Fair Value Disclosures (Tables)

9 Months Ended

Sep. 30, 2016

Fair Value Disclosures [Abstract]

Schedule Of Assets And Liabilities Measured On Recurring Basis At Fair Value

The following is a summary of our financial instruments and trading liabilities that are accounted for at fair value on a recurring basis, excluding Investments at fair value based on net asset value ("NAV") of $29.5 million and $36.7 million, respectively, by level within the fair value hierarchy at September 30, 2016 and December 31, 2015 (in thousands):

	September 30, 2016
	Level 1 (1)		Level 2 (1)		Level 3		Counterparty and Cash Collateral Netting (2)			Total
Assets:
Trading assets, at fair value:
Corporate equity securities	$	2,837,849	$	111,068	$	22,195	$	—		$	2,971,112
Corporate debt securities	—		2,494,303		35,007		—			2,529,310
CDOs and CLOs	—		99,794		44,070		—			143,864
U.S. government and federal agency securities	3,029,251		114,601		—		—			3,143,852
Municipal securities	—		550,210		27,257		—			577,467
Sovereign obligations	904,592		1,130,443		—		—			2,035,035
Residential mortgage-backed securities	—		1,331,959		46,881		—			1,378,840
Commercial mortgage-backed securities	—		320,912		24,593		—			345,505
Other asset-backed securities	—		116,388		61,112		—			177,500
Loans and other receivables	—		1,323,092		78,457		—			1,401,549
Derivatives	3,232		6,230,482		9,560		(5,887,874		)	355,400
Investments at fair value	—		—		300,909		—			300,909
Investment in FXCM	—		—		207,400		—			207,400
Total trading assets, excluding Investments at fair value based on NAV	$	6,774,924	$	13,823,252	$	857,441	$	(5,887,874	)	$	15,567,743
Available for sale securities:
Corporate equity securities	$	77,372	$	—	$	—	$	—		$	77,372
Corporate debt securities	—		1,519		—		—			1,519
U.S. government securities	226,093		—		—		—			226,093
Residential mortgage-backed securities	—		21,868		—		—			21,868
Commercial mortgage-backed securities	—		4,687		—		—			4,687
Other asset-backed securities	—		19,127		—		—			19,127
Total available for sale securities	$	303,465	$	47,201	$	—	$	—		$	350,666
Cash and cash equivalents	$	3,278,975	$	—	$	—	$	—		$	3,278,975
Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations (3)	$	1,026,865	$	—	$	—	$	—		$	1,026,865
Liabilities:
Trading liabilities:
Corporate equity securities	$	1,718,634	$	58,834	$	38	$	—		$	1,777,506
Corporate debt securities	—		1,704,627		523		—			1,705,150
U.S. government and federal agency securities	1,213,672		—		—		—			1,213,672
Sovereign obligations	940,451		1,432,580		—		—			2,373,031
Loans	—		538,180		848		—			539,028
Derivatives	373		6,339,818		20,607		(5,970,029		)	390,769
Total trading liabilities	$	3,873,130	$	10,074,039	$	22,016	$	(5,970,029	)	$	7,999,156
Other secured financings	$	—	$	53,318	$	268	$	—		$	53,586
Long-term debt:
Structured notes	$	—	$	204,422	$	—	$	—		$	204,422

