Fair Value Disclosures (Tables)

3 Months Ended

Feb. 28, 2013

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 as of February 28, 2013 and November 30, 2012 by level within the fair value hierarchy (in thousands):

	February 28, 2013
	Level 1 (1)		Level 2 (1)		Level 3			Counterparty and Cash Collateral Netting (2)			Total
Assets:
Financial instruments owned:
Corporate equity securities	$	1,443,328	$	232,045	$	13,234		$	—		$	1,688,607
Corporate debt securities		—		3,339,644		31,820			—			3,371,464
Collateralized debt obligations		—		115,145		29,776			—			144,921
U.S. government and federal agency securities		776,846		132,794		—			—			909,640
Municipal securities		—		603,957		—			—			603,957
Sovereign obligations		2,041,200		1,455,658		—			—			3,496,858
Residential mortgage-backed securities		—		3,620,210		169,426			—			3,789,636
Commercial mortgage-backed securities		—		915,820		17,794			—			933,614
Other asset-backed securities		—		69,904		1,252			—			71,156
Loans and other receivables		—		797,374		170,986			—			968,360
Derivatives		445,895		1,491,718		220			(1,730,913	)		206,920
Investments at fair value		—		1,036		70,067			—			71,103
Physical commodities		—		157,299		—			—			157,299
Total financial instruments owned	$	4,707,269	$	12,932,604	$	504,575		$	(1,730,913	)	$	16,413,535
Level 3 financial instruments for which the firm does not bear economic exposure (3)						(38,771	)
Level 3 financial instruments for which the firm bears economic exposure					$	465,804
Cash and cash equivalents	$	3,017,958	$	—	$	—		$	—		$	3,017,958
Investments in managed funds	$	—	$	—	$	59,976		$	—		$	59,976
Cash and securities segregated and on deposit for regulatory purposes (4)	$	3,728,742	$	—	$	—		$	—		$	3,728,742
Securities received as collateral	$	25,338	$	—	$	—		$	—		$	25,338
Total Level 3 assets for which the firm bears economic exposure					$	525,780
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	1,697,826	$	236,320	$	38		$	—		$	1,934,184
Corporate debt securities		—		1,845,617		—			—			1,845,617
U.S. government and federal agency securities		2,567,397		—		—			—			2,567,397
Sovereign obligations		1,268,489		1,209,355		—			—			2,477,844
Residential mortgage-backed securities		—		94,532		1,542			—			96,074
Commercial mortgage-backed securities		—		1,811		—			—			1,811
Other asset-backed securities		—		3,695		—			—			3,695
Loans		—		444,609		7,398			—			452,007
Derivatives		435,602		1,640,905		11,405			(1,867,215	)		220,697
Physical commodities		—		167,550		—			—			167,550
Total financial instruments sold, not yet purchased	$	5,969,314	$	5,644,394	$	20,383		$	(1,867,215	)	$	9,766,876
Obligation to return securities received as collateral	$	25,338	$	—	$	—		$	—		$	25,338

(1) There were no transfers between Level 1 and Level 2 for the three months ended February 28, 2013.

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

(3) Consists of Level 3 assets attributable to third party or employee noncontrolling interests in certain consolidated entities.

(4) Includes U.S. government securities segregated for regulatory purposes with a fair value of $357.2 million.

