Fair Value Disclosures (Tables)

9 Months Ended

Aug. 31, 2020

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 net asset value (“NAV”) of $920.3 million and $570.3 million at August 31, 2020 and November 30, 2019, respectively, by level within the fair value hierarchy (in thousands):

	August 31, 2020
	Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (1)			Total
Assets:
Financial instruments owned:
Corporate equity securities	$	2,446,810	$	63,256	$	77,830	$	—		$	2,587,896
Corporate debt securities	—		2,720,581		23,269		—			2,743,850
Collateralized debt obligations and collateralized loan obligations	—		68,287		27,936		—			96,223
U.S. government and federal agency securities	3,164,472		92,036		—		—			3,256,508
Municipal securities	—		358,292		—		—			358,292
Sovereign obligations	1,686,522		877,334		—		—			2,563,856
Residential mortgage-backed securities	—		975,166		28,317		—			1,003,483
Commercial mortgage-backed securities	—		1,091,406		4,663		—			1,096,069
Other asset-backed securities	—		48,734		63,337		—			112,071
Loans and other receivables	—		2,112,437		105,434		—			2,217,871
Derivatives	2,897		2,060,960		52,195		(1,611,815		)	504,237
Investments at fair value	—		45,156		49,881		—			95,037
Total financial instruments owned, excluding Investments at fair value based on NAV	$	7,300,701	$	10,513,645	$	432,862	$	(1,611,815	)	$	16,635,393
Securities received as collateral	$	4,413	$	—	$	—	$	—		$	4,413
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	2,295,391	$	12,533	$	4,367	$	—		$	2,312,291
Corporate debt securities	—		1,448,558		148		—			1,448,706
U.S. government and federal agency securities	2,722,907		—		—		—			2,722,907
Sovereign obligations	1,452,399		1,096,176		—		—			2,548,575
Commercial mortgage-backed securities	—		—		35		—			35
Loans	—		1,432,113		46,594		—			1,478,707
Derivatives	1,031		2,207,254		74,620		(1,799,681		)	483,224
Total financial instruments sold, not yet purchased	$	6,471,728	$	6,196,634	$	125,764	$	(1,799,681	)	$	10,994,445
Short-term borrowings	$	—	$	21,829	$	—	$	—		$	21,829
Other secured financings	$	—	$	—	$	3,402	$	—		$	3,402
Obligation to return securities received as collateral	$	4,413	$	—	$	—	$	—		$	4,413
Long-term debt	$	—	$	891,845	$	630,260	$	—		$	1,522,105

(1) Represents counterparty and cash collateral netting across the levels of the fair value hierarchy for positions with the same counterparty.

	November 30, 2019
	Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (1)			Total
Assets:
Financial instruments owned:
Corporate equity securities	$	2,325,116	$	218,403	$	58,301	$	—		$	2,601,820
Corporate debt securities	—		2,472,213		7,490		—			2,479,703
Collateralized debt obligations and collateralized loan obligations	—		124,225		20,081		—			144,306
U.S. government and federal agency securities	2,101,624		158,618		—		—			2,260,242
Municipal securities	—		742,326		—		—			742,326
Sovereign obligations	1,330,026		1,405,827		—		—			2,735,853
Residential mortgage-backed securities	—		1,069,066		17,740		—			1,086,806
Commercial mortgage-backed securities	—		424,060		6,110		—			430,170
Other asset-backed securities	—		303,847		42,563		—			346,410
Loans and other receivables	—		2,395,211		64,240		—			2,459,451
Derivatives	2,809		1,812,659		14,889		(1,432,806		)	397,551
Investments at fair value	—		32,688		75,738		—			108,426
Total financial instruments owned, excluding Investments at fair value based on NAV	$	5,759,575	$	11,159,143	$	307,152	$	(1,432,806	)	$	15,793,064
Securities purchased under agreements to resell	$	—	$	—	$	25,000	$	—		$	25,000
Securities received as collateral	$	9,500	$	—	$	—	$	—		$	9,500
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	2,755,601	$	7,438	$	4,487	$	—		$	2,767,526
Corporate debt securities	—		1,471,142		340		—			1,471,482
U.S. government and federal agency securities	1,851,981		—		—		—			1,851,981
Sovereign obligations	1,363,475		941,065		—		—			2,304,540
Commercial mortgage-backed securities	—		—		35		—			35
Loans	—		1,600,228		9,463		—			1,609,691
Derivatives	871		2,066,064		92,057		(1,631,787		)	527,205
Total financial instruments sold, not yet purchased	$	5,971,928	$	6,085,937	$	106,382	$	(1,631,787	)	$	10,532,460
Short-term borrowings	$	—	$	20,981	$	—	$	—		$	20,981
Obligation to return securities received as collateral	$	9,500	$	—	$	—	$	—		$	9,500
Long-term debt	$	—	$	735,216	$	480,069	$	—		$	1,215,285

