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Fair Value Disclosures (Tables)
12 Months Ended
Nov. 30, 2016
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 NAV of $24.3 million and $36.7 million at November 30, 2016 and 2015, respectively, by level within the fair value hierarchy (in thousands):
 
November 30, 2016
 
Level 1 (1)
 
Level 2 (1)
 
Level 3
 
Counterparty and Cash Collateral Netting (2)
 
Total
Assets:
 
 
 
 
 
 
 
 
 
Financial instruments owned:
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
1,742,463

 
$
90,662

 
$
21,739

 
$

 
$
1,854,864

Corporate debt securities

 
2,675,020

 
25,005

 

 
2,700,025

CDOs and CLOs

 
54,306

 
54,354

 

 
108,660

U.S. government and federal agency securities
2,389,397

 
56,726

 

 

 
2,446,123

Municipal securities

 
708,469

 
27,257

 

 
735,726

Sovereign obligations
1,432,556

 
990,492

 

 

 
2,423,048

Residential mortgage-backed securities

 
960,494

 
38,772

 

 
999,266

Commercial mortgage-backed securities

 
296,405

 
20,580

 

 
316,985

Other asset-backed securities

 
63,587

 
40,911

 

 
104,498

Loans and other receivables

 
1,557,233

 
81,872

 

 
1,639,105

Derivatives
3,825

 
4,606,278

 
6,429

 
(4,255,998
)
 
360,534

Investments at fair value

 

 
96,369

 

 
96,369

Total financial instruments owned, excluding Investments at fair value based on NAV
$
5,568,241

 
$
12,059,672

 
$
413,288

 
$
(4,255,998
)
 
$
13,785,203

 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
 
 
Financial instruments sold, not yet purchased:
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
1,577,405

 
$
16,806

 
$
313

 
$

 
$
1,594,524

Corporate debt securities

 
1,718,424

 
523

 

 
1,718,947

U.S. government and federal agency securities
976,497

 

 

 

 
976,497

Sovereign obligations
1,375,590

 
1,253,754

 

 

 
2,629,344

Loans

 
801,977

 
378

 

 
802,355

Derivatives
568

 
4,856,310

 
9,870

 
(4,229,213
)
 
637,535

Total financial instruments sold, not yet purchased
$
3,930,060

 
$
8,647,271

 
$
11,084

 
$
(4,229,213
)
 
$
8,359,202

Other secured financings
$

 
$
41,350

 
$
418

 
$

 
$
41,768

Long term debt
$

 
$
248,856

 
$

 
$

 
$
248,856

(1)
There were no material transfers between Level 1 and Level 2 for the year ended November 30, 2016.
(2)
Represents counterparty and cash collateral netting across the levels of the fair value hierarchy for positions with the same counterparty.
 
November 30, 2015
 
Level 1 (1)
 
Level 2 (1)
 
Level 3
 
Counterparty and Cash Collateral Netting (2)
 
Total
Assets:
 
 
 
 
 
 
 
 
 
Financial instruments owned:
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
1,853,351

 
$
133,732

 
$
40,906

 
$

 
$
2,027,989

Corporate debt securities

 
2,867,165

 
25,876

 

 
2,893,041

CDOs and CLOs

 
89,144

 
85,092

 

 
174,236

U.S. government and federal agency securities
2,555,018

 
90,633

 

 

 
2,645,651

Municipal securities

 
487,141

 

 

 
487,141

Sovereign obligations
1,251,366

 
1,407,955

 
120

 

 
2,659,441

Residential mortgage-backed securities

 
2,731,070

 
70,263

 

 
2,801,333

Commercial mortgage-backed securities

 
1,014,913

 
14,326

 

 
1,029,239

Other asset-backed securities

 
118,629

 
42,925

 

 
161,554

Loans and other receivables

 
1,123,044

 
189,289

 

 
1,312,333

Derivatives
1,037

 
4,395,704

 
19,785

 
(4,165,446
)
 
251,080

Investments at fair value

 
26,224

 
53,120

 

 
79,344

Total financial instruments owned, excluding Investments at fair value based on NAV
$
5,660,772

 
$
14,485,354

 
$
541,702

 
$
(4,165,446
)
 
