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Fair Value Disclosures (Tables)
 9 Months Ended
Aug. 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 $573.5 million and $394.4 million at August 31, 2019 and November 30, 2018, respectively, by level within the fair value hierarchy (in thousands):
 
August 31, 2019
 
Level 1
 
Level 2
 
Level 3
 
Counterparty
and
Cash
Collateral
Netting (1)
 
Total
Assets:
 
 
 
 
 
 
 
 
 
Trading assets, at fair value:
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
2,938,829

 
$
162,382

 
$
50,870

 
$
—

 
$
3,152,081

Corporate debt securities
—

 
2,892,733

 
9,288

 
—

 
2,902,021

Collateralized debt obligations and
collateralized loan obligations
—

 
114,045

 
30,258

 
—

 
144,303

U.S. government and federal agency securities
2,115,452

 
204,076

 
—

 
—

 
2,319,528

Municipal securities
—

 
723,542

 
—

 
—

 
723,542

Sovereign obligations
1,521,540

 
1,088,927

 
—

 
—

 
2,610,467

Residential mortgage-backed securities
—

 
1,405,246

 
17,929

 
—

 
1,423,175

Commercial mortgage-backed securities
—

 
373,319

 
5,462

 
—

 
378,781

Other asset-backed securities
—

 
490,055

 
34,598

 
—

 
524,653

Loans and other receivables
—

 
1,460,982

 
75,563

 
—

 
1,536,545

Derivatives
10,587

 
2,982,776

 
16,024

 
(2,494,645
)
 
514,742

Investments at fair value
—

 
41,548

 
292,483

 
—

 
334,031

FXCM term loan
—

 
—

 
58,590

 
—

 
58,590

Total trading assets, excluding investments at fair value based on NAV
$
6,586,408


$
11,939,631


$
591,065


$
(2,494,645
)

$
16,622,459

Securities purchased under agreements to resell
$
—

 
$
—

 
$
25,000

 
$
—

 
$
25,000

 
 
 
 
 
 
 
 
 
 
Liabilities:
 

 
 

 
 

 
 

 
 

Trading liabilities:
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
2,750,131

 
$
7,097

 
$
211

 
$
—

 
$
2,757,439

Corporate debt securities
—

 
1,803,666

 
1,202

 
—

 
1,804,868

U.S. government and federal agency securities
1,922,145

 
—

 
—

 
—

 
1,922,145

Sovereign obligations
1,281,332

 
853,882

 
—

 
—

 
2,135,214

Commercial mortgage-backed securities
—

 
—

 
35

 
—

 
35

Loans
—

 
1,097,178

 
16,630

 
—

 
1,113,808

Derivatives
7,327

 
3,088,068

 
66,787

 
(2,599,376
)
 
562,806

Total trading liabilities
$
5,960,935


$
6,849,891


$
84,865


$
(2,599,376
)

$
10,296,315

Long-term debt
$
—

 
$
666,446

 
$
348,063

 
$
—

 
$
1,014,509

 
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
August 31, 2019
 
 
 
Equity Long/Short Hedge Funds (2)
$
292,205

 
$
—

Equity Funds (3)
33,891

 
19,154

Commodity Funds (4)
15,212

 
—

Multi-asset Funds (5)
231,991

 
—

Other Funds (6)
158

 
—

Total
$
573,457

 
$
19,154

 
 
 
 
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 August 31, 2019 and November 30, 2018, approximately 94% 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 August 31, 2019 and November 30, 2018, 6% and 17%, respectively, of these investments are redeemable quarterly with 60 days prior written notice. Approximately 82% of the November 30, 2018 balance was redeemed during the nine months ended August 31, 2019.
(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 nine 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 August 31, 2019 and November 30, 2018, investments representing approximately 4% 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 three months ended August 31, 2019 (in thousands):
Three Months Ended August 31, 2019
 
Balance, May 31, 2019
 
Total gains/ losses
(realized and unrealized) (1)
 
Purchases
 
Sales
 
Settlements
 
Issuances
 
Net transfers
into (out of)
Level 3
 
Balance, August 31, 2019
 
Changes in
unrealized gains/losses included in earnings relating to instruments still held at
August 31, 2019 (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
59,572

 
$
12,547

 
$
16,508

 
$
(17,502
)
 
$
—

 
$
—

 
$
(20,255
)
 
$
50,870

 
$
12,067

Corporate debt securities
8,346

 
(3,072
)
 
1,175

 
(1,942
)
 
(85
)
 
—

 
4,866

 
9,288

 
(3,047
)
CDOs and CLOs
25,912

 
(1,499
)
 
—

 
—

 
(609
)
 
—

 
6,454

 
30,258

 
(2,097
)
Residential mortgage-backed securities
17,266

 
(1,917
)
 