(1)

Represents counterparty and cash collateral netting across the levels of the fair value hierarchy for positions with the same counterparty.

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):

	August 31, 2020
	Fair Value (1)		Unfunded Commitments
Equity Long/Short Hedge Funds (2)	$	322,020	$	—
Equity Funds (3)	23,586		11,442
Commodity Funds (4)	16,204		—
Multi-asset Funds (5)	558,452		—
Other Funds (6)	65		—
Total	$	920,327	$	11,442

	November 30, 2019
	Fair Value (1)		Unfunded Commitments
Equity Long/Short Hedge Funds (2)	$	291,593	$	—
Equity Funds (3)	27,952		12,108
Commodity Funds (4)	16,025		—
Multi-asset Funds (5)	234,583		—
Other Funds (6)	157		—
Total	$	570,310	$	12,108

(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 both public and private equity securities in domestic and international markets. At both August 31, 2020 and November 30, 2019, approximately 6% of the fair value of investments in this category are redeemable quarterly with 60 days prior written notice.

(3) At August 31, 2020 and November 30, 2019, the 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 primarily expected to be liquidated in approximately one to eight years.

(4) This category includes investments in a hedge fund that invests, long and short, primarily in commodities. Investments in this category are redeemable quarterly with 60 days prior written notice.

(5) 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 August 31, 2020 and November 30, 2019, investments representing approximately 58% and 5%, respectively, of the fair value of investments in this category are redeemable monthly with 30 or 60 days prior written notice.

(6)

This category includes investments in a fund that invests 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 and there are no redemption provisions. This category also includes investments in a fund of funds that invests in various private equity funds that are managed by us and have no redemption provisions. Investments in the fund of funds are gradually being liquidated, however, the timing of when the proceeds will be received is uncertain.

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 nine months ended August 31, 2019 (in thousands):

	Nine Months Ended August 31, 2019
	Balance at November 30, 2018		Total gains/losses (realized and unrealized) (1)			Purchases			Sales			Settlements			Issuances		Net transfers into/ (out of) Level 3			Balance at August 31, 2019		For instruments still held at August 31, 2019, changes in unrealized gains/(losses) included in:
																						Earnings (1)			Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	51,040	$	16,381		$	23,172		$	(25,431	)	$	(669	)	$	—	$	(13,893	)	$	50,600	$	14,953		$	—
Corporate debt securities	9,484		(4,904		)	6,080			(10,544		)	(553		)	—		9,725			9,288		(5,325		)	—
CDOs and CLOs	25,815		(5,892		)	48,112			(43,230		)	(275		)	—		(3,395		)	21,135		(5,614		)	—
RMBS	19,603		(2,573		)	2,166			(2,022		)	(171		)	—		926			17,929		(2,166		)	—
CMBS	10,886		(2,196		)	11			(2,023		)	(6,638		)	—		5,422			5,462		(4,326		)	—
Other ABS	53,175		(929		)	14,698			(2,494		)	(30,623		)	—		771			34,598		(961		)	—
Loans and other receivables	46,985		3,933			178,069			(166,496		)	(8,379		)	—		21,451			75,563		682			—
Investments at fair value	113,831		(3,971		)	31,583			(296		)	—			—		(8,642		)	132,505		(3,971		)	—
Securities purchased under agreements to resell	—		—			—			—			—			25,000		—			25,000		—			—
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	—	$	401		$	—		$	—		$	(190	)	$	—	$	—		$	211	$	(35	)	$	—
Corporate debt securities	522		(867		)	—			—			(524		)	—		2,071			1,202		867			—
CMBS	—		—			—			35			—			—		—			35		—			—
Loans	6,376		(1,342		)	(8,553		)	9,929			—			—		10,220			16,630		1,583			—
Net derivatives (2)	21,614		(48,746		)	(2,829		)	16,313			1,609			—		62,802			50,763		40,052			—
Long-term debt	200,745		(5,286		)	—			—			(11,250		)	204,710		(40,856		)	348,063		(4,517		)	9,804