$
16,522,382

 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
 
 
Financial instruments sold, not yet purchased:
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
1,382,377

 
$
36,518

 
$
38

 
$

 
$
1,418,933

Corporate debt securities

 
1,556,941

 

 

 
1,556,941

U.S. government and federal agency securities
1,488,121

 

 

 

 
1,488,121

Sovereign obligations
837,614

 
505,382

 

 

 
1,342,996

Residential mortgage-backed securities

 
117

 

 

 
117

Loans

 
758,939

 
10,469

 

 
769,408

Derivatives
364

 
4,446,639

 
19,543

 
(4,257,998
)
 
208,548

Total financial instruments sold, not yet purchased
$
3,708,476

 
$
7,304,536

 
$
30,050

 
$
(4,257,998
)
 
$
6,785,064

Other secured financings (3)
$

 
$
67,801

 
$
544

 
$

 
$
68,345

(1)
There were no material transfers between Level 1 and Level 2 for the year ended November 30, 2015.
(2)
Represents counterparty and cash collateral netting across the levels of the fair value hierarchy for positions with the same counterparty.
(3)
Level 2 liabilities include $67.8 million of other secured financings that were previously not disclosed in our Annual Report on Form 10-K for the year ended November 30, 2015.
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):
 
November 30, 2016
 
Fair Value (1)
 
Unfunded Commitments
 
Redemption Frequency
(if currently eligible)
Equity Long/Short Hedge Funds (2)
$
34,446

 
$

 
Monthly, Quarterly
Fixed Income and High Yield Hedge Funds (3)
772

 

 
Fund of Funds (4)
230

 

 
Equity Funds (5)
42,179

 
20,295

 
Multi-asset Funds (6)
133,190

 

 
Total
$
210,817

 
$
20,295

 
 
 
November 30, 2015 (7)
 
Fair Value (1)
 
Unfunded Commitments
 
Redemption Frequency
(if currently eligible)
Equity Long/Short Hedge Funds (2)
$
54,725

 
$

 
Monthly, Quarterly
Fixed Income and High Yield Hedge Funds (3)
1,703

 

 
Fund of Funds (4)
287

 
94

 
Equity Funds (5)
42,111

 
20,791

 
Multi-asset Funds (6)
23,358

 

 
Monthly, Quarterly
Convertible Bond Funds (8)
326

 

 
At Will
Total
$
122,510

 
$
20,885

 
 
(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 equity securities in domestic and international markets in both the public and private sectors. At November 30, 2016, approximately 2% of the fair value of investments in this category is classified as being in liquidation.
(3)
This category includes investments in funds that invest in loans secured by a first trust deed on property, domestic and international public high yield debt, private high yield investments, senior bank loans, public leveraged equities, distressed debt, and private equity investments. There are no redemption provisions. At November 30, 2015, the underlying assets of 8% of these funds were being liquidated and we are unable to estimate when the underlying assets will be fully liquidated.
(4)
This category includes investments in fund of funds that invest in various private equity funds. At November 30, 2016 and 2015, approximately 100% and 95%, respectively, of the fair value of investments in this category are managed by us and have no redemption provisions. The investments in this category are gradually being liquidated or we have requested redemption; however, we are unable to estimate when these funds will be received.
(5)
At November 30, 2016 and 2015, the fair value of 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 expected to liquidate in one to seven years.
(6)
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, 2016 and 2015, investments representing approximately 12% and 100%, respectively, of the fair value of investments in this category are redeemable with 30-90 days prior written notice.
(7)
Prior period amounts have been recast to conform to the current year’s presentation due to the presentation of multi-asset funds. Previously, these investments had been classified within equity long/short hedge funds.
(8)
This category represents an investment in the Jefferies Umbrella Fund, an open-ended investment company managed by us that invested primarily in convertible bonds. The underlying assets were fully liquidated during the year ended November 30, 2016.
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 year ended November 30, 2015 (in thousands):
 
Year Ended November 30, 2015
 
Balance at November 30, 2014
 
Total gains/ losses (realized and unrealized) (1)
 
Purchases
 
Sales
 
Settlements
 
Issuances
 
Net transfers into/
(out of) Level 3
 
Balance at November 30, 2015
 
Change in unrealized gains/ (losses) relating to instruments still held at November 30, 2015 (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments owned:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
20,964