—

 
(65
)
 
(22
)
 
—

 
2,667

 
17,929

 
(1,435
)
Commercial mortgage-backed securities
12,530

 
(2,003
)
 
—

 
(1,703
)
 
(3,362
)
 
—

 
—

 
5,462

 
(3,143
)
Other asset-backed securities
43,185

 
(1,689
)
 
13,497

 
(6,975
)
 
(5,500
)
 
—

 
(7,920
)
 
34,598

 
(1,068
)
Loans and other receivables
98,484

 
(2,847
)
 
26,921

 
(33,409
)
 
(1,287
)
 
—

 
(12,299
)
 
75,563

 
(2,392
)
Investments at fair value
408,739

 
(152,162
)
 
1,067

 
(296
)
 
—

 
—

 
35,135

 
292,483

 
(152,162
)
FXCM term loan
56,600

 
2,293

 
—

 
—

 
(303
)
 
—

 
—

 
58,590

 
2,293

Securities purchased under
  agreements to resell
25,000

 
—

 
—

 
—

 
—

 
—

 
—

 
25,000

 
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 

 
 
 
 

 
 

 
 

 
 

 
 

 
 

 
 

Trading liabilities:
 

 
 
 
 

 
 

 
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
221

 
$
401

 
$
(221
)
 
$
—

 
$
(190
)
 
$
—

 
$
—

 
$
211

 
$
(35
)
Corporate debt securities
669

 
(650
)
 
(34
)
 
—

 
(369
)
 
—

 
1,586

 
1,202

 
649

Commercial mortgage-backed securities
—

 
—

 
—

 
35

 
—

 
—

 
—

 
35

 
—

Loans
9,428

 
(520
)
 
(10,281
)
 
5,384

 
—

 
—

 
12,619

 
16,630

 
531

Net derivatives (2)
47,449

 
(19,519
)
 
—

 
6,766

 
(14
)
 
—

 
16,081

 
50,763

 
18,507

Long-term debt (1)
236,562

 
7,455

 
—

 
—

 
—

 
114,641

 
(10,595
)
 
348,063

 
(8,162
)

(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 August 31, 2019 were gains of $0.7 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 September 30, 2018 (in thousands):
Three Months Ended September 30, 2018
 
Balance, June 30, 2018
 
Total gains/ losses
(realized and unrealized) (1)
 
Purchases
 
Sales
 
Settlements
 
Issuances
 
Net transfers
into (out of)
Level 3
 
Balance, September 30, 2018
 
Changes in
unrealized gains/ losses relating to instruments still held at
September 30, 2018 (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
44,871

 
$
11,796

 
$
17,652

 
$
(23,010
)
 
$
(302
)
 
$
—

 
$
(1,324
)
 
$
49,683

 
$
9,136

Corporate debt securities
28,066

 
1,057

 
507

 
(21,403
)
 
(59
)
 
—

 
1,483

 
9,651

 
(165
)
CDOs and CLOs
42,517

 
(967
)
 
238,281

 
(240,002
)
 
(2,127
)
 
—

 
(3,721
)
 
33,981

 
(3,872
)
Residential mortgage-backed securities
3,655

 
(66
)
 
72

 
(1,597
)
 
(1
)
 
—

 
2,891

 
4,954

 
90

Commercial mortgage-backed securities
27,239

 
(222
)
 
8

 
—

 
(1,156
)
 
—

 
(1,953
)
 
23,916

 
(288
)
Other asset-backed securities
55,535

 
(2,269
)
 
307,358

 
(290,838
)
 
(4,356
)
 
—

 
3,875

 
69,305

 
(1,124
)
Loans and other receivables
64,036

 
(1,353
)
 
14,932

 
(23,700
)
 
(3,453
)
 
—

 
(1,477
)
 
48,985

 
1,007

Investments at fair value
318,543

 
2,383

 
6,051

 
—

 
—

 
—

 
—

 
326,977

 
2,383

FXCM term loan
76,100

 
1,347

 
—

 
—

 
(3,647
)
 
—

 
—

 
73,800

 
(2,300
)
Liabilities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Trading liabilities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
87

 
$
326

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
413

 
$
(326
)
Corporate debt securities
522

 
39

 
—

 
—

 
996

 
—

 
—

 
1,557

 
(39
)
Sovereign obligations
—

 
3

 
(598
)
 
629

 
—

 
—

 
21

 
55

 
(124
)
Commercial mortgage-backed securities
—

 
70

 
—

 
—

 
—

 
—

 
—

 
70

 
(70
)
Loans
12,881

 
(148
)
 
(4,871
)
 
1,787

 
—

 
—

 
(988
)
 