	November 30, 2012
	Level 1 (1)		Level 2 (1)		Level 3			Counterparty and Cash Collateral Netting (2)			Total
Assets:
Financial instruments owned:
Corporate equity securities	$	1,608,715	$	137,245	$	16,815		$	—		$	1,762,775
Corporate debt securities		—		3,034,515		3,631			—			3,038,146
Collateralized debt obligations		—		87,239		31,255			—			118,494
U.S. government and federal agency securities		1,720,617		115,310		—			—			1,835,927
Municipal securities		—		619,969		—			—			619,969
Sovereign obligations		1,722,044		975,810		—			—			2,697,854
Residential mortgage-backed securities		—		4,008,844		156,069			—			4,164,913
Commercial mortgage-backed securities		—		1,060,333		30,202			—			1,090,535
Other asset-backed securities		—		93,228		1,114			—			94,342
Loans and other receivables		—		497,918		180,393			—			678,311
Derivatives		615,024		1,547,984		328			(1,865,250	)		298,086
Investments at fair value		—		43,126		83,897			—			127,023
Physical commodities		—		144,016		—			—			144,016
Total financial instruments owned	$	5,666,400	$	12,365,537	$	503,704		$	(1,865,250	)	$	16,670,391
Level 3 financial instruments for which the firm does not bear economic exposure (3)						(53,289	)
Level 3 financial instruments for which the firm bears economic exposure					$	450,415
Cash and cash equivalents	$	2,692,595	$	—	$	—		$	—		$	2,692,595
Investments in managed funds	$	—	$	—	$	57,763		$	—		$	57,763
Cash and securities segregated and on deposit for regulatory purposes (4)	$	4,082,595	$	—	$	—		$	—		$	4,082,595
Total Level 3 assets for which the firm bears economic exposure					$	508,178
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	1,442,347	$	96,947	$	38		$	—		$	1,539,332
Corporate debt securities		—		1,389,312		—			—			1,389,312
U.S. government and federal agency securities		1,428,746		250,387		—			—			1,679,133
Sovereign obligations		1,395,355		591,624		—			—			1,986,979
Residential mortgage-backed securities		—		239,063		—			—			239,063
Commercial mortgage-backed securities		—		2,148		—			—			2,148
Loans		—		205,516		1,711			—			207,227
Derivatives		547,605		1,684,884		9,516			(2,012,878	)		229,127
Physical commodities		—		183,142		—			—			183,142
Total financial instruments sold, not yet purchased	$	4,814,053	$	4,643,023	$	11,265		$	(2,012,878	)	$	7,455,463

(1) There were no transfers between Level 1 and Level 2 for the year ended November 30, 2012.

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

(3) Consists of Level 3 assets attributable to third party or employee noncontrolling interests in certain consolidated entities.

(4) Includes U.S. government securities segregated for regulatory purposes with a fair value of $404.3 million.

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 at February 28, 2013 and November 30, 2012 (in thousands):

	February 28, 2013
	Fair Value (7)		Unfunded Commitments		Redemption Frequency (if currently eligible)
Equity Long/Short Hedge Funds (1)	$	20,003	$	—	Monthly, Quarterly
High Yield Hedge Funds(2)		327		—	—
Fund of Funds(3)		394		106	—
Equity Funds(4)		71,883		47,460	—
Convertible Bond Funds(5)		2,916		—	At Will
Other Investments(6)		17		—	Bi-Monthly
Total(8)	$	95,540	$	47,566

	November 30, 2012
	Fair Value (7)		Unfunded Commitments		Redemption Frequency (if currently eligible)
Equity Long/Short Hedge Funds (1)	$	19,554	$	—	Monthly, Quarterly
High Yield Hedge Funds(2)		612		—	—
Fund of Funds(3)		604		106	—
Equity Funds(4)		69,223		59,272	—
Convertible Bond Funds(5)		3,002		—	At Will
Other Investments(6)		19		—	Bi-Monthly
Total(8)	$	93,014	$	59,378

(1) This category includes investments in hedge funds that invest, long and short, in equity securities in domestic and international markets in both the public and private sectors. At February 28, 2013 and November 30, 2012, investments representing approximately 98% and 96%, respectively, of the fair value of investments in this category are redeemable with 30—65 days prior written notice, and includes investments in private asset management funds managed by us with an aggregate fair value of $0.5 million in both periods. The remaining investments in this category cannot be redeemed as they are in liquidation and distributions will be received through the liquidation of the underlying assets of the funds. We are unable to estimate when the underlying assets will be liquidated.

(2) Includes investments in funds that invest in 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. The underlying assets of the funds are being liquidated and we are unable to estimate when the underlying assets will be fully liquidated.