 
$
11,154

 
$
21,385

 
$
(6,391
)
 
$

 
$

 
$
(6,206
)
 
$
40,906

 
$
11,424

Corporate debt securities
22,766

 
(11,013
)
 
21,534

 
(14,636
)
 

 

 
7,225

 
25,876

 
(9,443
)
CDOs and CLOs
124,650

 
(66,332
)
 
104,998

 
(107,381
)
 
(5,754
)
 

 
34,911

 
85,092

 
(48,514
)
Municipal securities

 
10

 

 

 
(21,551
)
 

 
21,541

 

 

Sovereign obligations

 
47

 
1,032

 
(1,031
)
 

 

 
72

 
120

 
39

RMBS
82,557

 
(12,951
)
 
18,961

 
(31,762
)
 
(597
)
 

 
14,055

 
70,263

 
(4,498
)
CMBS
26,655

 
(3,813
)
 
3,480

 
(10,146
)
 
(6,861
)
 

 
5,011

 
14,326

 
(3,205
)
Other ABS
2,294

 
(990
)
 
42,922

 
(1,299
)
 
(2
)
 

 

 
42,925

 
(254
)
Loans and other receivables
97,258

 
(14,755
)
 
792,345

 
(576,536
)
 
(124,365
)
 

 
15,342

 
189,289

 
(16,802
)
Investments at fair value
53,224

 
64,380

 
5,510

 
(124,852
)
 
(4,093
)
 

 
58,951

 
53,120

 
(388
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments sold, not yet purchased:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
38

 
$

 
$

 
$

 
$

 
$

 
$

 
$
38

 
$

Corporate debt securities
223

 
(110
)
 
(6,804
)
 
6,691

 

 

 

 

 

Net derivatives (2)
(4,638
)
 
(7,310
)
 
(6,705
)
 
13,522

 
37

 
2,437

 
2,415

 
(242
)
 
4,754

Loans
14,450

 
(163
)
 
(2,059
)
 
229

 

 

 
(1,988
)
 
10,469

 
104

Other secured financings
30,825

 

 

 

 
(15,704
)
 
36,995

 
(51,572
)
 
544

 

Embedded conversion option
693

 
(693
)
 

 

 

 

 

 

 
693

(1)
Realized and unrealized gains/losses are reported in Principal transaction revenues in the Consolidated Statements of Earnings.
(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 year ended November 30, 2016 (in thousands):
 
Year Ended November 30, 2016
 
Balance at November 30, 2015
 
Total gains/ losses (realized and unrealized) (1)
 
Purchases
 
Sales
 
Settlements
 
Issuances
 
Net transfers into/
(out of)
Level 3
 
Balance at November 30, 2016
 
Change in unrealized gains/ (losses) relating to instruments still held at November 30, 2016 (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments owned:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
40,906

 
$
(8,463
)
 
$
3,365

 
$
(49
)
 
$
(671
)
 
$

 
$
(13,349
)
 
$
21,739

 
$
291

Corporate debt securities
25,876

 
(16,230
)
 
27,242

 
(29,347
)
 
(7,223
)
 

 
24,687

 
25,005

 
(18,799
)
CDOs and CLOs
85,092

 
(14,918
)
 
52,316

 
(69,394
)
 
(2,750
)
 

 
4,008

 
54,354

 
(7,628
)
Municipal securities

 
(1,462
)
 

 

 

 

 
28,719

 
27,257

 
(1,462
)
Sovereign obligations
120

 
5

 

 
(125
)
 

 

 

 

 

RMBS
70,263

 
(9,612
)
 
623

 
(12,249
)
 
(931
)
 

 
(9,322
)
 
38,772

 
(1,095
)
CMBS
14,326

 
(7,550
)
 
3,132

 
(2,024
)
 
(2,229
)
 

 
14,925

 
20,580

 
(7,243
)
Other ABS
42,925

 
(14,381
)
 
133,986

 
(102,952
)
 
(8,769
)
 

 
(9,898
)
 
40,911

 
(18,056
)
Loans and other receivables
189,289

 
(42,566
)
 