	December 31, 2015
	Level 1 (1)		Level 2 (1)		Level 3		Counterparty and Cash Collateral Netting (2)			Total
Assets:
Trading assets, at fair value:
Corporate equity securities	$	2,803,243	$	133,732	$	40,906	$	—		$	2,977,881
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	2,253		4,406,207		19,785		(4,165,446		)	262,799
Investments at fair value	—		26,224		199,794		—			226,018
Investment in FXCM	—		—		625,689		—			625,689
Total trading assets, excluding Investments at fair value based on NAV	$	6,611,880	$	14,495,857	$	1,314,065	$	(4,165,446	)	$	18,256,356
Available for sale securities:
Corporate equity securities	$	73,579	$	—	$	—	$	—		$	73,579
Corporate debt securities	—		4,744		—		—			4,744
U.S. government securities	63,945		—		—		—			63,945
Residential mortgage-backed securities	—		23,240		—		—			23,240
Commercial mortgage-backed securities	—		2,374		—		—			2,374
Other asset-backed securities	—		39,473		—		—			39,473
Total available for sale securities	$	137,524	$	69,831	$	—	$	—		$	207,355
Cash and cash equivalents	$	3,638,648	$	—	$	—	$	—		$	3,638,648
Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations	$	751,084	$	—	$	—	$	—		$	751,084
Liabilities:
Trading liabilities:
Corporate equity securities	$	1,428,048	$	36,518	$	38	$	—		$	1,464,604
Corporate debt securities	—		1,556,941		—		—			1,556,941
U.S. government and federal agency securities (4)	1,488,121		—		—		—			1,488,121
Sovereign obligations (4)	837,614		505,382		—		—			1,342,996
Residential mortgage-backed securities (4)	—		117		—		—			117
Loans	—		758,939		10,469		—			769,408
Derivatives	364		4,456,334		19,543		(4,257,998		)	218,243
Total trading liabilities	$	3,754,147	$	7,314,231	$	30,050	$	(4,257,998	)	$	6,840,430
Other secured financings (5)	$	—	$	67,801	$	544	$	—		$	68,345

(1) There were no material transfers between Level 1 and Level 2 during the nine months ended September 30, 2016 and during the year ended December 31, 2015.

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

(3) Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations includes U.S. treasury securities with a fair value of $99.9 million at September 30, 2016.

(4) There was an immaterial revision in the row labeling in our Annual Report on Form 10-K, for the year ended December 31, 2015 and our Quarterly Reports on Form 10-Q for the periods ended March 31, 2016 and June 30, 2016. We have revised the labels to "U.S. government and federal agency securities" (originally reported as "Collateralized debt obligations"), "Sovereign obligations" (originally reported as "U.S. government and federal agency securities") and "Residential mortgage-backed securities" (originally reported as "Sovereign obligations").

(5) 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 December 31, 2015.

Investments Measured At Fair Value Based On Net Asset Value

The following tables present information about our investments in entities that have the characteristics of an investment company and are measured based on NAV (in thousands).

	Fair Value (1)		Unfunded Commitments		Redemption Frequency (if currently eligible)
September 30, 2016
Equity Long/Short Hedge Funds (2)	$	411,474	$	—	(2)
Fixed Income and High Yield Hedge Funds (3)	807		—		—
Fund of Funds (4)	226		—		—
Equity Funds (5)	41,716		20,295		—
Multi-asset Funds (6)	132,248		—		Monthly, Quarterly
Total	$	586,471	$	20,295
December 31, 2015(7)
Equity Long/Short Hedge Funds (2)	$	430,207	$	—	(2)
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)	165,821		—		Monthly, Quarterly
Convertible Bond Funds (8)	326		—		At Will
Total	$	640,455	$	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, in primarily equity securities in domestic and international markets in both the public and private sectors.  At September 30, 2016 and December 31, 2015, investments with a fair value of $73.9 million and $54.7 million are redeemable with 30 to 90 days prior written notice. At September 30, 2016 and December 31, 2015, this category also includes investments in funds with broad industry and geographic diversification.  Investment in these funds are subject to a lock-up until August 15, 2019, subject to certain release events and other withdrawal rights.  Following this date, investments can be redeemed as of any calendar quarter-end with no less than 45 calendar days’ notice, subject to certain limitations.  At September 30, 2016 and December 31, 2015, our investments in these funds had an aggregate fair value of $336.8 million and $375.5 million, respectively.

(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 December 31, 2015, the underlying assets of 8% of these funds are 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 September 30, 2016 and December 31, 2015, approximately 98% and 95%, respectively, of the fair value of investments in this category is managed by us and has 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 September 30, 2016 and December 31, 2015, approximately 99% and 100%, respectively, 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. 

(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 September 30, 2016 and December 31, 2015, investments representing approximately 12% and 32%, respectively, of the fair value of investments in this category are redeemable with 30 to 90 days prior written notice.