(3) Includes investments in fund of funds that invest in various private equity funds. At February 28, 2013 and November 30, 2012, approximately 94%, of the fair value of investments in this category is managed by us and has no redemption provisions, instead distributions are received through the liquidation of the underlying assets of the fund of funds, which are estimated to be liquidated in one to two years. As of February 28, 2013 and November 30, 2012, we have requested redemption for investments representing approximately 6% of the fair value of investments in this category; however, we are unable to estimate when these funds will be received.

(4) At February 28, 2013 and November 30, 2012, investments representing approximately 98% of 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 eight years. At February 28, 2013 and November 30, 2012, investments representing approximately 2% of the fair value of investments in equity funds are in liquidation and we are unable to estimate when the underlying assets will be fully liquidated. At February 28, 2013 and November 30, 2012, this category includes investments in equity funds managed by us with a fair value of $58.1 million and $55.6 million and unfunded commitments of $45.8 million and $56.9 million, respectively.

(5) Investment in the Jefferies Umbrella Fund, an open-ended investment company managed by us that invests primarily in convertible bonds. The investment is redeemable with 5 days prior written notice.

(6) Other investments at February 28, 2013 and November 30, 2012 included investments in funds that invest in commodity futures and options contracts.

(7) Fair value has been estimated using the net asset value derived from each of the funds’ capital statements.

(8) Investments at fair value in the Consolidated Statements of Financial Condition at February 28, 2013 and November 30, 2012 include $35.5 million and $91.8 million, respectively, of direct investments which do not have the characteristics of investment companies and therefore not included within this table.

Summary of Valuation Bases (Pricing Information) for Financial Instruments

At February 28, 2013 and November 30, 2012, our Financial instruments owned and Financial instruments sold, not yet purchased are measured using different valuation bases as follows:

	February 28, 2013						November 30, 2012
	Financial Instruments Owned			Financial Instruments Sold, Not Yet Purchased			Financial Instruments Owned			Financial Instruments Sold, Not Yet Purchased
Exchange closing prices		9	%		17	%		11	%		19	%
Recently observed transaction prices		4	%		4	%		5	%		6	%
External pricing services		72	%		75	%		70	%		71	%
Broker quotes		1	%		0	%		1	%		0	%
Valuation techniques		14	%		4	%		13	%		4	%
		100	%		100	%		100	%		100	%

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 three months ended February 28, 2013 (in thousands):

	Three Months Ended February 28, 2013
	Balance, November 30, 2012		Total gains/ losses (realized and unrealized) (1)			Purchases			Sales			Settlements			Net transfers into/ (out of) Level 3			Balance, February 28, 2013		Change in unrealized gains/ (losses) relating to instruments still held at February 28, 2013 (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	16,815	$	200		$	707		$	109		$	—		$	(4,597	)	$	13,234	$	172
Corporate debt securities		3,631		7,836			11,510			(1,918	)		—			10,761			31,820		7,833
Collateralized debt obligations		31,255		3,624			9,406			(17,374	)		—			2,865			29,776		(1,125	)
Residential mortgage-backed securities		156,069		11,906			132,773			(130,143	)		(6,057	)		4,878			169,426		4,511
Commercial mortgage-backed securities		30,202		(995	)		2,280			(2,866	)		(1,188	)		(9,639	)		17,794		(2,059	)
Other asset-backed securities		1,114		50			1,627			(1,342	)		(19	)		(178	)		1,252		(1	)
Loans and other receivables		180,393		(8,682	)		105,650			(29,828	)		(61,407	)		(15,140	)		170,986		(12,374	)
Investments, at fair value		83,897		961			952			(4,923	)		(9,721	)		(1,099	)		70,067		1,171
Investments in managed funds		57,763		(363	)		11,068			—			(8,492	)		—			59,976		(363	)
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	38	$	—		$	—		$	—		$	—		$	—		$	38	$	—
Residential mortgage-backed securities		—		25			(73,846	)		75,363			—			—			1,542		(19	)
Net derivatives (2)		9,188		2,648			—			—			—			(651	)		11,185		2,648
Loans		1,711		—			(1,711	)		7,398			—			—			7,398		—

