Fair Value Disclosures (Tables)

3 Months Ended

Mar. 31, 2017

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, trading liabilities and long-term debt that are accounted for at fair value on a recurring basis, excluding Investments at fair value based on net asset value ("NAV") (within trading assets) of $24.2 million and $24.3 million, respectively, by level within the fair value hierarchy at March 31, 2017 and December 31, 2016 (in thousands):

	March 31, 2017
	Level 1 (1)		Level 2 (1)		Level 3		Counterparty and Cash Collateral Netting (2)			Total
Assets:
Trading assets, at fair value:
Corporate equity securities	$	2,620,350	$	86,959	$	20,580	$	—		$	2,727,889
Corporate debt securities	—		2,422,480		33,467		—			2,455,947
CDOs and CLOs	—		39,899		45,354		—			85,253
U.S. government and federal agency securities	1,124,343		28,702		—		—			1,153,045
Municipal securities	—		714,104		26,554		—			740,658
Sovereign obligations	1,506,428		1,312,799		—		—			2,819,227
Residential mortgage-backed securities	—		1,400,215		39,259		—			1,439,474
Commercial mortgage-backed securities	—		565,494		20,653		—			586,147
Other asset-backed securities	—		113,881		37,702		—			151,583
Loans and other receivables	—		1,729,227		53,172		—			1,782,399
Derivatives	5,045		3,016,829		4,905		(2,826,763		)	200,016
Investments at fair value	—		—		307,830		—			307,830
FXCM term loan	—		—		132,800		—			132,800
Total trading assets, excluding investments at fair value based on NAV	$	5,256,166	$	11,430,589	$	722,276	$	(2,826,763	)	$	14,582,268
Available for sale securities:
Corporate equity securities	$	95,545	$	—	$	—	$	—		$	95,545
Corporate debt securities	—		179		—		—			179
U.S. government securities	293,142		—		—		—			293,142
Residential mortgage-backed securities	—		34,828		—		—			34,828
Commercial mortgage-backed securities	—		10,446		—		—			10,446
Other asset-backed securities	—		28,363		—		—			28,363
Total available for sale securities	$	388,687	$	73,816	$	—	$	—		$	462,503
Liabilities:
Trading liabilities:
Corporate equity securities	$	1,468,429	$	32,576	$	324	$	—		$	1,501,329
Corporate debt securities	—		1,544,945		523		—			1,545,468
U.S. government and federal agency securities	841,725		—		—		—			841,725
Sovereign obligations	1,500,854		1,485,616		—		—			2,986,470
Loans	—		1,491,488		1,036		—			1,492,524
Derivatives	7,710		3,171,881		11,318		(2,794,432		)	396,477
Total trading liabilities	$	3,818,718	$	7,726,506	$	13,201	$	(2,794,432	)	$	8,763,993
Other secured financings	$	—	$	34,100	$	87	$	—		$	34,187
Long-term debt - structured notes	$	—	$	310,057	$	—	$	—		$	310,057

	December 31, 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	$	2,522,977	$	92,839	$	21,739	$	—		$	2,637,555
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		4,616,822		6,429		(4,255,998		)	371,078
Investments at fair value	—		—		314,359		—			314,359
FXCM term loan	—		—		164,500		—			164,500
Total trading assets, excluding investments at fair value based on NAV	$	6,348,755	$	12,072,393	$	795,778	$	(4,255,998	)	$	14,960,928
Available for sale securities:
Corporate equity securities	$	79,425	$	—	$	—	$	—		$	79,425
Corporate debt securities	—		179		—		—			179
U.S. government securities	174,933		—		—		—			174,933
Residential mortgage-backed securities	—		19,133		—		—			19,133
Commercial mortgage-backed securities	—		8,337		—		—			8,337
Other asset-backed securities	—		19,042		—		—			19,042
Total available for sale securities	$	254,358	$	46,691	$	—	$	—		$	301,049
Liabilities:
Trading liabilities:
Corporate equity securities	$	1,593,548	$	16,806	$	313	$	—		$	1,610,667
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	2,566		4,867,586		9,870		(4,229,213		)	650,809
Total trading liabilities	$	3,948,201	$	8,658,547	$	11,084	$	(4,229,213	)	$	8,388,619
Other secured financings	$	—	$	41,350	$	418	$	—		$	41,768
Long-term debt - structured notes	$	—	$	248,856	$	—	$	—		$	248,856