75,264

 
(69,262
)
 
(46,851
)
 

 
(24,002
)
 
81,872

 
(52,003
)
Investments at fair value
53,120

 
(13,278
)
 
26,228

 
(542
)
 
(1,107
)
 

 
31,948

 
96,369

 
(13,208
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments sold, not yet purchased:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
38

 
$

 
$

 
$
313

 
$
(38
)
 
$

 
$

 
$
313

 
$

Corporate debt securities

 
(27
)
 

 
550

 

 

 

 
523

 

Net derivatives (2)
(242
)
 
(1,760
)
 

 
11,101

 
31

 
2,067

 
(7,756
)
 
3,441

 
(6,458
)
Loans
10,469

 

 

 
378

 

 

 
(10,469
)
 
378

 

Other secured financings
544

 
(126
)
 

 

 

 

 

 
418

 
(126
)
(1)
Realized and unrealized gains/losses are reported in Principal transaction revenues in the Consolidated Statements of Earnings.
(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 year ended November 30, 2014 (in thousands):
 
Year Ended November 30, 2014
 
Balance at November 30, 2013
 
Total gains/ losses (realized and unrealized) (1)
 
Purchases
 
Sales
 
Settlements
 
Issuances
 
Net transfers into/ (out of) Level 3
 
Balance at November 30, 2014
 
Change in unrealized gain/ (losses) relating to instruments still held at November 30, 2014 (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments owned:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
9,884

 
$
957

 
$
18,138

 
$
(12,826
)
 
$

 
$

 
$
4,811

 
$
20,964

 
$
2,324

Corporate debt securities
25,666

 
6,629

 
38,316

 
(40,328
)
 

 

 
(7,517
)
 
22,766

 
8,982

CDOs and CLOs
37,216

 
(6,386
)
 
204,337

 
(181,757
)
 
(1,297
)
 

 
72,537

 
124,650

 
(1,141
)
U.S. government and federal agency securities

 
13

 
2,505

 
(2,518
)
 

 

 

 

 

RMBS
105,492

 
(9,870
)
 
42,632

 
(61,689
)
 
(1,847
)
 

 
7,839

 
82,557

 
(4,679
)
CMBS
17,568

 
(4,237
)
 
49,159

 
(51,360
)
 
(782
)
 

 
16,307

 
26,655

 
(2,384
)
Other ABS
12,611

 
1,784

 
4,987

 
(18,002
)
 

 

 
914

 
2,294

 
1,484

Loans and other receivables
145,890

 
(31,311
)
 
130,169

 
(92,140
)
 
(60,390
)
 

 
5,040

 
97,258

 
(26,864
)
Investments, at fair value
66,931

 
13,781

 
32,493

 
(43,286
)
 
(1,243
)
 

 
(15,452
)
 
53,224

 
(1,876
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments sold, not yet purchased:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
38

 
$

 
$

 
$

 
$

 
$

 
$

 
$
38

 
$

Corporate debt securities

 
(149
)
 
(565
)
 
960

 

 

 
(23
)
 
223

 
(8
)
Net derivatives (2)
6,905

 
15,055

 
(24,682
)
 
1,094

 
322

 

 
(3,332
)
 
(4,638
)
 
(15,615
)
Loans
22,462

 

 
(18,332
)
 
11,338

 

 

 
(1,018
)
 
14,450

 

Other secured financings
8,711

 

 

 

 
(17,525
)
 
39,639

 

 
30,825

 

Embedded conversion option
9,574

 
(8,881
)
 

 

 

 

 

 
693

 
8,881

(1)
Realized and unrealized gains/losses are reported in Principal transaction revenues in the Consolidated Statements of Earnings.
(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.
November 30, 2016
Financial Instruments Owned
 
Fair Value
(in thousands)
 
Valuation Technique
 
Significant Unobservable Input(s)
 
Input / Range
 
Weighted
Average
Corporate equity securities
 
$
19,799

 
 
 
 
 
 
 
 
Non-exchange traded securities
 
Market approach
 
Underlying stock price
 
$3-$75
 
$
15

 
 
 
 
Comparable pricing
 
Underlying stock price
 
$218
 

 
 
 
 
 
 
Comparable asset price
 
$11
 

 
 