(1) Realized and unrealized gains/losses are reported in Principal transactions 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 three months ended February 29, 2012 (in thousands):

	Three Months Ended February 29, 2012 (3)
	Balance, November 30, 2011		Total gains/ losses (realized and unrealized) (1)			Purchases			Sales			Settlements			Net transfers into/ (out of) Level 3			Balance, February 29, 2012		Change in unrealized gains/ (losses) relating to instruments still held at February 29, 2012 (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	13,489	$	1,684		$	14,184		$	—		$	—		$	912		$	30,269	$	1,685
Corporate debt securities		48,140		671			271			(22,300	)		(1,276	)		8,100			33,606		(737	)
Collateralized debt obligations		47,988		(796	)		—			(14,063	)		(3,328	)		42,775			72,576		(1,488	)
Municipal securities		6,904		(71	)		—			(740	)		—			(4,917	)		1,176		12
Sovereign obligations		140		—			—			—			—			—			140		—
Residential mortgage-backed securities		149,965		(6,492	)		10,497			(44,282	)		(6,881	)		25,944			128,751		(5,995	)
Commercial mortgage-backed securities		52,407		(1,655	)		—			(3,593	)		(44	)		(11,323	)		35,792		(1,419	)
Other asset-backed securities		3,284		(104	)		—			(197	)		(40	)		2,446			5,389		(76	)
Loans and other receivables		97,291		1,899			48,309			(21,733	)		(25,729	)		4,412			104,449		643
Investments, at fair value		78,326		1,378			480			(1,797	)		(277	)		—			78,110		1,378
Investments in managed funds		70,740		(6,212	)		8,499			(12	)		—			—			73,015		(6,212	)
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	—	$	—		$	—		$	11,511		$	—		$	—		$	11,511	$	—
Corporate debt securities		74		—			—			—			—			—			74		—
Net derivatives (2)		9,285		1,512			(295	)		—			—			(2,192	)		8,310		2,736
Loans		10,157		—			(10,157	)		—			—			—			—		—

(1) Realized and unrealized gains/losses are reported in Principal transactions in the Consolidated Statements of Earnings.

(2) Net derivatives represent Financial instruments owned – Derivatives and Financial instruments sold, not yet purchased – Derivatives.

(3) There were no issuances during the three months ended February 29, 2012.

Quantitative Information about Significant Unobservable Inputs Used in Level 3 Fair Value Measurements

The disclosed inputs when compared with the inputs as disclosed in other quarters 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.

February 28, 2013
Financial Instruments Owned	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input /Range		Weighted Average
Corporate equity securities	$	13,234
Non-exchange traded securities			Market approach	EBITDA (a) multiple		6.0 to 13.0		9.9
			Scenario analysis	Estimated recovery percentage		30%		—
Warrants			Option model	Volatility		34%		—
Corporate debt securities	$	31,820
			Scenario analysis	Estimated recovery percentage		25%		—
			Comparable pricing	Comparable bond or loan price		$65.50 to $76.50	$	72.10
			Market approach	Yield		8% to 16%		9	%
Collateralized debt obligations	$	20,676
			Discounted cash flows	Constant prepayment rate		0% to 5%		0.5	%
				Constant default rate		0% to 10%		3	%
				Loss severity		13% to 100%		41	%
				Yield		10% to 73%		34	%
Residential mortgage-backed	$	169,426
			Discounted cash flows	Constant prepayment rate		0% to 27%		5	%
				Constant default rate		1% to 50%		7	%
				Loss severity		25% to 95%		52	%
				Yield		0% to 37%		10	%
				Cumulative loss rate		7% to 37%		13	%
Commercial mortgage-backed	$	17,794
			Discounted cash flows	Yield		20% to 88%		37	%
				Cumulative loss rate		2% to 21%		14	%
Other asset-backed securities	$	1,252
			Discounted cash flows	Yield		7%		—
Loans and other receivables	$	164,188
			Comparable pricing	Comparable bond or loan price		$96.25 to $101.25	$	100.35
			Discounted cash flows	Yield		19%		—
				Cumulative loss rate		0%		—
			Market approach	Yield		5% to 25%		11	%
				EBITDA (a) multiple		6.5		—
			Scenario analysis	Estimated recovery percentage		15% to 61%		53	%
Investments at fair value	$	17,817
Private equity securities			Market approach	EBITDA (a) multiple		8.1		—
			Comparable pricing	Comparable share price	$	400.00		—

