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Fair Value Disclosures (Tables)
 6 Months Ended
May 31, 2019
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, securities purchased under agreements to resell, 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 $646.4 million and $394.4 million at May 31, 2019 and November 30, 2018, respectively, by level within the fair value hierarchy (in thousands):
 
May 31, 2019
 
Level 1
 
Level 2
 
Level 3
 
Counterparty
and
Cash
Collateral
Netting (1)
 
Total
Assets:
 
 
 
 
 
 
 
 
 
Trading assets, at fair value:
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
2,701,693

 
$
132,121

 
$
59,572

 
$
—

 
$
2,893,386

Corporate debt securities
—

 
2,978,062

 
8,346

 
—

 
2,986,408

Collateralized debt obligations and
collateralized loan obligations
—

 
123,840

 
25,912

 
—

 
149,752

U.S. government and federal agency securities
1,505,882

 
114,761

 
—

 
—

 
1,620,643

Municipal securities
—

 
980,138

 
—

 
—

 
980,138

Sovereign obligations
1,866,301

 
1,020,111

 
—

 
—

 
2,886,412

Residential mortgage-backed securities
—

 
1,159,961

 
17,266

 
—

 
1,177,227

Commercial mortgage-backed securities
—

 
404,897

 
12,530

 
—

 
417,427

Other asset-backed securities
—

 
267,565

 
43,185

 
—

 
310,750

Loans and other receivables
—

 
2,105,642

 
98,484

 
—

 
2,204,126

Derivatives
16,348

 
2,529,500

 
8,414

 
(2,197,763
)
 
356,499

Investments at fair value
—

 
84,058

 
408,739

 
—

 
492,797

FXCM term loan
—

 
—

 
56,600

 
—

 
56,600

Total trading assets, excluding investments at fair value based on NAV
$
6,090,224


$
11,900,656


$
739,048


$
(2,197,763
)

$
16,532,165

Securities purchased under agreements to resell
$
—

 
$
—

 
$
25,000

 
$
—

 
$
25,000

 
 
 
 
 
 
 
 
 
 
Liabilities:
 

 
 

 
 

 
 

 
 

Trading liabilities:
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
2,664,846

 
$
4,820

 
$
221

 
$
—

 
$
2,669,887

Corporate debt securities
—

 
1,919,466

 
669

 
—

 
1,920,135

U.S. government and federal agency securities
1,236,461

 
—

 
—

 
—

 
1,236,461

Sovereign obligations
1,328,132

 
870,039

 
—

 
—

 
2,198,171

Commercial mortgage-backed securities
—

 
724

 
—

 
—

 
724

Loans
—

 
1,524,341

 
9,428

 
—

 
1,533,769

Derivatives
24,578

 
2,843,810

 
55,863

 
(2,370,008
)
 
554,243

Total trading liabilities
$
5,254,017


$
7,163,200


$
66,181


$
(2,370,008
)

$
10,113,390

Long-term debt
$
—

 
$
582,947

 
$
236,562

 
$
—

 
$
819,509

 
November 30, 2018
 
Level 1
 
Level 2
 
Level 3
 
Counterparty
and
Cash
Collateral
Netting (1)
 
Total
Assets:
 
 
 
 
 
 
 
 
 
Trading assets, at fair value:
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
2,497,045

 
$
118,681

 
$
52,192

 
$
—

 
$
2,667,918

Corporate debt securities
—

 
2,683,180

 
9,484

 
—

 
2,692,664

Collateralized debt obligations and
collateralized loan obligations
—

 
72,949

 
36,105

 
—

 
109,054

U.S. government and federal agency securities
1,789,614

 
56,592

 
—

 
—

 
1,846,206

Municipal securities
—

 
894,253

 
—

 
—

 
894,253

Sovereign obligations
1,769,556

 
1,043,409

 
—

 
—

 
2,812,965

Residential mortgage-backed securities
—

 
2,163,629

 
19,603

 
—

 
2,183,232

Commercial mortgage-backed securities
—

 
819,406

 
10,886

 
—

 
830,292

Other asset-backed securities
—

 
239,381

 
53,175

 
—

 
292,556

Loans and other receivables
—

 
2,056,593

 
46,985

 
—

 
2,103,578

Derivatives
34,841

 
2,539,943

 
5,922

 
(2,413,931
)
 
