Derivative Financial Instruments (Tables)

3 Months Ended

Feb. 28, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair Value And Related Number Of Derivative Contracts Categorized By Predominant Risk Exposure

The following table presents the fair value and related number of derivative contracts categorized by type of derivative contract as reflected in the Consolidated Statements of Financial Condition at February 28, 2019 and November 30, 2018. The fair value of assets/liabilities represents our receivable/payable for derivative financial instruments, gross of counterparty netting and cash collateral received and pledged. The following tables also provide information regarding (1) the extent to which, under enforceable master netting arrangements, such balances are presented net in our Consolidated Statements of Financial Condition as appropriate under GAAP and (2) the extent to which other rights of setoff associated with these arrangements exist and could have an effect on our financial position (in thousands, except contract amounts):

	Assets				Liabilities
	Fair Value			Number of Contracts (1)	Fair Value			Number of Contracts (1)
February 28, 2019
Derivatives designated as accounting hedges - interest rate contracts	$	—		—	$	18,037		1
Derivatives not designated as accounting hedges:
Interest rate contracts	$	831,019		45,802	$	840,900		31,862
Foreign exchange contracts	302,480			9,384	291,008			9,401
Equity contracts	1,329,281			1,863,817	1,566,911			1,518,951
Commodity contracts	13,602			8,623	2,945			5,418
Credit contracts	31,889			122	26,660			101
Total derivatives not designated as accounting hedges	2,508,271				2,728,424
Total gross derivative assets/ liabilities	2,508,271				2,746,461
Amounts offset in Consolidated Statement of Financial Condition (2)	(2,296,080		)		(2,383,752		)
Net amounts per Consolidated Statement of Financial Condition (3)	$	212,191			$	362,709
November 30, 2018
Derivatives designated as accounting hedges - interest rate contracts	$	—		—	$	29,647		1
Derivatives not designated as accounting hedges:
Interest rate contracts	$	796,493		35,652	$	904,043		69,305
Foreign exchange contracts	311,270			10,086	314,989			1,602
Equity contracts	1,410,148			2,109,810	2,377,133			1,782,600
Commodity contracts	37,823			8,546	1,717			5,683
Credit contracts	24,972			130	13,174			93
Total derivatives not designated as accounting hedges	2,580,706				3,611,056
Total gross derivative assets/ liabilities	2,580,706				3,640,703
Amounts offset in Consolidated Statement of Financial Condition (2)	(2,413,931		)		(2,513,050		)
Net amounts per Consolidated Statement of Financial Condition (3)	$	166,775			$	1,127,653

(1) Number of exchange-traded contracts may include open futures contracts. The unsettled fair value of these futures contracts is included in Receivables and Payables, expense accruals and other liabilities in our Consolidated Statements of Financial Condition.

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

(3) We have not received or pledged additional collateral under master netting agreements and/or other credit support agreements that is eligible to be offset beyond what has been offset in the Consolidated Statements of Financial Condition.

Unrealized And Realized Gains (Losses) On Derivative Contracts

The following table provides information related to gains (losses) recognized in Interest expense of Jefferies Group in the Consolidated Statements of Operations on a fair value hedge (in thousands):

	For the Three Months Ended
	February 28, 2019			March 31, 2018
Interest rate swaps	$	14,587		$	(21,221	)
Long-term debt	(15,556		)	22,715
Total	$	(969	)	$	1,494

The following table presents unrealized and realized gains (losses) on derivative contracts which are primarily recognized in Principal transactions revenues in the Consolidated Statements of Operations, which are utilized in connection with our client activities and our economic risk management activities (in thousands):

	For the Three Months Ended
	February 28, 2019			March 31, 2018
Interest rate contracts	$	(69,831	)	$	26,962
Foreign exchange contracts	(176		)	3,128
Equity contracts	(28,481		)	(205,146		)
Commodity contracts	(19,273		)	(5,314		)
Credit contracts	4,095			(991		)
Total	$	(113,666	)	$	(181,361	)

Remaining Contract Maturity Of Fair Value Of OTC Derivative Assets And Liabilities

The following tables set forth by remaining contract maturity the fair value of OTC derivative assets and liabilities as reflected in the Consolidated Statement of Financial Condition at February 28, 2019 (in thousands):

	OTC Derivative Assets (1) (2) (3)
	0-12 Months		1-5 Years		Greater Than 5 Years		Cross- Maturity Netting (4)			Total
Commodity swaps, options and forwards	$	1,332	$	6,078	$	—	$	(2,098	)	$	5,312
Equity swaps and options	2,539		17,857		5,240		—			25,636
Credit default swaps	111		19,824		—		(108		)	19,827
Total return swaps	47,890		18,274		—		(984		)	65,180
Foreign currency forwards, swaps and options	65,040		11,413		—		(16,118		)	60,335
Fixed income forwards	1,645		—		—		—			1,645
Interest rate swaps, options and forwards	29,360		114,382		115,221		(76,899		)	182,064
Total	$	147,917	$	187,828	$	120,461	$	(96,207	)	359,999
Cross product counterparty netting										(32,496		)
Total OTC derivative assets included in Trading assets										$	327,503

(1) At February 28, 2019, we held exchange-traded derivative assets, other derivative assets and other credit agreements with a fair value of $31.8 million, which are not included in this table.