 
 
Present value
 
Average silver production (tons per day)
 
666
 

Corporate debt securities
 
$
25,005

 
 
 
 
 
 
 
 
 
 
 
 
Convertible bond model
 
Discount rate/yield
 
9%
 

 
 
 
 
 
 
Volatility
 
40%
 

 
 
 
 
Market approach
 
Transaction level
 
$30
 

CDOs and CLOs
 
$
33,016

 
Discounted cash flows
 
Constant prepayment rate
 
10%-20%
 
19
%
 
 
 
 
 
 
Constant default rate
 
2%-4%
 
2
%
 
 
 
 
 
 
Loss severity
 
25%-70%
 
40
%
 
 
 
 
 
 
Yield
 
7%-17%
 
12
%
 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
28%-38%
 
31
%
RMBS
 
$
38,772

 
Discounted cash flows
 
Constant prepayment rate
 
0%-11%
 
5
%
 
 
 
 
 
 
Constant default rate
 
1%-7%
 
3
%
 
 
 
 
 
 
Loss severity
 
35%-100%
 
62
%
 
 
 
 
 
 
Yield
 
2%-10%
 
6
%
CMBS
 
$
20,580

 
Discounted cash flows
 
Yield
 
6%-11%
 
8
%
 
 
 
 
 
 
Cumulative loss rate
 
5%-95%
 
39
%
Other ABS
 
$
40,911

 
Discounted cash flows
 
Constant prepayment rate
 
4%-20%
 
14
%
 
 
 
 
 
 
Constant default rate
 
0%-31%
 
13
%
 
 
 
 
 
 
Loss severity
 
0%-100%
 
90
%
 
 
 
 
 
 
Yield
 
4%-17%
 
15
%
 
 
 
 
Market approach
 
Price
 
$72
 

Loans and other receivables
 
$
54,347

 
Market approach
 
EBITDA (a) multiple
 
3.3
 

 
 
 
 
 
 
Discount rate/yield
 
2%-4%
 
3
%
 
 
 
 
 
 
Transaction level
 
$0.42
 

 
 
 
 
Present value
 
Average silver production (tons per day)
 
666
 

 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
6%-50%
 
37
%
Derivatives
 
$
6,429

 
 
 
 
 
 
 
 
Equity swaps
 
 
 
Comparable pricing
 
Comparable asset price
 
$102
 

Credit default swaps
 
Market approach
 
Credit spread
 
265 bps
 

Investments at fair value
 
 
 
 
 
 
 
 
 
 
Private equity securities
 
$
42,907

 
Market approach
 
Transaction level
 
$250
 

 
 
 
 
 
 
Price
 
$25,815,720
 

Liabilities
 
 
 
 
 
 
 
 
 
 
Financial Instruments Sold, Not Yet Purchased:
 
 
 
 
 
 
Derivatives
 
$
9,870

 
 
 
 
 
 
 
 
Equity options
 
 
 
Option model
 
Volatility
 
45%
 

 
 
 
 
Default rate
 
Default probability
 
0%
 

Equity swaps
 
 
 
Comparable pricing
 
Comparable asset price
 
$102
 

Unfunded commitments
 
 
 
Market approach
 
Discount rate/yield
 
4%
 

Variable funding note swaps
 
 
 
Discounted cash flows
 
Constant prepayment rate
 
20%
 

 
 
 
 
 
 
Constant default rate
 
2%
 

 
 
 
 
 
 
Loss severity
 
25%
 

 
 
 
 
 
 
Yield
 
16%
 

(a) Earnings before interest, taxes, depreciation and amortization (“EBITDA”).
November 30, 2015
Financial Instruments Owned
 
Fair Value
(in thousands)
 
Valuation Technique
 
Significant Unobservable
 Input(s)
 
Input / Range
 
Weighted
Average
Corporate equity securities
 
$
20,285

 
 
 
 
 
 
 
 
Non-exchange traded securities
 
Market approach
 
EBITDA multiple
 
4.4
 

 
 
 
 
 
 
Transaction level
 
$1
 

 
 
 
 
 
 
Underlying stock price
 
$5-$102
 
$
19

Corporate debt securities
 
$
20,257

 
Convertible bond model
 
Discount rate/yield
 
86%
 

 
 