166,775

Investments at fair value
—

 
—

 
396,254

 
—

 
396,254

FXCM term loan
—

 
—

 
73,150

 
—

 
73,150

Total trading assets, excluding investments at fair value based on NAV
$
6,091,056


$
12,688,016


$
703,756


$
(2,413,931
)

$
17,068,897

 
 
 
 
 
 
 
 
 
 
Available for sale securities:
 

 
 

 
 

 
 

 
 

U.S. government securities
$
1,072,856

 
$
—

 
$
—

 
$
—

 
$
1,072,856

Residential mortgage-backed securities
—

 
210,518

 
—

 
—

 
210,518

Commercial mortgage-backed securities
—

 
15,642

 
—

 
—

 
15,642

Other asset-backed securities
—

 
110,870

 
—

 
—

 
110,870

Total available for sale securities
$
1,072,856


$
337,030


$
—


$
—


$
1,409,886

 
 
 
 
 
 
 
 
 
 
Liabilities:
 

 
 

 
 

 
 

 
 

Trading liabilities:
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
1,685,071

 
$
1,444

 
$
—

 
$
—

 
$
1,686,515

Corporate debt securities
—

 
1,505,618

 
522

 
—

 
1,506,140

U.S. government and federal agency securities
1,384,295

 
—

 
—

 
—

 
1,384,295

Sovereign obligations
1,735,242

 
661,095

 
—

 
—

 
2,396,337

Loans
—

 
1,371,630

 
6,376

 
—

 
1,378,006

Derivatives
26,473

 
3,586,694

 
27,536

 
(2,513,050
)
 
1,127,653

Total trading liabilities
$
4,831,081


$
7,126,481


$
34,434


$
(2,513,050
)

$
9,478,946

Long-term debt
$
—

 
$
485,425

 
$
200,745

 
$
—

 
$
686,170


(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
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
May 31, 2019
 
 
 
Equity Long/Short Hedge Funds (2)
$
361,046

 
$
—

Equity Funds (3)
35,863

 
19,679

Commodity Funds (4)
15,672

 
—

Multi-asset Funds (5)
233,512

 
—

Other funds (6)
326

 
—

Total
$
646,419

 
$
19,679

 
 
 
 
November 30, 2018
 

 
 

Equity Long/Short Hedge Funds (2)
$
86,788

 
$
—

Equity Funds (3)
40,070

 
20,996

Commodity Funds (4)
10,129

 
—

Multi-asset Funds (5)
256,972

 
—

Other funds (6)
400

 
—

Total
$
394,359

 
$
20,996

 
(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 equity securities in domestic and international markets in both the public and private sectors. At May 31, 2019 and November 30, 2018, approximately 73% and 0%, respectively, of the fair value of investments in this category cannot be redeemed because these investments include restrictions that do not allow for redemption in the first 36 months after acquisition. At the end of this restriction period, which is in approximately 31 months at May 31, 2019, these investments are redeemable monthly with 45 to 90 days prior written notice. At May 31, 2019 and November 30, 2018, 22% and 82%, respectively, of these investments are redeemable in 2020. At May 31, 2019 and November 30, 2018, 5% and 17%, respectively, of these investments are redeemable quarterly with 60 days prior written notice.
(3)
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 be liquidated in approximately one to ten 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 May 31, 2019 and November 30, 2018, investments representing approximately 5% and 15%, respectively, of the fair value of investments in this category are redeemable monthly with 30 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 Jefferies Group 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 six months ended June 30, 2018 (in thousands):
Six Months Ended June 30, 2018
 
Balance, December 31, 2017
 
Total gains/ losses
(realized and unrealized) (1)
 