(2) OTC derivative assets in the table above are gross of collateral received. OTC derivative assets are recorded net of collateral received in the Consolidated Statements of Financial Condition. At February 28, 2019, cash collateral received was $147.1 million.

(3) Derivative fair values include counterparty netting within product category.

(4) Amounts represent the netting of receivable balances with payable balances for the same counterparty within product category across maturity categories.

	OTC Derivative Liabilities (1) (2) (3)
	0-12 Months		1-5 Years		Greater Than 5 Years		Cross-Maturity Netting (4)			Total
Commodity swaps, options and forwards	$	1,832	$	954	$	—	$	(2,098	)	$	688
Equity swaps and options	30,988		106,443		37,837		—			175,268
Credit default swaps	1,918		10,878		—		(108		)	12,688
Total return swaps	11,553		14,057		—		(984		)	24,626
Foreign currency forwards, swaps and options	53,908		11,042		—		(16,118		)	48,832
Fixed income forwards	3,810		—		—		—			3,810
Interest rate swaps, options and forwards	32,805		74,816		182,540		(76,899		)	213,262
Total	$	136,814	$	218,190	$	220,377	$	(96,207	)	479,174
Cross product counterparty netting										(32,496		)
Total OTC derivative liabilities included in Trading liabilities										$	446,678

(1) At February 28, 2019, we held exchange-traded derivative liabilities, other derivative liabilities and other credit agreements with a fair value of $150.8 million, which are not included in this table.

(2) OTC derivative liabilities in the table above are gross of collateral pledged. OTC derivative liabilities are recorded net of collateral pledged in the Consolidated Statements of Financial Condition. At February 28, 2019, cash collateral pledged was $234.8 million.

(3) Derivative fair values include counterparty netting within product category.

(4) Amounts represent the netting of receivable balances with payable balances for the same counterparty within product category across maturity categories.

Counterparty Credit Quality With Respect To Fair Value Of OTC Derivatives Assets

At February 28, 2019, the counterparty credit quality with respect to the fair value of our OTC derivative assets was as follows (in thousands):

Counterparty credit quality (1):
A- or higher	$	136,803
BBB- to BBB+	56,918
BB+ or lower	88,357
Unrated	45,425
Total	$	327,503

(1) Jefferies Group utilizes internal credit ratings determined by Jefferies Group's Risk Management department. Credit ratings determined by Jefferies Group Risk Management use methodologies that produce ratings generally consistent with those produced by external rating agencies.

Credit Related Derivative Contracts

The external credit ratings of the underlyings or referenced assets for our written credit related derivative contracts are as follows (in millions):

	External Credit Rating
	Investment Grade		Non-investment grade		Unrated		Total Notional
February 28, 2019
Credit protection sold:
Index credit default swaps	$	90.5	$	100.0	$	—	$	190.5
Single name credit default swaps	$	8.4	$	53.9	$	32.6	$	94.9
November 30, 2018
Credit protection sold:
Index credit default swaps	$	25.7	$	167.4	$	—	$	193.1
Single name credit default swaps	$	57.7	$	84.5	$	3.0	$	145.2

Derivative Instruments With Contingent Features

The following table presents the aggregate fair value of all derivative instruments with such credit-risk-related contingent features that are in a liability position, the collateral amounts posted or received in the normal course of business and the potential collateral Jefferies Group would have been required to return and/or post additionally to its counterparties if the credit-risk-related contingent features underlying these agreements were triggered (in millions):

	February 28, 2019			November 30, 2018
Derivative instrument liabilities with credit-risk-related contingent features	$	32.3		$	93.5
Collateral posted	$	(19.2	)	$	(61.5	)
Collateral received	$	128.2		$	91.5
Return of and additional collateral required in the event of a credit rating downgrade below investment grade (1)	$	141.3		$	123.3

(1) These potential outflows include initial margin received from counterparties at the execution of the derivative contract. The initial margin will be returned if counterparties elect to terminate the contract after a downgrade.