(1) There were no material transfers between Level 1 and Level 2 during the three months ended March 31, 2017 and during the year ended December 31, 2016.

(2) 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

The following tables present information about our investments in entities that have the characteristics of an investment company (in thousands).

	Fair Value (1)		Unfunded Commitments		Redemption Frequency (if currently eligible)
March 31, 2017
Equity Long/Short Hedge Funds (2)	$	362,870	$	—	(2)
Fixed Income and High Yield Hedge Funds (3)	761		—		—
Fund of Funds (4)	169		—		—
Equity Funds (5)	40,688		20,040		—
Multi-asset Funds (6)	118,211		—		—
Total	$	522,699	$	20,040
December 31, 2016
Equity Long/Short Hedge Funds (2)	$	363,256	$	—	(2)
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	$	539,627	$	20,295

(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 March 31, 2017 and December 31, 2016, the majority of these investments are redeemable with 10 business days prior written notice.

(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. 

(4) This category includes investments in fund of funds that invest in various private equity funds.  The investments in this category are managed by us and have no redemption provisions.  These investments are gradually being liquidated or we have requested redemption, however, we are unable to estimate when these funds will be received.

(5) At March 31, 2017 and December 31, 2016, 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 expected to liquidate in one to six 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 March 31, 2017 and December 31, 2016, investments representing approximately 13% and 12%, respectively, of the fair value of investments in this category are redeemable with 30 to 90 days prior written notice.

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 March 31, 2016 (in thousands):

Three Months Ended March 31, 2016
	Balance, December 31, 2015			Total gains (losses) (realized and unrealized) (1)			Purchases			Sales			Settlements			Issuances		Net transfers into (out of) Level 3			Balance, March 31, 2016		Changes in unrealized gains (losses) relating to instruments still held at March 31, 2016 (1)
Assets:
Trading assets:
Corporate equity securities	$	40,906		$	3,071		$	2,087		$	—		$	—		$	—	$	(15,524	)	$	30,540	$	3,560
Corporate debt securities	25,876			(2,602		)	15,337			(15,129		)	(111		)	—		2,263			25,634		(2,540		)
CDOs and CLOs	85,092			(16,573		)	1,021			(20,178		)	(463		)	—		18,449			67,348		(17,003		)
Sovereign obligations	120			(1		)	—			—			—			—		—			119		(1		)
Residential mortgage-backed securities	70,263			(4,548		)	62,844			(64,926		)	(114		)	—		4,500			68,019		(3,358		)
Commercial mortgage-backed securities	14,326			(971		)	2,962			—			(878		)	—		6,555			21,994		(1,387		)
Other asset-backed securities	42,925			1,662			15,425			(2,100		)	(1		)	—		(24,787		)	33,124		1,679
Loans and other receivables	189,289			(5,772		)	181,264			(114,667		)	(95,354		)	—		682			155,442		(9,113		)
Investments at fair value	199,794			48,618			1,187			—			(273		)	—		26,063			275,389		48,618
Investment in FXCM	625,689			(53,203		)	—			—			(7,686		)	—		—			564,800		(53,203		)
Liabilities:
Trading liabilities:
Corporate equity securities	$	38		$	—		$	—		$	—		$	—		$	—	$	—		$	38	$	—
Net derivatives (2)	(242		)	10,304			—			—			2,558			554		(1,417		)	11,757		(8,135		)
Loans	10,469			(345		)	(2,240		)	1,033			(1,077		)	—		(96		)	7,744		345
Other secured financings	544			(6		)	—			—			—			—		—			538		—

(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.