Purchases
 
Sales
 
Settlements
 
Issuances
 
Net transfers
into (out of)
Level 3
 
Balance, June 30, 2018
 
Changes in
unrealized gains/ losses relating to instruments still held at
June 30, 2018 (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
22,270

 
$
15,052

 
$
5,383

 
$
(520
)
 
$
(1,779
)
 
$
—

 
$
4,465

 
$
44,871

 
$
14,419

Corporate debt securities
26,036

 
434

 
19,304

 
(15,704
)
 
(2,049
)
 
—

 
45

 
28,066

 
(1,048
)
CDOs and CLOs
42,184

 
(3,227
)
 
568

 
(2,374
)
 
(3,765
)
 
—

 
9,131

 
42,517

 
(5,641
)
Residential mortgage-backed securities
26,077

 
(4,193
)
 
112

 
(10,959
)
 
(88
)
 
—

 
(7,294
)
 
3,655

 
419

Commercial mortgage-backed securities
12,419

 
(2,292
)
 
1,208

 
(487
)
 
(3,209
)
 
—

 
19,600

 
27,239

 
(3,176
)
Other asset-backed securities
61,129

 
(5,476
)
 
132,291

 
(124,787
)
 
(7,622
)
 
—

 
—

 
55,535

 
(2,498
)
Loans and other receivables
47,304

 
(201
)
 
46,682

 
(25,456
)
 
(11,648
)
 
—

 
7,355

 
64,036

 
(1,756
)
Investments at fair value
329,944

 
1,483

 
3,740

 
(17,570
)
 
—

 
—

 
946

 
318,543

 
889

FXCM term loan
72,800

 
15,085

 
—

 
—

 
(11,785
)
 
—

 
—

 
76,100

 
7,839

Liabilities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Trading liabilities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
48

 
$
39

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
87

 
$
(39
)
Corporate debt securities
522

 
—

 
—

 
—

 
—

 
—

 
—

 
522

 
—

Commercial mortgage-backed securities
105

 
(105
)
 
—

 
—

 
—

 
—

 
—

 
—

 
—

Loans
3,486

 
1,226

 
(5,100
)
 
12,092

 
—

 
—

 
1,177

 
12,881

 
106

Net derivatives (2)
6,746

 
(668
)
 
(6
)
 
—

 
(494
)
 
296

 
—

 
5,874

 
535

Long-term debt
—

 
(28,082
)
 
—

 
—

 
—

 
81,284

 
107,424

 
160,626

 
20,082


(1)
Realized and unrealized gains (losses) are reported in Principal transactions revenues 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 May 31, 2019 (in thousands):
Three Months Ended May 31, 2019
 
Balance, February 28, 2019
 
Total gains/ losses
(realized and unrealized) (1)
 
Purchases
 
Sales
 
Settlements
 
Issuances
 
Net transfers
into (out of)
Level 3
 
Balance, May 31, 2019
 
Changes in
unrealized gains/losses included in earnings relating to instruments still held at
May 31, 2019 (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
55,576

 
$
1,808

 
$
221

 
$
(179
)
 
$
(551
)
 
$
—

 
$
2,697

 
$
59,572

 
$
1,909

Corporate debt securities
10,930

 
(306
)
 
816

 
—

 
(325
)
 
—

 
(2,769
)
 
8,346

 
(307
)
CDOs and CLOs
43,144

 
(1,663
)
 
—

 
—

 
(991
)
 
—

 
(14,578
)
 
25,912

 
(2,656
)
Residential mortgage-backed securities
20,963

 
(802
)
 
—

 
—

 
(18
)
 
—

 
(2,877
)
 
17,266

 
(759
)
Commercial mortgage-backed securities
12,820

 
(357
)
 
—

 
(331
)
 
(3,238
)
 
—

 
3,636

 
12,530

 
(1,292
)
Other asset-backed securities
35,886

 
3,070

 
16,531

 
(8,868
)
 
(8,549
)
 
—

 
5,115

 
43,185

 
3,563

Loans and other receivables
78,051

 
(2,753
)
 
