,067

 
(1,519
)
 
7,593

Total return swaps
10,160

 
2,635

 
—

 
(2,564
)
 
10,231

Foreign currency forwards, swaps and options
143,252

 
30,561

 
—

 
(13,178
)
 
160,635

Interest rate swaps, options and forwards
47,927

 
155,590

 
95,763

 
(64,051
)
 
235,229

Total
$
264,532

 
$
205,794

 
$
129,896

 
$
(84,874
)
 
515,348

Cross product counterparty netting
 
 
 
 
 
 
 
 
(16,998
)
Total OTC derivative assets included in Financial
     instruments owned
 
 
 
 
 
 
 
 
$
498,350


(1)
At May 31, 2015, we held exchange traded derivative assets and other credit agreements with a fair value of $94.1 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 on the Consolidated Statements of Financial Condition. At May 31, 2015, cash collateral received was $190.4 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
Commodity swaps, options and forwards
$
51,982

 
$
693

 
$
3,474

 
$
(3,562
)
 
$
52,587

Equity swaps and options
28,147

 
37,353

 
15,332

 
—

 
80,832

Credit default swaps
1,064

 
1,334

 
5,636

 
(1,519
)
 
6,515

Total return swaps
21,311

 
9

 
1,489

 
(2,564
)
 
20,245

Foreign currency forwards, swaps and options
121,295

 
62,607

 
—

 
(13,178
)
 
170,724

Fixed income forwards
278

 
—

 
—

 
—

 
278

Interest rate swaps, options and forwards
45,926

 
96,089

 
120,986

 
(64,051
)
 
198,950

Total
$
270,003

 
$
198,085

 
$
146,917

 
$
(84,874
)
 
530,131

Cross product counterparty netting
 
 
 
 
 
 
 
 
(16,998
)
Total OTC derivative liabilities included in Financial
     instruments sold, not yet purchased
 
 
 
 
 
 
 
 
$
513,133


(1)
At May 31, 2015, we held exchange traded derivative liabilities and other credit agreements with a fair value of $27.7 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 on the Consolidated Statements of Financial Condition. At May 31, 2015, cash collateral pledged was $290.1 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
At May 31, 2015, the counterparty credit quality with respect to the fair value of our OTC derivatives assets was as follows (in thousands):
Counterparty credit quality (1):
 
A- or higher
$
178,941

BBB- to BBB+
129,161

BB+ or lower
84,507

Unrated
105,741

Total
$
498,350


(1)
We utilize internal credit ratings determined by our Risk Management. Credit ratings determined by Risk Management use methodologies that produce ratings generally consistent with those produced by external rating agencies.