(7) Certain 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) Investment in the Jefferies Umbrella Fund, an open-ended investment company managed by Jefferies that invested primarily in convertible bonds.  The underlying assets were fully liquidated during the nine months ended September 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 nine months ended September 30, 2016 (in thousands):

Nine Months Ended September 30, 2016
	Balance, December 31, 2015			Total gains (losses) (realized and unrealized) (1)			Purchases		Sales			Settlements			Issuances		Net transfers into (out of) Level 3			Balance at September 30, 2016		Changes in unrealized gains (losses) relating to instruments still held at September 30, 2016 (1)
Assets:
Trading assets:
Corporate equity securities	$	40,906		$	(8,388	)	$	5,225	$	(49	)	$	—		$	—	$	(15,499	)	$	22,195	$	(727	)
Corporate debt securities	25,876			5,239			29,629		(20,331		)	—			—		(5,406		)	35,007		1,456
CDOs and CLOs	85,092			(24,356		)	61,707		(69,397		)	(605		)	—		(8,371		)	44,070		(13,196		)
Municipal securities	—			(1,462		)	—		—			—			—		28,719			27,257		(1,462		)
Sovereign obligations	120			5			—		(125		)	—			—		—			—		—
Residential mortgage-backed securities	70,263			(7,243		)	1,948		(13,203		)	(1,078		)	—		(3,806		)	46,881		228
Commercial mortgage-backed securities	14,326			(4,606		)	1,256		(2,023		)	—			—		15,640			24,593		(3,337		)
Other asset-backed securities	42,925			(2,420		)	66,503		(60,525		)	(6,678		)	—		21,307			61,112		(9,993		)
Loans and other receivables	189,289			(30,843		)	305,920		(206,587		)	(163,913		)	—		(15,409		)	78,457		(27,714		)
Investments at fair value	199,794			46,644			29,727		(485		)	(834		)	—		26,063			300,909		53,711
Investment in FXCM (2)	625,689			(58,335		)	—		—			(359,954		)	—		—			207,400		3,852
Liabilities:
Trading liabilities:
Corporate equity securities	$	38		$	—		$	—	$	—		$	—		$	—	$	—		$	38	$	—
Corporate debt securities	—			(27		)	—		550			—			—		—			523		—
Net derivatives (3)	(242		)	3,104			—		11,101			(14		)	1,606		(4,508		)	11,047		(5,745		)
Loans	10,469			7			—		681			(213		)	—		(10,096		)	848		45
Other secured financings	544			(276		)	—		—			—			—		—			268		276

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

(2) Includes $334.5 million related to the settlement of our participation rights for equity ownership in FXCM on September 1, 2016. We classify the equity ownership as a Loan to and investment in associated company at September 30, 2016.

(3) Net derivatives represent Trading assets - Derivatives and Trading liabilities - 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 September 30, 2015 (in thousands):

Nine Months Ended September 30, 2015
	Balance, December 31, 2014			Total gains (losses) (realized and unrealized) (1)			Purchases			Sales			Settlements			Issuances		Net transfers into (out of) Level 3			Balance, September 30, 2015		Changes in unrealized gains (losses) relating to instruments still held at September 30, 2015 (1)
Assets:
Trading assets:
Corporate equity securities	$	20,964		$	10,247		$	22,631		$	(5,176	)	$	—		$	—	$	(10,164	)	$	38,502	$	10,210
Corporate debt securities	22,766			(5,425		)	83,613			(88,711		)	(1		)	—		12,089			24,331		(5,797		)
CDOs and CLOs	124,650			(28,999		)	63,038			(47,570		)	(20,481		)	—		(9,588		)	81,050		(22,654		)
Residential mortgage-backed securities	82,557			(6,776		)	30,865			(25,222		)	(358		)	—		5,356			86,422		(2,507		)
Commercial mortgage-backed securities	26,655			(2,053		)	3,366			(9,973		)	(6,981		)	—		4,133			15,147		(1,851		)
Other asset-backed securities	2,294			666			69,892			(40,000		)	(1,438		)	—		1,182			32,596		607
Loans and other receivables	97,258			(7,331		)	115,370			(40,978		)	(82,100		)	—		13,180			95,399		(8,850		)
Investments at fair value	77,047			87,254			—			(427		)	(3,818		)	—		53,462			213,518		32,016
Investment in FXCM	—			461,341			279,000			—			(127,341		)	—		—			613,000		461,341
Liabilities:
Trading liabilities:
Corporate equity securities	$	38		$	—		$	—		$	—		$	—		$	—	$	(38	)	$	—	$	—
Corporate debt securities	223			(1		)	(6,677		)	6,804			—			—		(123		)	226		(226		)
Net derivatives (2)	(4,638		)	3,022			(4,527		)	11,340			(30		)	1,901		95			7,163		(5,211		)
Loans	14,450			(102		)	(3,487		)	—			—			—		(490		)	10,371		102
Other secured financings	30,825			—			—			—			(15,674		)	36,995		(51,572		)	574		—