Financial Instruments Sold, Not Yet Purchased	Fair Value (in thousands)			Valuation Technique	Significant Unobservable Input(s)	Input /Range		Weighted Average
Derivatives	$	(11,405	)
Equity options				Option model	Volatility		34%		—
Loan commitments				Comparable pricing	Comparable bond or loan price	$	101.13		—

(a) Earnings before interest, taxes, depreciation and amortization (“EBITDA”).

November 30, 2012
Financial Instruments Owned	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Range
Corporate equity securities	$	16,815
Non-exchange traded securities			Market approach	EBITDA (a) multiple	4.0 to 16.3
			Scenario analysis	Estimated recovery percentage	35%
Warrants			Option model	Volatility	39%
Collateralized debt obligations	$	26,705
			Discounted cash flows	Constant prepayment rate	0% to 5%
				Constant default rate	0% to 10%
				Loss severity	13% to 75%
				Yield	10% to 35%
Residential mortgage-backed securities	$	156,069
			Discounted cash flows	Constant prepayment rate	0% to 25%
				Constant default rate	0% to 50%
				Loss severity	0% to 80%
				Yield	1% to 50%
Commercial mortgage-backed securities	$	30,202
			Discounted cash flows	Yield	22% to 57%
				Cumulative loss rate	2% to 20%
Loans and other receivables	$	153,365
			Comparable pricing	Comparable bond or loan price	$81.88 to $101.25
			Discounted cash flows	Yield	19%
				Cumulative loss rate	0%
			Market approach	Yield	5% to 54%
				EBITDA (a) multiple	8.3
			Scenario analysis	Estimated recovery percentage	15%
Investments at fair value	$	32,751
Private equity securities			Market approach	EBITDA (a) multiple	6.6
			Comparable pricing	Comparable share price	$400.00
			Scenario analysis	Estimated recovery percentage	50%

Financial Instruments Sold, Not Yet Purchased	Fair Value (in thousands)			Valuation Technique	Significant Unobservable Input(s)	Range
Derivatives	$	(9,516	)
Equity options				Option model	Volatility		39%
Loan commitments				Comparable pricing	Comparable bond or loan price	$	101.13

(a) Earnings before interest, taxes, depreciation and amortization (“EBITDA”).

Summary of Gains (Losses) Due to Changes in Instrument Specific Credit Risk for Loans and Other Receivables and Loan Commitments Measured at Fair Value under Fair Value Option

The following is a summary of gains (losses) due to changes in instrument specific credit risk on loans and other receivables and loan commitments measured at fair value under the fair value option (in thousands):

	Three Months Ended
	February 28, 2013		February 29, 2012
Financial Instruments Owned:
Loans and other receivables	$	3,924	$	7,811
Financial Instruments Sold:
Loans	$	—	$	226
Loan commitments		(2,746)		(654	)

Summary of Amount by Which Contractual Principal Exceeds Fair Value for Loans and Other Receivables Measured at Fair Value under Fair Value Option

The following is a summary of the amount by which contractual principal exceeds fair value for loans and other receivables measured at fair value under the fair value option (in thousands):

	February 28, 2013			November 30, 2012
Financial Instruments Owned:
Loans and other receivables (2)	$	(258,406	)	$	(256,271	)
Loans greater than 90 days past due (1) (2)		—			10,433

(1) The aggregate fair value of loans that were 90 or more days past due was $- 0 - million and $34.7 million at February 28, 2013 and November 30, 2012.

(2) Interest income is recognized separately from other changes in fair value and is included within Interest revenues on the Consolidated Statements of Earnings.