38,780

 
(13,898
)
 
(2,438
)
 
—

 
742

 
98,484

 
(1,277
)
Investments at fair value
421,098

 
35,594

 
10,169

 
(18,302
)
 
—

 
—

 
(39,820
)
 
408,739

 
35,594

FXCM term loan
73,600

 
(11,412
)
 
1,500

 
—

 
(7,088
)
 
—

 
—

 
56,600

 
(11,412
)
Securities purchased under
  agreements to resell
—

 
—

 
—

 
—

 
—

 
25,000

 
—

 
25,000

 
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 

 
 
 
 

 
 

 
 

 
 

 
 

 
 

 
 

Trading liabilities:
 

 
 
 
 

 
 

 
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
78

 
$
(74
)
 
$
(1,520
)
 
$
1,737

 
$
—

 
$
—

 
$
—

 
$
221

 
$
—

Corporate debt securities
730

 
(148
)
 
(7
)
 
1

 
22

 
—

 
71

 
669

 
90

Commercial mortgage-backed securities
70

 
(70
)
 
—

 
—

 
—

 
—

 
—

 
—

 
—

Loans
3,420

 
(191
)
 
(1,678
)
 
1,537

 
—

 
—

 
6,340

 
9,428

 
364

Net derivatives (2)
28,975

 
(14,760
)
 
(25
)
 
4,175

 
1,974

 
—

 
27,110

 
47,449

 
7,565

Long-term debt (1)
283,139

 
1,163

 
—

 
—

 
(5,585
)
 
39,385

 
(81,540
)
 
236,562

 
(813
)

(1)
Realized and unrealized gains (losses) are primarily reported in Principal transactions revenues in the Consolidated Statements of Operations. Changes in instrument-specific credit risk related to structured notes are included in our Consolidated Statements of Comprehensive Income (Loss), net of tax. Changes in unrealized gains (losses) included in other comprehensive income (loss) for instruments still held at May 31, 2019 were losses of $0.4 million.
(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 six months ended May 31, 2019 (in thousands):
Six Months Ended May 31, 2019
 
Balance, November 30, 2018
 
Total gains/ losses
(realized and unrealized) (1)
 
Purchases
 
Sales
 
Settlements
 
Issuances
 
Net transfers
into (out of)
Level 3
 
Balance, May 31, 2019
 
Changes in
unrealized gains/losses included in earnings relating to instruments still held at
May 31, 2019 (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
52,192

 
$
5,239

 
$
785

 
$
(2,031
)
 
$
(720
)
 
$
—

 
$
4,107

 
$
59,572

 
$
7,085

Corporate debt securities
9,484

 
(108
)
 
2,181

 
(2,130
)
 
(1,177
)
 
—

 
96

 
8,346

 
(53
)
CDOs and CLOs
36,105

 
(1,233
)
 
4,782

 
—

 
(2,130
)
 
—

 
(11,612
)
 
25,912

 
(3,127
)
Residential mortgage-backed securities
19,603

 
(316
)
 
39

 
—

 
(45
)
 
—

 
(2,015
)
 
17,266

 
(271
)
Commercial mortgage-backed securities
10,886

 
(180
)
 
11

 
(331
)
 
(3,278
)
 
—

 
5,422

 
12,530

 
(1,183
)
Other asset-backed securities
53,175

 
(1,014
)
 
25,316

 
(13,247
)
 
(9,529
)
 
—

 
(11,516
)
 
43,185

 
(522
)
Loans and other receivables
46,985

 
2,434

 
77,004

 
(33,549
)
 
(3,378
)
 
—

 
8,988

 
98,484

 
844

Investments at fair value
396,254

 
29,454

 
41,512

 
(18,302
)
 
—

 
—

 
(40,179
)
 
408,739

 
29,454

FXCM term loan
73,150

 
(10,962
)
 
1,500

 
—

 
(7,088
)
 