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 March 31, 2017 (in thousands):

Three Months Ended March 31, 2017
	Balance, December 31, 2016		Total gains (losses) (realized and unrealized) (1)			Purchases			Sales			Settlements			Issuances		Net transfers into (out of) Level 3			Balance at March 31, 2017		Changes in unrealized gains (losses) relating to instruments still held at March 31, 2017 (1)
Assets:
Trading assets:
Corporate equity securities	$	21,739	$	532		$	847		$	(145	)	$	(186	)	$	—	$	(2,207	)	$	20,580	$	362
Corporate debt securities	25,005		(1,793		)	3,002			(3,157		)	(1,207		)	—		11,617			33,467		(1,662		)
CDOs and CLOs	54,354		(7,594		)	8,663			(22,633		)	(45		)	—		12,609			45,354		(8,525		)
Municipal securities	27,257		(636		)	—			(67		)	—			—		—			26,554		(641		)
Residential mortgage-backed securities	38,772		(253		)	263			(12,411		)	(210		)	—		13,098			39,259		(440		)
Commercial mortgage-backed securities	20,580		(1,420		)	—			(412		)	—			—		1,905			20,653		(1,421		)
Other asset-backed securities	40,911		(1,788		)	3,553			(299		)	(3,335		)	—		(1,340		)	37,702		(1,717		)
Loans and other receivables	81,872		4,950			9,489			(9,778		)	(7,764		)	—		(25,597		)	53,172		836
Investments at fair value	314,359		3,856			—			(10,119		)	(266		)	—		—			307,830		5,879
FXCM term loan	164,500		10,878			—			—			(42,578		)	—		—			132,800		3,272
Liabilities:
Trading liabilities:
Corporate equity securities	$	313	$	11		$	—		$	—		$	—		$	—	$	—		$	324	$	(11	)
Corporate debt securities	523		—			—			—			—			—		—			523		—
Net derivatives (2)	3,441		(4,384		)	—			—			3,373			186		3,797			6,413		1,347
Loans	378		189			(323		)	—			—			—		792			1,036		(189		)
Other secured financings	418		(8		)	—			—			—			—		(323		)	87		11

(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

March 31, 2017
Financial Instruments Owned	Fair Value (in thousands)		Valuation  Technique	Significant Unobservable Input(s)	Input/Range	Weighted Average
Corporate equity securities	$	18,834
Non-exchange traded securities			Market approach	Price	$3 to $75	$44.0
				Underlying stock price	$6	—
			Comparable pricing	Comparable asset price	$9	—
			Option model	Volatility	40%	—
Corporate debt securities	$	33,467	Convertible bond model	Discount rate/yield	8%	—
				Volatility	40%	—
			Market approach	Price	$18 to $98	$53.0
			Scenario analysis	Estimated recovery percentage	1% to 3%	2	%
CDOs and CLOs	$	45,354	Discounted cash flows	Constant prepayment rate	20%	—
				Constant default rate	2% to 8%	3	%
				Loss severity	25% to 70%	29	%
				Discount rate/yield	9% to 18%	13	%
			Scenario analysis	Estimated recovery percentage	4% to 45%	30	%
Residential mortgage-backed securities	$	39,259	Discounted cash flows	Cumulative loss rate	0% to 22%	7	%
				Duration (years)	4 to 18	10
				Discount rate/yield	5% to 11%	7	%
Commercial mortgage-backed securities	$	20,653	Discounted cash flows	Cumulative loss rate	15% to 68%	30	%
				Duration (years)	1 to 5	3
				Discount rate/yield	7% to 19%	11	%
Other asset-backed securities	$	37,702	Discounted cash flows	Cumulative loss rate	0% to 30%	18	%
				Duration (years)	1 to 11	2
				Discount rate/yield	4% to 15%	14	%
			Market approach	Price	$100	—
			Scenario analysis	Estimated recovery percentage	51%	—
Loans and other receivables	$	51,929	Discounted cash flows	Discount rate/yield	32%	—
				Cumulative loss rate	0%	—
				Duration (years)	0.1	—
			Market approach	EBITDA (a) multiple	3.3	—
				Transaction level	$1 to $42	$32.0
				Price	$98 to $100	$99.0
				Estimated recovery percentage	103%	—
			Present value	Average silver production (tons per day)	642	—
			Scenario analysis	Estimated recovery percentage	3% to 45%	31	%
Derivatives	$	4,905
Unfunded commitments			Market approach	Price	$82 to $97	$94.0
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	$	93,198	Market approach	Transaction level	$3 to $250	$116.0
				Discount rate	15% to 30%	23	%
Investment in FXCM
Term loan	$	132,800	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	$	11,318
Equity options			Option model/default rate	Default probability	0%	—
Unfunded commitments			Market approach	Price	$82 to $98	$87.0
Variable funding note swaps			Discounted cash flows	Constant prepayment rate	20%	—
				Constant default rate	2%	—
				Loss severity	25%	—
				Discount rate/yield	18%	—