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

(2) Net derivatives represent Trading assets - Derivatives and Trading liabilities - Derivatives.

Quantitative Information About Significant Unobservable Inputs Used In Level 3 Fair Value Measurements

September 30, 2016
Financial Instruments Owned	Fair Value (in thousands)		Valuation  Technique	Significant Unobservable Input(s)	Input/Range	Weighted Average
Corporate equity securities	$	22,195
Non-exchange traded securities			Market approach	EBITDA (a) multiple	5.1 to 16.3	12.1
				Underlying stock price	$3 to $75	$	15.0
			Comparable pricing	Discount factor	60%	—
				Underlying stock price	$218	—
			Present value	Average silver production (tons per day)	783	—
Corporate debt securities	$	35,007	Convertible bond model	Discount rate/yield	9%	—
				Volatility	40%	—
			Market approach	Price	$30 to $100	$	65.0
CDOs and CLOs	$	32,832	Discounted cash flows	Constant prepayment rate	0% to 20%	17		%
				Constant default rate	2% to 7%	3		%
				Loss severity	25% to 75%	40		%
				Yield	3% to 35%	15		%
Municipal securities	$	27,257	Scenario analysis	Price	$4	—
Residential mortgage-backed securities	$	46,881	Discounted cash flows	Constant prepayment rate	0% to 25%	6		%
				Constant default rate	2% to 50%	4		%
				Loss severity	10% to 100%	55		%
				Yield	3% to 9%	5		%
Commercial mortgage-backed securities	$	24,593	Discounted cash flows	Yield	6% to 12%	9		%
				Cumulative loss rate	1% to 70%	25		%
Other asset-backed securities	$	61,112	Discounted cash flows	Constant prepayment rate	0% to 55%	24		%
				Constant default rate	0% to 9%	6		%
				Loss severity	0% to 100%	85		%
				Yield	3% to 15%	12		%
			Market approach	Price	$33,000,000 to $70,000,000	$	39,000,000
Loans and other receivables	$	52,216	Comparable pricing	Comparable loan price	$98	—
			Market approach	Discount rate/yield	2% to 3%	3		%
				EBITDA (a) multiple	3.6	—
			Scenario analysis	Estimated recovery percentage	6% to 82%	44		%
			Present value	Average silver production (tons per day)	783	—
Derivatives	$	9,560
Total return swaps			Comparable pricing	Comparable loan price	$100	—
Credit default swaps			Market approach	Credit spread	265 bps	—
Interest rate swaps			Market approach	Credit spread	800 bps	—
Investments at fair value
Private equity securities	$	53,083	Market approach	Transaction level	$250	—
				Discount rate	15% to 30%	23		%
Investment in FXCM
Term loan	$	207,400	Discounted cash flows	Term based on the pay off	0 months to .75 years	0.5 years
Trading Liabilities	Fair Value (in thousands)		Valuation  Technique	Significant Unobservable Input(s)	Input/Range	Weighted Average
Derivatives	$	20,607
Equity options			Option model	Volatility	45%	—
			Default rate	Default probability	0%	—
Unfunded commitments			Comparable pricing	Comparable loan price	$98	—
			Market approach	Discount rate/yield	3% to 56%	54		%
Total return swaps			Comparable pricing	Comparable loan price	$100	—
Variable funding note swaps			Discounted cash flows	Constant prepayment rate	20%	—
				Constant default rate	2%	—
				Loss severity	25%	—
				Yield	14%	—