 
 
Market approach
 
Transaction level
 
$59
 

CDOs and CLOs
 
$
49,923

 
Discounted cash flows
 
Constant prepayment rate
 
5%-20%
 
13
%
 
 
 
 
 
 
Constant default rate
 
2%-8%
 
2
%
 
 
 
 
 
 
Loss severity
 
25%-90%
 
52
%
 
 
 
 
 
 
Yield
 
6%-13%
 
10
%
RMBS
 
$
70,263

 
Discounted cash flows
 
Constant prepayment rate
 
0%-50%
 
13
%
 
 
 
 
 
 
Constant default rate
 
1%-9%
 
3
%
 
 
 
 
 
 
Loss severity
 
25%-70%
 
39
%
 
 
 
 
 
 
Yield
 
1%-9%
 
6
%
CMBS
 
$
14,326

 
Discounted cash flows
 
Yield
 
7%-30%
 
16
%
 
 
 
 
 
 
Cumulative loss rate
 
2%-63%
 
23
%
Other ABS
 
$
21,463

 
Discounted cash flows
 
Constant prepayment rate
 
6%-8%
 
7
%
 
 
 
 
 
 
Constant default rate
 
3%-5%
 
4
%
 
 
 
 
 
 
Loss severity
 
55%-75%
 
62
%
 
 
 
 
 
 
Yield
 
7%-22%
 
18
%
 
 
 
 
Over-collateralization
 
Over-collateralization percentage
 
117%-125%
 
118
%
Loans and other receivables
 
$
161,470

 
Comparable pricing
 
Comparable asset price
 
$99-$100
 
$
99.7

 
 
 
 
Market approach
 
Discount rate/yield
 
2%-17%
 
12
%
 
 
 
 
 
 
EBITDA multiple
 
10.0
 

 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
6%-100%
 
83
%
Derivatives
 
$
19,785

 
 
 
 
 
 
 
 
Commodity forwards
 
 
 
Market approach
 
Discount rate/yield
 
47%
 

 
 
 
 
 
 
Transaction level
 
$9,500,000
 

Unfunded commitments
 
 
 
Comparable pricing
 
Comparable asset price
 
$100
 

 
 
 
 
Market approach
 
Credit spread
 
298 bps
 

Total return swaps
 
 
 
Comparable pricing
 
Comparable asset price
 
$91.7-$92.4
 
$
92.1

Investments at fair value
 
$
7,693

 
 
 
 
 
 
 
 
Private equity securities
 
 
 
Market approach
 
Transaction level
 
$64
 

 
 
 
 
 
 
Price
 
$5,200,000
 

Liabilities
 
 
 
 
 
 
 
 
 
 
Financial Instruments Sold, Not Yet Purchased:
 
 
 
 
 
 
Derivatives
 
$
19,543

 
 
 
 
 
 
 
 
Equity options
 
 
 
Option model
 
Volatility
 
45%
 

 
 
 
 
Default rate
 
Default probability
 
0%
 

Unfunded commitments
 
 
 
Comparable pricing
 
Comparable asset price
 
$79-$100
 
$
82.6

 
 
 
 
Market approach
 
Discount rate/yield
 
3%-10%
 
10
%
 
 
 
 
Discounted cash flows
 
Constant prepayment rate
 
20%
 

 
 
 
 
 
 
Constant default rate
 
2%
 

 
 
 
 
 
 
Loss severity
 
25%
 

 
 
 
 
 
 
Yield
 
11%
 

Total return swaps
 
 
 
Comparable pricing
 
Comparable asset price
 
$91.7-92.4
 
$
92.1

Loans and other receivables
 
$
10,469

 
Comparable pricing
 
Comparable asset price
 
$100
 

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 long-term debt measured at fair value under the fair value option (in thousands):
 
Year Ended November 30,
 
2016
 
2015
 
2014
Financial Instruments Owned:
 
 
 
 
 
Loans and other receivables
$
(68,812
)
 
$
(17,389
)
 
$
(24,785
)
Financial Instruments Sold:
 
 
 
 
 
Loans
$
9

 
$
(162
)
 