(1) Realized and unrealized gains/losses are primarily reported in Principal transactions revenues in our Consolidated Statements of Earnings. Changes in instrument-specific credit risk related to structured notes are included in our Consolidated Statements of Comprehensive Income, net of tax.

(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 nine months ended August 31, 2020 (in thousands):

	Nine Months Ended August 31, 2020
			Total gains/losses (realized and unrealized) (1)														Net transfers into/  (out of) Level 3					For instruments still held at August 31, 2020, changes in unrealized gains/(losses) included in:
	Balance at November 30, 2019					Purchases			Sales			Settlements			Issuances					Balance at August 31, 2020		Earnings (1)			Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	58,301	$	(3,793	)	$	3,299		$	(13,555	)	$	—		$	—	$	33,578		$	77,830	$	(654	)	$	—
Corporate debt securities	7,490		(162		)	285			(489		)	(602		)	—		16,747			23,269		(591		)	—
CDOs and CLOs	20,081		(8,651		)	10,883			(20,935		)	(5,675		)	—		32,233			27,936		(20,218		)	—
RMBS	17,740		(1,347		)	7,625			—			(496		)	—		4,795			28,317		(1,811		)	—
CMBS	6,110		232			—			—			(1,785		)	—		106			4,663		807			—
Other ABS	42,563		(3,495		)	29,096			(664		)	(22,125		)	—		17,962			63,337		(13,012		)	—
Loans and other receivables	64,240		(7,093		)	259,982			(208,958		)	(6,979		)	—		4,242			105,434		(6,216		)	—
Investments at fair value	75,738		(33,753		)	21,067			(168		)	(13,003		)	—		—			49,881		(35,601		)	—
Securities purchased under agreements to resell	25,000		—			—			—			(25,000		)	—		—			—		—			—
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	4,487	$	258		$	(567	)	$	—		$	—		$	—	$	189		$	4,367	$	98		$	—
Corporate debt securities	340		(261		)	(325		)	394			—			—		—			148		20			—
CMBS	35		—			(35		)	35			—			—		—			35		—			—
Loans	9,463		2,986			(5,760		)	38,531			—			—		1,374			46,594		(3,366		)	—
Net derivatives (2)	77,168		(63,367		)	(6,732		)	26,656			(1,567		)	—		(9,733		)	22,425		60,257			—
Other secured financings	—		(617		)	—			—			—			4,019		—			3,402		617			—
Long-term debt	480,069		10,851			—			—			(2,000		)	202,046		(60,706		)	630,260		(28,153		)	17,302

(1) Realized and unrealized gains/losses are primarily reported in Principal transactions revenues in our Consolidated Statements of Earnings. Changes in instrument-specific credit risk related to structured notes are included in our Consolidated Statements of Comprehensive Income, net of tax.