December 31, 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 (a) multiple	4.4	—
				Transaction level	$1	—
				Underlying stock price	$5 to $102	$19.0
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% to 20%	13	%
				Constant default rate	2% to 8%	2	%
				Loss severity	25% to 90%	52	%
				Yield	6% to 13%	10	%
Residential mortgage-backed securities	$	70,263	Discounted cash flows	Constant prepayment rate	0% to 50%	13	%
				Constant default rate	1% to 9%	3	%
				Loss severity	25% to 70%	39	%
				Yield	1% to 9%	6	%
Commercial mortgage-backed securities	$	14,326	Discounted cash flows	Yield	7% to 30%	16	%
				Cumulative loss rate	2% to 63%	23	%
Other asset-backed securities	$	21,463	Discounted cash flows	Constant prepayment rate	6% to 8%	7	%
				Constant default rate	3% to 5%	4	%
				Loss severity	55% to 75%	62	%
				Yield	7% to 22%	18	%
			Over-collateralization	Over-collateralization percentage	117% to 125%	118	%
Loans and other receivables	$	161,470	Comparable pricing	Comparable loan price	$99 to $100	$99.7
			Market approach	Yield	2% to 17%	12	%
				EBITDA (a) multiple	10.0	—
			Scenario analysis	Estimated recovery percentage	6% to 100%	83	%
Derivatives	$	19,785
Commodity forwards			Market approach	Discount rate/yield	47%	—
				Transaction level	$9,500,000	—
Unfunded commitment			Comparable pricing	Comparable loan price	$100	—
			Market approach	Credit spread	298 bps	—
Total return swap			Comparable pricing	Comparable loan price	$91.7 to $92.4	$92.1
Investments at fair value
Private equity securities	$	29,940	Market approach	Transaction level	$64	—
				Enterprise value	$5,200,000	—
				Discount rate	15% to 30%	23	%
Investment in FXCM
Term loan	$	203,700	Discounted cash flows	Term based on the pay off	0 months to 1.0 year	0.4 years
Rights	422,000		Option pricing model	Volatility	110%	—
	$	625,700
Trading Liabilities	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input/Range	Weighted Average
Derivatives	$	19,543
Equity options			Option model	Volatility	45%	—
			Default rate	Default probability	0%	—
Unfunded commitments			Comparable pricing	Comparable loan price	$79 to $100	$82.6
			Market approach	Discount rate/yield	3% to 10%	10	%
			Discounted cash flows	Constant prepayment rate	20%	—
				Constant default rate	2%	—
				Loss severity	25%	—
				Yield	11%	—
Total return swap			Comparable pricing	Comparable loan price	$91.7 to $92.4	$92.1
Loans	$	10,469	Comparable pricing	Comparable loan price	$100	—

(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 Jefferies 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 for the three and nine months ended September 30, 2016 and 2015 (in thousands):

	For the Three Months Ended September 30,						For the Nine Months Ended September 30,
	2016			2015			2016			2015
Financial Instruments Owned:
Loans and other receivables	$	(24,874	)	$	(13,566	)	$	(48,658	)	$	(25,686	)
Financial Instruments Sold:
Loans	$	212		$	38		$	229		$	112
Loan commitments	$	4,769		$	(51	)	$	2,196		$	(1,673	)
Long-term Debt:
Changes in instrument specific credit risk (1)	$	(4,093	)	$	—		$	(7,848	)	$	—
Other changes in fair value (2)	$	3,225		$	—		$	13,530		$	—

(1) Changes in instrument-specific credit risk related to structured notes are included in the Consolidated Statements of Comprehensive Income (Loss).

(2) Other changes in fair value include $4.5 million and $15.2 million for the three and nine months ended September 30, 2016, respectively, included within Principal transactions revenues and $1.3 million and $1.7 million for the three and nine months ended September 30, 2016, respectively, included within Interest expense on the Consolidated Statements of Operations.

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 Jefferies 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):

	September 30, 2016		December 31, 2015
Financial Instruments Owned:
Loans and other receivables (1)	$	843,458	$	408,369
Loans and other receivables on nonaccrual status (1) (2)	$	223,581	$	54,652
Long-term Debt	$	7,485	$	—

(1) Interest income is recognized separately from other changes in fair value and is included within Interest income in the Consolidated Statements of Operations.

(2) Amounts include all loans and other receivables greater than 90 days past due of $59.7 million and $29.7 million at September 30, 2016 and December 31, 2015, respectively.