—

 
—

 
56,600

 
(10,962
)
Securities purchased under
  agreements to resell
—

 
—

 
—

 
—

 
—

 
25,000

 
—

 
25,000

 
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Trading liabilities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
—

 
$
(76
)
 
$
(1,546
)
 
$
1,843

 
$
—

 
$
—

 
$
—

 
$
221

 
$
—

Corporate debt securities
522

 
(382
)
 
(73
)
 
93

 
22

 
—

 
487

 
669

 
305

Loans
6,376

 
(401
)
 
(3,946
)
 
7,963

 
—

 
—

 
(564
)
 
9,428

 
579

Net derivatives (2)
21,614

 
(29,079
)
 
(2,829
)
 
7,259

 
2,031

 
—

 
48,453

 
47,449

 
19,607

Long-term debt (1)
200,745

 
(12,854
)
 
—

 
—

 
(11,250
)
 
101,872

 
(41,951
)
 
236,562

 
3,827


(1)
Realized and unrealized gains (losses) are primarily reported in Principal transactions revenues in the Consolidated Statements of Operations. Changes in instrument-specific credit risk related to structured notes are included in our Consolidated Statements of Comprehensive Income (Loss), net of tax. Changes in unrealized gains (losses) included in other comprehensive income (loss) for instruments still held at May 31, 2019 were gains of $9.0 million.
(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 June 30, 2018 (in thousands):
Three Months Ended June 30, 2018
 
Balance, March 31, 2018
 
Total gains/ losses
(realized and unrealized) (1)
 
Purchases
 
Sales
 
Settlements
 
Issuances
 
Net transfers
into (out of)
Level 3
 
Balance, June 30, 2018
 
Changes in
unrealized gains/ losses relating to instruments still held at
June 30, 2018 (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
35,753

 
$
2,951

 
$
1,485

 
$
(75
)
 
$
(110
)
 
$
—

 
$
4,867

 
$
44,871

 
$
3,241

Corporate debt securities
26,103

 
923

 
17,058

 
(13,481
)
 
—

 
—

 
(2,537
)
 
28,066

 
543

CDOs and CLOs
38,613

 
(2,616
)
 
251

 
(1,905
)
 
(431
)
 
—

 
8,605

 
42,517

 
(2,688
)
Residential mortgage-backed securities
21,762

 
(5,416
)
 
112

 
(13,113
)
 
(35
)
 
—

 
345

 
3,655

 
423

Commercial mortgage-backed securities
15,103

 
(2,213
)
 
—

 
—

 
(1,924
)
 
—

 
16,273

 
27,239

 
(2,706
)
Other asset-backed securities
51,288

 
(4,001
)
 
59,057

 
(62,905
)
 
(3,846
)
 
—

 
15,942

 
55,535

 
(2,670
)
Loans and other receivables
62,043

 
(6,051
)
 
19,029

 
(16,237
)
 
(1,940
)
 
—

 
7,192

 
64,036

 
(5,185
)
Investments at fair value
318,159

 
(807
)
 
3,501

 
(2,310
)
 
—

 
—

 
—

 
318,543

 
(807
)
FXCM term loan
73,200

 
6,488

 
—

 
—

 
(3,588
)
 
—

 
—

 
76,100

 
2,900

Liabilities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Trading liabilities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
61

 
$
26

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
87

 
$
(26
)
Corporate debt securities
522

 
—

 
—

 
—

 
—

 
—

 
—

 
522

 
—

Commercial mortgage-backed securities
35

 
(35
)
 
—

 
—

 
—

 
—

 
—

 
—

 
—

Loans
10,323

 
(3,416
)
 
(10,543
)
 
8,685

 
(29
)
 
—

 
7,861

 
12,881

 
3,231

Net derivatives (2)
6,882

 
(1,580
)
 
—

 
—

 
569

 
—

 
3

 
5,874

 
(115
)
Long-term debt
—

 
(20,838
)
 
—

 
—

 
—

 
23,362

 
158,102

 
160,626

 
20,838


(1)
Realized and unrealized gains (losses) are reported in Principal transactions revenues 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
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.
May 31, 2019
Financial Instruments Owned
 