(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 three months ended August 31, 2020 (in thousands):

	Three Months Ended August 31, 2020
	Balance at May 31, 2020		Total gains/losses (realized and unrealized) (1)			Purchases			Sales			Settlements			Issuances		Net transfers into/ (out of) Level 3			Balance at August 31, 2020		For instruments still held at August 31, 2020 changes in unrealized gains/(losses) included in:
																						Earnings (1)			Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	76,100	$	(588	)	$	699		$	—		$	—		$	—	$	1,619		$	77,830	$	(588	)	$	—
Corporate debt securities	25,178		(889		)	4			(394		)	—			—		(630		)	23,269		(881		)	—
CDOs and CLOs	23,139		3,796			39			(7,539		)	(2,075		)	—		10,576			27,936		385			—
RMBS	22,339		1,240			—			—			(774		)	—		5,512			28,317		1,262			—
CMBS	4,461		202			—			—			—			—		—			4,663		198			—
Other ABS	86,062		(1,585		)	3,313			—			(7,442		)	—		(17,011		)	63,337		(5,101		)	—
Loans and other receivables	68,429		8,302			18,492			(13,897		)	(355		)	—		24,463			105,434		8,633			—
Investments at fair value	63,959		(3,257		)	2,182			—			(13,003		)	—		—			49,881		(4,406		)	—
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	4,190	$	(12	)	$	—		$	—		$	—		$	—	$	189		$	4,367	$	12		$	—
Corporate debt securities	163		(15		)	—			—			—			—		—			148		15			—
CMBS	140		—			(140		)	35			—			—		—			35		—			—
Loans	10,674		6,636			(23,001		)	3,558			—			—		48,727			46,594		(6,591		)	—
Net derivatives (2)	45,131		(12,175		)	(1,404		)	13,089			(648		)	—		(21,568		)	22,425		12,007			—
Other secured financings	—		(617		)	—			—			—			4,019		—			3,402		617			—
Long-term debt	497,040		130,463			—			—			—			5,749		(2,992		)	630,260		(42,163		)	(88,300		)

(1) Realized and unrealized gains/losses are primarily reported in Principal transactions revenues in our Consolidated Statements of Earnings. Changes in instrument-specific credit risk related to structured notes are included in our Consolidated Statement of Comprehensive Income, net of tax.

(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 three months ended August 31, 2019 (in thousands):

	Three Months Ended August 31, 2019
	Balance at May 31, 2019		Total gains/losses (realized and unrealized) (1)			Purchases			Sales			Settlements			Issuances		Net transfers into/ (out of) Level 3			Balance at August 31, 2019		For instruments still held at August 31, 2019, changes in unrealized gains/(losses) included in:
																						Earnings (1)			Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	59,307	$	12,542		$	16,508		$	(17,502	)	$	—		$	—	$	(20,255	)	$	50,600	$	12,062		$	—
Corporate debt securities	7,429		(3,072		)	1,175			(1,942		)	(85		)	—		5,783			9,288		(3,047		)	—
CDOs and CLOs	16,195		(1,514		)	—			—			—			—		6,454			21,135		(1,503		)	—
RMBS	17,266		(1,917		)	—			(65		)	(22		)	—		2,667			17,929		(1,435		)	—
CMBS	12,530		(2,003		)	—			(1,703		)	(3,362		)	—		—			5,462		(3,143		)	—
Other ABS	43,185		(1,689		)	13,497			(6,975		)	(5,500		)	—		(7,920		)	34,598		(1,068		)	—
Loans and other receivables	98,484		(2,847		)	26,921			(33,409		)	(1,287		)	—		(12,299		)	75,563		(2,392		)	—
Investments at fair value	103,833		(6,407		)	240			(296		)	—			—		35,135			132,505		(6,407		)	—
Securities purchased under agreements to resell	25,000		—			—			—			—			—		—			25,000		—			—
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	221	$	401		$	(221	)	$	—		$	(190	)	$	—	$	—		$	211	$	(35	)	$	—
Corporate debt securities	669		(650		)	(34		)	—			(369		)	—		1,586			1,202		649			—
CMBS	—		—			—			35			—			—		—			35		—			—
Loans	9,428		(520		)	(10,281		)	5,384			—			—		12,619			16,630		531			—
Net derivatives (2)	47,449		(19,519		)	—			6,766			(14		)	—		16,081			50,763		18,507			—
Long-term debt	236,562		7,455			—			—			—			114,641		(10,595		)	348,063		(8,162		)	706

(1) Realized and unrealized gains/losses are primarily reported in Principal transactions revenues in our Consolidated Statements of Earnings. Changes in instrument-specific credit risk related to structured notes are included in our Consolidated Statement of Comprehensive Income, net of tax.