December 31, 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 to $75	$15.0
			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% to 20%	19	%
				Constant default rate	2% to 4%	2	%
				Loss severity	25% to 70%	40	%
				Yield	7% to 17%	12	%
			Scenario analysis	Estimated recovery percentage	28% to 38%	31	%
Residential mortgage-backed securities	$	38,772	Discounted cash flows	Constant prepayment rate	0% to 11%	5	%
				Constant default rate	1% to 7%	3	%
				Loss severity	35% to 100%	62	%
				Yield	2% to 10%	6	%
Commercial mortgage-backed securities	$	20,580	Discounted cash flows	Yield	6% to 11%	8	%
				Cumulative loss rate	5% to 95%	39	%
Other asset-backed securities	$	40,911	Discounted cash flows	Constant prepayment rate	4% to 20%	14	%
				Constant default rate	0% to 31%	13	%
				Loss severity	0% to 100%	90	%
				Yield	4% to 17%	15	%
			Market approach	Price	$72	—
Loans and other receivables	$	54,347	Market approach	Discount rate/yield	2% to 4%	3	%
				EBITDA (a) multiple	3.3	—
				Transaction level	$0.42	—
			Present value	Average silver production (tons per day)	666	—
			Scenario analysis	Estimated recovery percentage	6% to 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	$	67,383	Market approach	Transaction level	$250	—
				Price	$25,815,720	—
				Discount rate	15% to 30%	23	%
Investment in FXCM
Term loan	$	164,500	Discounted cash flows	Term based on the pay off	0 months to .5 years	0.4 years
Trading Liabilities	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input/Range	Weighted Average
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”).

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 months ended March 31, 2017 and 2016 (in thousands):

	For the Three Months Ended March 31,
	2017			2016
Financial Instruments Owned:
Loans and other receivables	$	(5,127	)	$	(15,462	)
Financial Instruments Sold:
Loans	$	(27	)	$	48
Loan commitments	$	871		$	(3,746	)
Long-term Debt:
Changes in instrument specific credit risk (1)	$	(16,040	)	$	(302	)
Other changes in fair value (2)	$	3,417		$	6,858

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

(2) Other changes in fair value are included within Principal transactions revenues in 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 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):

	March 31, 2017		December 31, 2016
Financial Instruments Owned:
Loans and other receivables (1)	$	1,078,397	$	1,325,938
Loans and other receivables on nonaccrual status and/or greater than 90 days past due (1) (2)	$	242,022	$	205,746
Long-term Debt	$	7,582	$	20,202

(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 $68.5 million and $64.6 million at March 31, 2017 and December 31, 2016, respectively.