Derivative Financial Instruments (Tables)

9 Months Ended

Aug. 31, 2017

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 August 31, 2017 and November 30, 2016 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).

	August 31, 2017 (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	$	11,654		1	$	—		—
Total derivatives designated as accounting hedges	11,654				—
Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	893			12,681	—			39,026
Cleared OTC	1,334,453			3,007	1,300,651			3,276
Bilateral OTC	441,908			1,967	397,646			623
Foreign exchange contracts:
Exchange-traded	25			567	—			1,591
Bilateral OTC	319,278			4,998	319,084			4,947
Equity contracts:
Exchange-traded	484,465			2,124,684	901,021			1,812,241
Bilateral OTC	56,235			1,457	197,595			1,498
Commodity contracts:
Exchange-traded	—			3,279	—			3,844
Credit contracts:
Cleared OTC	49,996			119	65,576			143
Bilateral OTC	18,450			182	25,102			246
Total derivatives not designated as hedges	2,705,703				3,206,675
Total gross derivative assets/ liabilities:
Exchange-traded	485,383				901,021
Cleared OTC	1,396,103				1,366,227
Bilateral OTC	835,871				939,427
Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	(472,667		)		(472,667		)
Cleared OTC	(1,380,185		)		(1,341,199		)
Bilateral OTC	(691,431		)		(849,177		)
Net amounts per Consolidated Statements of Financial Condition (4)	$	173,074			$	543,632

(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 brokers, dealers and clearing organizations on 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, 2016 (1)
	Assets				Liabilities
	Fair Value			Number of Contracts (2)	Fair Value			Number of Contracts (2)
Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	$	2,275		24,300	$	24		29,773
Cleared OTC (3)	2,835,812			3,596	2,636,469			3,445
Bilateral OTC	444,159			1,136	522,965			1,627
Foreign exchange contracts:
Exchange-traded	—			376	—			686
Bilateral OTC	529,609			7,448	516,869			7,633
Equity contracts:
Exchange-traded	712,767			2,820,702	1,095,582			2,410,956
Bilateral OTC	72,041			1,077	67,033			1,191
Commodity contracts:
Exchange-traded	—			1,356	—			920
Credit contracts:
Cleared OTC	645			6	2,304			8
Bilateral OTC	19,225			213	25,503			184
Total gross derivative assets/liabilities:
Exchange-traded	715,042				1,095,606
Cleared OTC	2,836,457				2,638,773
Bilateral OTC	1,065,034				1,132,370
Amounts offset in our Consolidated Statements of Financial Condition (4):
Exchange-traded	(691,009		)		(691,009		)
Cleared OTC (3)	(2,751,650		)		(2,638,774		)
Bilateral OTC	(813,340		)		(899,431		)
Net amounts per Consolidated Statements of Financial Condition (5)	$	360,534			$	637,535

(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 brokers, dealers and clearing organizations on our Consolidated Statements of Financial Condition.

(3) Pursuant to a rule change by the Chicago Mercantile Exchange in the first quarter of 2017, variation margin exchanged each day with this clearing organization on certain interest rate and credit derivatives is characterized as settlement payments as opposed to cash posted as collateral. The impact of this rule change would have been a reduction in gross interest rate derivative assets and liabilities as of November 30, 2016 of approximately $1.0 billion, and a corresponding decrease in counterparty and cash collateral netting, with no impact to the Consolidated Statement of Financial Condition.

(4) Amounts netted include both netting by counterparty and for cash collateral paid or received.

(5)

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.

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 on a fair value hedge (in thousands):

	Three Months Ended   August 31,					Nine Months Ended   August 31,
Gains (Losses)	2017			2016		2017			2016
Interest rate swaps	$	6,217		$	—	$	13,960		$	—
Long-term debt	(4,680		)	—		(9,570		)	—
Total	$	1,537		$	—	$	4,390		$	—

The following table presents unrealized and realized gains (losses) on derivative contracts recognized in Principal transactions revenue 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   August 31,						Nine Months Ended   August 31,
Gains (Losses)	2017			2016			2017			2016
Interest rate contracts	$	(6,432	)	$	(16,631	)	$	2,605		$	(96,715	)
Foreign exchange contracts	1,028			7,886			4,135			14,000
Equity contracts	(106,425		)	(185,264		)	(275,124		)	(509,476		)
Commodity contracts	1,508			4,089			(5,398		)	1,899
Credit contracts	311			4,024			11,218			1,441
Total	$	(110,010	)	$	(185,896	)	$	(262,564	)	$	(588,851	)

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 August 31, 2017 (in thousands):

	OTC Derivative Assets (1) (2) (3)
	0 – 12 Months		1 – 5 Years		Greater Than 5 Years		Cross-Maturity Netting (4)			Total
Equity swaps and options	$	5,117	$	2,703	$	—	$	—		$	7,820
Credit default swaps	289		3,399		—		(26		)	3,662
Total return swaps	11,411		5,823		—		(2,458		)	14,776
Foreign currency forwards, swaps and options	73,912		131		—		(14		)	74,029
Fixed income forwards	134		—		—		—			134
Interest rate swaps, options and forwards	49,714		171,691		98,719		(83,961		)	236,163
Total	$	140,577	$	183,747	$	98,719	$	(86,459	)	336,584
Cross product counterparty netting										(19,647		)
Total OTC derivative assets included in Financial instruments owned										$	316,937

(1) At August 31, 2017, we held exchange-traded derivative assets and other credit agreements with a fair value of $13.4 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 August 31, 2017, cash collateral received was $157.3 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 swaps and options	$	2,980	$	146,317	$	2,534	$	—		$	151,831
Credit default swaps	1,077		23,931		—		(26		)	24,982
Total return swaps	11,666		1,802		—		(2,458		)	11,010
Foreign currency forwards, swaps and options	72,288		1,575		—		(14		)	73,849
Fixed income forwards	1,145		—		—		—			1,145
Interest rate swaps, options and forwards	30,735		97,284		102,566		(83,961		)	146,624
Total	$	119,891	$	270,909	$	105,100	$	(86,459	)	409,441
Cross product counterparty netting										(19,647		)
Total OTC derivative liabilities included in Financial instruments sold, not yet purchased										$	389,794

(1) At August 31, 2017, we held exchange-traded derivative liabilities and other credit agreements with a fair value of $429.9 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 August 31, 2017, cash collateral pledged was $276.0 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 August 31, 2017, 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	$	136,201
BBB- to BBB+	50,742
BB+ or lower	72,249
Unrated	57,745
Total	$	316,937

(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):

	August 31, 2017
	External Credit Rating
	Investment Grade		Non-investment Grade		Total Notional
Credit protection sold:
Index credit default swaps	$	1,103	$	258	$	1,361
Single name credit default swaps	139		192		331

	November 30, 2016
	External Credit Rating
	Investment Grade		Non-investment Grade		Total Notional
Credit protection sold:
Index credit default swaps	$	54	$	—	$	54
Single name credit default swaps	122		261		383