(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.

August 31, 2020
Financial Instruments Owned:	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input / Range				Weighted Average
Corporate equity securities	$	77,442
Non-exchange traded securities			Market approach	Price	$1		-	$213	$84
				EBITDA multiple	$3		-	$4	$3
Corporate debt securities	$	23,269	Market approach	Price	$69				—
			Scenario analysis	Estimated recovery percentage	22%				—
CDOs and CLOs	$	27,936	Discounted cash flows	Constant prepayment rate	2	%	-	20%	19%
				Constant default rate	1	%	-	2%	2%
				Loss severity	25	%	-	50%	28%
				Discount rate/yield	6	%	-	26%	17%
RMBS	$	28,317	Discounted cash flows	Cumulative loss rate	2	%	-	32%	5%
				Duration (years)	1.0		-	13.0	9.7
				Discount rate/yield	4	%	-	14%	5%
CMBS	$	4,663	Scenario analysis	Estimated recovery percentage	44%				—
Other ABS	$	63,337	Discounted cash flows	Cumulative loss rate	7	%	-	72%	18%
				Duration (years)	0.3		-	4.2	1.8
				Discount rate/yield	4	%	-	15%	10%
			Market approach	Price	$100				—
Loans and other receivables	$	104,212	Market approach	Price	$6		-	$100	$76
			Scenario analysis	Estimated recovery percentage	2	%	-	100%	62%
Derivatives	$	50,637
Loans total return swaps			Market approach	Price	$97		-	$99	$98
Interest rate swaps			Market approach	Basis points upfront	3		-	20	9
Investments at fair value	$	49,881
Private equity securities			Market approach	Price	$6		-	$169	$50
			Scenario analysis	Estimated recovery percentage	33%				—
Financial Instruments Sold, Not Yet Purchased:
Corporate equity securities	$	4,367	Market approach	Transaction level	$1				—
Corporate debt securities	$	148	Scenario analysis	Estimated recovery percentage	22%				—
Loans	$	46,594	Market approach	Price	$31		-	$97	$70
			Scenario analysis	Estimated recovery percentage	2%				—
Derivatives	$	69,615
Equity options			Volatility benchmarking	Volatility	32	%	-	46%	39%
Interest rate swaps			Market approach	Basis points upfront	3		-	20	9
Unfunded commitments				Price	$97		-	$99	$98
Other secured financings	$	3,402	Scenario analysis	Estimated recovery percentage	60	%	-	100%	79%
Long-term debt
Structured notes	$	630,260	Market approach	Price	$77		-	$105	$99
				Price	€69		-	€107	€91