$
(585
)
Loan commitments
5,509

 
7,502

 
(15,459
)
Long-term debt:
 
 
 
 
 
Changes in instrument specific credit risk (1)
$
(10,745
)
 
$

 
$

Other changes in fair value (2)
30,995

 

 

(1)
Changes in instrument-specific credit risk related to structured notes are included in the Consolidated Statements of Comprehensive Income.
(2)
Other changes in fair value are included within Principal transactions revenues on the Consolidated Statements of Earnings.
The following is a summary of the amount by which contractual principal exceeds fair value for loans and other receivables and long-term debt measured at fair value under the fair value option (in thousands):
 
November 30,
 
2016
 
2015
Financial Instruments Owned:
 
 
 
Loans and other receivables (1)
$
1,325,938

 
$
408,369

Loans and other receivables on nonaccrual status and/or greater than 90 days past due (1) (2)
205,746

 
54,652

Long-term debt
20,202

 

(1)
Interest income is recognized separately from other changes in fair value and is included within Interest revenues on the Consolidated Statements of Earnings.
(2)
Amounts include loans and other receivables greater than 90 days past due of $64.6 million and $29.7 million at November 30, 2016 and 2015, respectively.
Assets and Liabilities Measured at Fair Value on a Non-recurring Basis
The following table presents those assets measured at fair value on a non-recurring basis for which the Company recognized a non-recurring fair value adjustment during the years ended November 30, 2016, 2015 and 2014 (in thousands):
 
Carrying Value at November 30, 2016
 
Level 2
 
Level 3
 
Impairment Losses for the Year Ended November 30, 2016
Capital Markets Reporting Unit:
 
 
 
 
 
 
 
Exchange ownership interests and registrations (1)
$
2,716

 
$
2,716

 
$

 
$
1,284

 
Carrying Value at November 30, 2015
 
Level 2
 
Level 3
 
Impairment Losses for the Year Ended November 30, 2015
Futures Reporting Unit (2):
 
 
 
 
 
 
 
Exchange ownership interests and registrations (1)
$
4,178

 
$
4,178

 
$

 
$
1,289

 
Carrying Value at
November 30, 2014
 
Level 2
 
Level 3
 
Impairment Losses for the Year Ended November 30, 2014
Futures Reporting Unit (2):
 
 
 
 
 
 
 
Exchange ownership interests and registrations (1)
$
5,608

 
$
5,608

 
$

 
$
178

Goodwill (3)

 

 

 
51,900

Intangible assets (4)

 

 

 
7,534

 
 
 
 
 
 
 
 
International Asset Management Reporting Unit (5):
 
 
 
 
 
 
 
Goodwill (5)
$

 
$

 
$

 
$
2,100

Intangible assets (5)

 

 

 
60

(1)
Impairment losses of $1.3 million, $1.3 million and $0.2 million, were recognized in Other expenses, during the years ended November 30, 2016, 2015 and 2014, respectively, for exchange memberships, which represent ownership interests in market exchanges on which trading business is conducted, and registrations. The fair value of these exchange memberships is based on observed quoted sales prices for each individual membership. (See Note 10, Goodwill and Other Intangible Assets.)
(2)
Given management’s decision to pursue strategic alternatives for our Futures business, including possible disposal, as a result of the operating performance and margin challenges experienced by the business, an impairment analysis of the carrying amounts of goodwill, intangible assets and certain other assets employed directly by the business was performed at November 30, 2015 and 2014, respectively. (See Note 10, Goodwill and Other Intangible Assets.)
(3)
An impairment loss for goodwill allocated to our Futures business with a carrying amount of $51.9 million was recognized for the year ended November 30, 2014. The fair value of the Futures business was estimated 1) by comparison to similar companies using publicly traded price-to-tangible book multiples as the basis for valuation and 2) by utilizing a discounted cash flow methodology based on internally developed forecasts of profitability and an appropriate risk-adjusted discount rate.
(4)
See Note 10, Goodwill and Other Intangible Assets for further information.
(5)
Given management’s decision to liquidate our International Asset Management business, an impairment analysis of the carrying amounts of goodwill, intangible assets and certain other assets employed directly by the business was performed at November 30, 2014. (See Note 10, Goodwill and Other Intangible Assets.