Fair Value
(in thousands)
 
Valuation
 Technique
 
Significant
Unobservable Input(s)
 
Input/Range
 
Weighted
Average
Corporate equity securities
 
$
53,000

 
 
 
 
 
 
 
 
Non-exchange-traded securities
 
 

 
Market approach
 
Price
 
$3 to $85
 
$55
 
 
 
 

 
Underlying stock price
 
$3 to $13
 
$10
 
 
 
 
 
 
 
 
 
 
 
Corporate debt securities
 
$
8,346

 
Market approach
 
Discount rate/yield
 
32%
 
—

 
 
 
 

 
Estimated recovery percentage
 
49%
 
—

 
 
 
 
 
 
Price
 
$8 to $88
 
$57
 
 
 
 
 
 
 
 
 
 
 
CDOs and CLOs
 
$
25,912

 
Discounted cash flows
 
Constant prepayment rate
 
10% to 20%
 
16
%
 
 
 

 
   
 
Constant default rate
 
1% to 2%
 
2
%
 
 
 

 
   
 
Loss severity
 
25% to 30%
 
27
%
 
 
 

 
   
 
Discount rate/yield
 
11% to 17%
 
13
%
 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
2% to 38%
 
26
%
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-backed securities
 
$
17,266

 
Discounted cash flows
 
Cumulative loss rate
 
2%
 
—

 
 
 

 
   
 
Duration (years)
 
7 years
 
—

 
 
 

 
   
 
Discount rate/yield
 
3%
 
—

 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage-backed securities
 
$
12,530

 
Discounted cash flows
 
Cumulative loss rate
 
8% to 86%
 
32
%
 
 
 

 
   
 
Duration (years)
 
0 years to 1 year
 
1 year
 
 
 
 
 
 
Discount rate/yield
 
3% to 28%
 
19
%
 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
12% to 83%
 
47
%
 
 
 
 
 
 
Price
 
$39 to $60
 
$50
 
 
 
 
 
 
 
 
 
 
 
Other asset-backed securities
 
$
43,185

 
Discounted cash flows
 
Cumulative loss rate
 
11% to 31%
 
20
%
 
 
 

 
   
 
Duration (years)
 
1 year to 2 years
 
1 year
 
 
 

 
   
 
Discount rate/yield
 
5% to 12%
 
12
%
 
 
 
 
    Market approach
 
Price
 
$100
 
—

 
 
 
 
 
 
 
 
 
 
 
Loans and other receivables
 
$
98,484

 
Market approach
 
Estimated recovery percentage
 
1%
 
—

 
 
 
 
 
 
Price
 
$50 to $101
 
$91
 
 
 
 
 
 
Comparable price
 
$33
 
—

 
 
 

 
Scenario analysis
 
Estimated recovery percentage
 
13% to 117%
 
105
%
 
 
 
 
 
 
 
 
 
 
 
Derivatives
 
$
8,414

 
 
 
 
 
 
 
 

Interest rate swaps
 
 
 
    Market approach
 
Basis points upfront
 
0 to 12
 
5

 
 
 
 
 
 
 
 
 
 
 
Investments at fair value
 
$
341,690

 
 
 
 
 
 
 
 

Private equity securities
 
 
 
Market approach
 
Price
 
$169 to $250
 
$229
 
 
 
 
Scenario analysis
 
Discount rate
 
20%
 
—

 
 
 
 
 
 
Revenue growth
 
0%
 
—

 
 
 
 
Contingent claims analysis
 
Volatility
 
25% to 35%
 
30
%
 
 
 
 
 
 
Duration (years)
 
0.5 years
 
—

 
 
 
 
 
 
 
 
 
 
 
Investment in FXCM
 
$
56,600

 
 
 
 
 
 
 
 

Term loan
 
 
 
Discounted cash flows
 
Term based on the pay off (years)
 
0 months to 1.7 years
 
1.7 years
 
 
 
 
 
 
 
 
 
 
 