November 30, 2019
Financial Instruments Owned	Fair Value (in thousands)	Valuation Technique	Significant Unobservable Input(s)	Input / Range				Weighted Average
Corporate equity securities	$29,017
Non-exchange-traded securities		Market approach	Price	$1		-	$140	$55
			Underlying stock price	$3		-	$5	$4
Corporate debt securities	$7,490	Scenario analysis	Estimated recovery percentage	23	%	-	85%	46%
			Volatility	44%				—
			Credit spread	750				—
			Underlying stock price	£0.4				—
CDOs and CLOs	$20,081	Discounted cash flows	Constant prepayment rate	20%				—
			Constant default rate	1	%	-	2%	2%
			Loss severity	25	%	-	37%	29%
			Discount rate/yield	12	%	-	21%	15%
RMBS	$17,740	Discounted cash flows	Cumulative loss rate	2%				—
			Duration (years)	6.3				—
			Discount rate/yield	3%				—
CMBS	$6,110	Discounted cash flows	Cumulative loss rate	7.3%				—
			Duration (years)	0.2				—
			Discount rate/yield	85%				—
		Scenario analysis	Estimated recovery percentage	44%				—
Other ABS	$42,563	Discounted cash flows	Cumulative loss rate	7	%	-	31%	16%
			Duration (years)	0.5		-	3.0	1.5
			Discount rate/yield	7	%	-	15%	11%
Loans and other receivables	$62,734	Market approach	Price	$36		-	$100	$90
		Scenario analysis	Estimated recovery percentage	87	%	-	104%	99%
Derivatives	$13,826
Interest rate swaps		Market approach	Basis points upfront	0		-	16	6
Unfunded commitments			Price	$88				—
Equity options		Volatility benchmarking	Volatility	45%				—
Investments at fair value	$75,736
Private equity securities		Market approach	Price	$8		-	$250	$125
Securities purchased under agreements to resell	$25,000
		Market approach	Spread to 6 month LIBOR	500				—
			Duration (years)	1.5				—
Financial Instruments Sold, Not Yet Purchased:
Corporate equity securities	$4,487	Market approach	Transaction level	$1				—
Loans	$9,463	Market approach	Price	$50		-	$100	$88
		Scenario analysis	Estimated recovery percentage	1%				—
Derivatives	$92,057
Equity options		Volatility benchmarking	Volatility	21	%	-	61%	43%
Interest rate swaps		Market approach	Basis points upfront	0		-	22	13
Cross currency swaps			Basis points upfront	2				—
Unfunded commitments			Price	$88				—
Long-term debt
Structured notes	$480,069	Market approach	Price	$84		-	$108	$96
			Price	€74		-	€103	€91

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 Short-term borrowing, Other secured financings and Long-term debt measured at fair value under the fair value option (in thousands):

	Three Months Ended   August 31,						Nine Months Ended   August 31,
	2020			2019			2020			2019
Financial instruments owned:
Loans and other receivables	$	1,704		$	2,040		$	(11,256	)	$	(5,458	)
Financial instruments sold, not yet purchased:
Loans	$	367		$	—		$	(610	)	$	—
Loan commitments	1,875			(443		)	464			(1,200		)
Short-term borrowings:
Changes in instrument specific credit risk (1)	$	(23	)	$	—		$	(92	)	$	—
Other changes in fair value (2)	(1,115		)	—			(959		)	—
Other secured financings
Other changes in fair value (2)	$	617		$	—		$	617		$	—
Long-term debt:
Changes in instrument specific credit risk (1)	$	(177,801	)	$	6,922		$	49,369		$	34,414
Other changes in fair value (2)	(9,943		)	(46,003		)	(78,567		)	(93,311		)

(1) Changes in instrument specific credit risk related to structured notes are included in our Consolidated Statements of Comprehensive Income, net of tax.

(2) Other changes in fair value are included in Principal transactions revenues in our Consolidated Statements of Earnings.

The following is a summary of the amount by which contractual principal exceeds fair value for loans and other receivables, short-term borrowings, other secured financings and long-term debt measured at fair value under the fair value option (in thousands):

	August 31, 2020		November 30, 2019
Financial instruments owned:
Loans and other receivables (1)	$	1,839,249	$	1,546,516
Loans and other receivables on nonaccrual status and/or 90 days or greater past due (1) (2)	334,504		197,215
Long-term debt and short-term borrowings	74,197		74,408
Other secured financings	923		—

(1) Interest income is recognized separately from other changes in fair value and is included in Interest revenues in our Consolidated Statements of Earnings.

(2) Amounts include loans and other receivables 90 days or greater past due by which contractual principal exceeds fair value of $29.0 million and $22.2 million at August 31, 2020 and November 30, 2019, respectively.