Derivative Financial Instruments (Tables)

6 Months Ended

May 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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

The following tables present the fair value and related number of derivative contracts at May 31, 2019 and November 30, 2018 categorized by type of derivative contract and the platform on which these derivatives are transacted. 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 (2)	Fair Value			Number of Contracts (2)
May 31, 2019 (1)
Derivatives designated as accounting hedges:
Interest rate contracts:
Cleared OTC	$	13,348		1	$	—		—
Total derivatives designated as accounting hedges	13,348				—
Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	1,070			41,702	1,835			64,221
Cleared OTC	897,615			2,907	952,865			3,360
Bilateral OTC	405,268			2,002	239,880			752
Foreign exchange contracts:
Exchange-traded	—			36	—			59
Bilateral OTC	400,432			12,320	412,485			12,544
Equity contracts:
Exchange-traded	621,087			1,703,475	921,170			1,327,055
Bilateral OTC	166,068			3,195	374,665			3,835
Commodity contracts:
Exchange-traded	6,330			6,492	503			6,904
Bilateral OTC	30,792			2,283	4,355			1,787
Credit contracts:
Cleared OTC	3,177			24	4,595			24
Bilateral OTC	9,075			98	11,898			58
Total derivatives not designated as accounting hedges	2,540,914				2,924,251
Total gross derivative assets/ liabilities:
Exchange-traded	628,487				923,508
Cleared OTC	914,140				957,460
Bilateral OTC	1,011,635				1,043,283
Amounts offset in Consolidated Statement of Financial Condition (3):
Exchange-traded	(603,556		)		(603,556		)
Cleared OTC	(897,715		)		(902,183		)
Bilateral OTC	(696,492		)		(864,269		)
Net amounts per Consolidated Statement of Financial Condition (4)	$	356,499			$	554,243

(continued)

	Assets				Liabilities
	Fair Value			Number of Contracts (2)	Fair Value			Number of Contracts (2)
November 30, 2018 (1)
Derivatives designated as accounting hedges:
Interest rate contracts:
Cleared OTC	$	—		—	$	29,647		1
Total derivatives designated as accounting hedges	—				29,647
Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	924			32,159	513			66,095
Cleared OTC	422,670			2,095	411,833			2,394
Bilateral OTC	372,899			1,398	491,697			816
Foreign exchange contracts:
Exchange-traded	42			538	2			690
Cleared OTC	—			—	36			3
Bilateral OTC	311,228			9,548	314,951			9,909
Equity contracts:
Exchange-traded	1,202,927			2,104,684	2,061,137			1,779,836
Bilateral OTC	207,221			5,126	315,996			2,764
Commodity contracts:
Exchange-traded	27,632			7,272	272			4,185
Bilateral OTC	10,191			1,274	1,445			1,498
Credit contracts:
Cleared OTC	11,204			7	1,556			14
Bilateral OTC	13,768			123	11,618			79
Total derivatives not designated as accounting hedges	2,580,706				3,611,056
Total gross derivative assets/ liabilities:
Exchange-traded	1,231,525				2,061,924
Cleared OTC	433,874				443,072
Bilateral OTC	915,307				1,135,707
Amounts offset in Consolidated Statement of Financial Condition (3):
Exchange-traded	(1,190,951		)		(1,190,951		)
Cleared OTC	(407,351		)		(418,779		)
Bilateral OTC	(815,629		)		(903,320		)
Net amounts per Consolidated Statement of Financial Condition (4)	$	166,775			$	1,127,653

(1) Exchange-traded derivatives include derivatives executed on an organized exchange. Cleared OTC derivatives include derivatives executed bilaterally and subsequently novated to and cleared through central clearing counterparties. Bilateral OTC derivatives include derivatives executed and settled bilaterally without the use of an organized exchange or central clearing counterparty.

(2) 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.

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

(4) 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					For the Six Months Ended
	May 31, 2019			June 30, 2018		May 31, 2019			June 30, 2018
Interest rate swaps	$	27,204		$	19	$	41,791		$	(21,202	)
Long-term debt	(28,213		)	120		(43,769		)	22,835
Total	$	(1,009	)	$	139	$	(1,978	)	$	1,633

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						For the Six Months Ended
	May 31, 2019			June 30, 2018			May 31, 2019			June 30, 2018
Interest rate contracts	$	(34,020	)	$	(4,860	)	$	(103,851	)	$	22,102
Foreign exchange contracts	2,284			8,390			2,108			11,518
Equity contracts	(92,109		)	(45,419		)	(120,590		)	(250,565		)
Commodity contracts	21,045			(10,991		)	1,772			(16,305		)
Credit contracts	4,818			1,731			8,913			740
Total	$	(97,982	)	$	(51,149	)	$	(211,648	)	$	(232,510	)

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 May 31, 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	$	15,034	$	15,758	$	—	$	(4,355	)	$	26,437
Equity swaps and options	40,703		26		4,031		(2,233		)	42,527
Credit default swaps	807		966		2,294		(469		)	3,598
Total return swaps	9,675		51,481		—		(1,607		)	59,549
Foreign currency forwards, swaps and options	53,115		21,850		—		(15,480		)	59,485
Interest rate swaps, options and forwards	75,339		169,577		118,624		(70,534		)	293,006
Total	$	194,673	$	259,658	$	124,949	$	(94,678	)	484,602
Cross product counterparty netting										(39,313		)
Total OTC derivative assets included in Trading assets										$	445,289

(1) At May 31, 2019, we held exchange-traded derivative assets, other derivative assets and other credit agreements with a fair value of $28.3 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 May 31, 2019, cash collateral received was $117.1 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	$	1,986	$	2,369	$	—	$	(4,355	)	$	—
Equity swaps and options	28,465		118,560		40,591		(2,233		)	185,383
Credit default swaps	40		2,535		3,583		(469		)	5,689
Total return swaps	89,603		37,003		—		(1,607		)	124,999
Foreign currency forwards, swaps and options	67,386		18,225		1,404		(15,480		)	71,535
Fixed income forwards	600		—		—		—			600
Interest rate swaps, options and forwards	46,443		81,306		116,012		(70,534		)	173,227
Total	$	234,523	$	259,998	$	161,590	$	(94,678	)	561,433
Cross product counterparty netting										(39,313		)
Total OTC derivative liabilities included in Trading liabilities										$	522,120

(1) At May 31, 2019, we held exchange-traded derivative liabilities, other derivative liabilities and other credit agreements with a fair value of $321.4 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 May 31, 2019, cash collateral pledged was $289.3 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 May 31, 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	$	94,830
BBB- to BBB+	24,884
BB+ or lower	194,336
Unrated	131,239
Total	$	445,289

(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 Jefferies Group's written credit related derivative contracts are as follows (in millions):

	External Credit Rating
	Investment Grade		Non-investment grade		Unrated		Total Notional
May 31, 2019
Credit protection sold:
Index credit default swaps	$	3.0	$	76.0	$	—	$	79.0
Single name credit default swaps	$	14.1	$	50.4	$	32.9	$	97.4
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):

	May 31, 2019			November 30, 2018
Derivative instrument liabilities with credit-risk-related contingent features	$	41.1		$	93.5
Collateral posted	$	(11.6	)	$	(61.5	)
Collateral received	$	30.5		$	91.5
Return of and additional collateral required in the event of a credit rating downgrade below investment grade (1)	$	59.9		$	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.