Securities purchased under agreements to resell
 
$
25,000

 
Market approach
 
Spread to 6 month LIBOR
 
500
 
—

 
 
 
 
 
 
Duration (years)
 
2 years
 
—

 
 

 
 
 
 
 
 
 
 
Trading Liabilities
 
 
 
 
 
 
 
 
 
 
Loans
 
$
9,428

 
Market approach
 
Price
 
$50 to $80
 
$66
 
 
 
 
 
 
 
 
 
 
 
Derivatives
 
$
55,863

 
 
 
 
 
 
 
 

Equity options
 
 
 
 Volatility benchmarking
 
Volatility
 
3% to 63%
 
46
%
Interest rate swaps
 
 
 
    Market approach
 
Basis points upfront
 
0 to 21
 
12

 
 
 
 
 
 
 
 
 
 
 
Long-term debt
 
$
236,562

 
 
 
 
 
 
 
 

Structured notes
 
 
 
    Market approach
 
Price
 
$83 to $100
 
$92
 
 
 
 
 
 
Price
 
€78 to €107
 
€94
November 30, 2018
Financial Instruments Owned
 
Fair Value
(in thousands)
 
Valuation
 Technique
 
Significant
Unobservable Input(s)
 
Input/Range
 
Weighted
Average
Corporate equity securities
 
$
43,644

 
 
 
 
 
 
 
 
Non-exchange-traded securities
 
 
 
Market approach
 
Price
 
$1 to $75
 
$12
 
 
 
 
 
 
Transaction level
 
$47
 
—

 
 
 
 
 
 
 
 
 
 
 
Corporate debt securities
 
$
9,484

 
Market approach
 
Estimated recovery percentage
 
46%
 
—

 
 
 
 
 
 
Transaction level
 
$80
 
—

 
 
 
 
 
 
 
 
 
 
 
CDOs and CLOs
 
$
36,105

 
Discounted cash flows
 
Constant prepayment rate
 
10% to 20%
 
18
%
 
 
 

 
   
 
Constant default rate
 
1% to 2%
 
2
%
 
 
 

 
   
 
Loss severity
 
25% to 30%
 
26
%
 
 
 

 
   
 
Discount rate/yield
 
11% to 16%
 
14
%
 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
2% to 41%
 
23
%
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-backed securities
 
$
19,603

 
Discounted cash flows
 
Cumulative loss rate
 
4%
 
—

 
 
 

 
   
 
Duration (years)
 
13 years
 
—

 
 
 

 
   
 
Discount rate/yield
 
3%
 
—

 
 
 
 
 
 
Loss severity
 
0%
 
—

 
 
 
 
Market approach
 
Price
 
$100
 
—

 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage-backed securities
 
$
9,444

 
Discounted cash flows
 
Cumulative loss rate
 
8% to 85%
 
45
%
 
 
 

 
   
 
Duration (years)
 
1 year to 3 years
 
1 year
 
 
 
 
 
 
Discount rate/yield
 
2% to 15%
 
6
%
 
 
 
 
 
 
Loss severity
 
64%
 
—

 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
26%
 
—

 
 
 
 
 
 
Price
 
$49
 
—

 
 
 
 
 
 
 
 
 
 
 
Other asset-backed securities
 
$
53,175

 
Discounted cash flows
 
Cumulative loss rate
 
12% to 30%
 
22
%
 
 
 

 
   
 
Duration (years)
 
1 year to 2 years
 
1 year
 
 
 

 
   
 
Discount rate/yield
 
6% to 12%
 
8
%
 
 
 
 
Market approach
 
Price
 
$100
 
—

 
 
 
 
 
 
 
 
 
 
 
Loans and other receivables
 
$
46,078

 
Market approach
 
Price
 
$50 to $100
 
$96
 
 
 

 
Scenario analysis
 
Estimated recovery percentage
 
13% to 117%
 
105
%
 
 
 
 
 
 
 
 
 
 
 
Derivatives
 
$
4,602

 
 
 
 
 
 
 
 

Total return swaps
 
 

 
    Market approach
 
Price
 
$97
 
—

 
 
 
 
 
 
 
 
 
 
 
Investments at fair value
 
$
368,231

 
 
 
 
 
 
 
 

Private equity securities
 


 
Market approach
 
Price
 
$3 to $250
 
$108
 
 
 
 
 
 
Transaction level
 
$169
 
—

 
 
 
 
Scenario analysis
 
Discount rate/yield
 
20%
 
—

 
 
 
 
 
 
Revenue growth
 
0%
 
—

 
 
 
 
Contingent claims analysis
 
Volatility
 
25% to 35%
 
30
%
 
 
 
 
 
 
Duration (years)
 
4 years
 
—

 
 
 
 
 
 
 
 
 
 
 
Investment in FXCM
 
$
73,150

 
 
 
 
 
 
 
 

Term loan
 


 
Discounted cash flows
 
Term based on the pay off (years)
 
0 months to 0.3 years
 
0.3 years
 
 
 

 
 
 
 
 
 
 
 
Trading Liabilities
 
 
 
 
 
 
 
 
 
 
Loans
 
$
6,376

 
Market approach
 
Price
 
$50 to $101
 
$74
 
 
 
 
 
 
 
 
 
 
 
Derivatives
 
$
27,536

 
 
 
 
 
 
 
 

Equity options
 
 

 
Option model/default rate
 
    Default probability
 
0%
 
—

 
 
 
 
Volatility benchmarking
 
Volatility
 
39% to 62%
 
50
%
Interest rate swaps
 
 
 
    Market approach
 
Price
 
$20
 
—

Total return swaps
 
 
 
    Market approach
 
Price
 
$97
 
—

 
 
 
 
 
 
 
 
 
 
 
Long-term Debt
 
$
200,745

 
 
 
 
 
 
 
 
Structured notes
 
 
 
Market approach
 
Price
 
$78 to $94
 
$86
 
 
 
 
 
 
Price
 
€68 to €110
 
€96
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 Group's 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 and short-term borrowings measured at fair value under the fair value option (in thousands):
 
For the Three Months Ended
 
For the Six Months Ended
 
May 31, 2019
 
June 30, 2018
 
May 31, 2019
 
June 30, 2018
Trading Assets:
 
 
 
 
 
 
 
Loans and other receivables
$
(2,352
)
 
$
(8,754
)
 
$
(3,072
)
 
$
(6,428
)
 
 
 
 
 
 
 
 
Trading Liabilities:
 

 
 

 
 

 
 

Loans
$
—

 
$
1

 
$
—

 
$
260

Loan commitments
$
(757
)
 
$
26

 
$
(678
)
 
$
(103
)
 
 
 
 
 
 
 
 
Long-term Debt:
 

 
 

 
 

 
 

Changes in instrument specific credit risk (1)
$
4,009

 
$
34,787

 
$
27,492

 
$
18,585

Other changes in fair value (2)
$
(36,665
)
 
$
(175
)
 
$
(47,308
)
 
$
40,979

 
 
 
 
 
 
 
 
Short-term Borrowings:
 
 
 
 
 
 
 
Changes in instrument specific credit risk (1)
$
—

 
$
27

 
$
—

 
$
27

Other changes in fair value (2)
$
—

 
$
1,636

 
$
—

 
$
1,636


(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 in 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):
 
May 31,
2019
 
November 30, 2018
Trading Assets:
 
 
 
Loans and other receivables (1)
$
878,221

 
$
961,554

Loans and other receivables on nonaccrual status and/or 90 days or greater past due (1) (2)
$
141,474

 
$
158,392

Long-term Debt
$
95,079

 
$
114,669


(1)
Interest income is recognized separately from other changes in fair value and is included in Interest income in the Consolidated Statements of Operations.
(2)
Amounts include all loans and other receivables 90 days or greater past due by which contractual principal exceeds fair value of $18.7 million and $20.5 million at May 31, 2019 and November 30, 2018, respectively