8,661

 
149

Net derivatives (2)
5,874

 
1,107

 
—

 
—

 
1,990

 
—

 
26

 
8,997

 
(2,090
)
Long-term debt (1)
160,626

 
3,004

 
—

 
—

 
—

 
—

 
—

 
163,630

 
(2,953
)

(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 September 30, 2018 were losses of $0.1 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 nine months ended September 30, 2018 (in thousands):
Nine Months Ended September 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, September 30, 2018
 
Changes in
unrealized gains/ losses relating to instruments still held at
September 30, 2018 (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
22,270

 
$
31,475

 
$
35,993

 
$
(39,008
)
 
$
(2,082
)
 
$
—

 
$
1,035

 
$
49,683

 
$
26,852

Corporate debt securities
26,036

 
1,090

 
22,204

 
(38,553
)
 
(2,066
)
 
—

 
940

 
9,651

 
(1,738
)
CDOs and CLOs
42,184

 
(4,123
)
 
242,864

 
(249,691
)
 
(5,859
)
 
—

 
8,606

 
33,981

 
(7,333
)
Residential mortgage-backed securities
26,077

 
(7,334
)
 
2,018

 
(12,621
)
 
(6
)
 
—

 
(3,180
)
 
4,954

 
316

Commercial mortgage-backed securities
12,419

 
(1,236
)
 
1,720

 
(548
)
 
(5,415
)
 
—

 
16,976

 
23,916

 
(2,272
)
Other asset-backed securities
61,129

 
(7,528
)
 
523,045

 
(495,055
)
 
(12,281
)
 
—

 
(5
)
 
69,305

 
(3,307
)
Loans and other receivables
47,304

 
(2,812
)
 
104,009

 
(98,733
)
 
(14,610
)
 
—

 
13,827

 
48,985

 
(3,769
)
Investments at fair value
329,944

 
3,865

 
9,791

 
(17,569
)
 
—

 
—

 
946

 
326,977

 
3,271

FXCM term loan
72,800

 
16,432

 
—

 
—

 
(15,432
)
 
—

 
—

 
73,800

 
5,539

Liabilities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Trading liabilities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
48

 
$
365

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
413

 
$
(365
)
Corporate debt securities
522

 
39

 
—

 
—

 
996

 
—

 
—

 
1,557

 
(39
)
Sovereign obligations
—

 
3

 
(598
)
 
629

 
—

 
—

 
21

 
55

 
(124
)
Commercial mortgage-backed securities
105

 
(35
)
 
—

 
—

 
—

 
—

 
—

 
70

 
(70
)
Loans
3,486

 
(1,059
)
 
(15,702
)
 
19,409

 
—

 
—

 
2,527

 
8,661

 
1,059

Net derivatives (2)
6,746

 
(1,034
)
 
(6
)
 
—

 
2,984

 
296

 
11

 
8,997

 
(2,660
)
Long-term debt (1)
—

 
(25,078
)
 
—

 
—

 
—

 
81,284

 
107,424

 
163,630

 
13,235


(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 September 30, 2018 were gains of $11.8 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 nine months ended August 31, 2019 (in thousands):
Nine Months Ended August 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, August 31, 2019
 
Changes in
unrealized gains/losses included in earnings relating to instruments still held at
August 31, 2019 (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
52,192

 
$
15,499

 
$
23,172

 
$
(25,431
)
 
$
(669
)
 
$
—

 
$
(13,893
)
 
$
50,870

 
$
14,071

Corporate debt securities
9,484

 
(4,904
)
 
6,080

 
(10,544
)
 
(553
)
 
—

 
9,725

 
9,288

 
(5,325
)
CDOs and CLOs
36,105

 
(4,320
)
 
48,112

 
(43,230
)
 
(3,014
)
 
—

 
(3,395
)
 
30,258

 
(6,781
)
Residential mortgage-backed securities
19,603

 
(2,573
)
 
2,166

 
(2,022
)
 
(171
)
 
—

 
926

 
17,929

 
(2,166
)
Commercial mortgage-backed securities
10,886

 
(2,196
)
 
11

 
(2,023
)
 
(6,638
)
 
—

 
5,422

 
5,462

 
(4,326
)
Other asset-backed securities
53,175

 
(929
)
 
14,698

 
(2,494
)
 
(30,623
)
 
—

 
771

 
34,598

 
(961
)
Loans and other receivables
46,985

 
3,933

 
178,069

 
(166,496
)
 
(8,379
)
 
—

 
21,451

 
75,563

 
682

Investments at fair value
396,254

 
(119,110
)
 
42,579

 
(18,598
)
 
—

 
—

 
(8,642
)
 
292,483

 
(119,110
)
FXCM term loan
73,150

 
(8,669
)
 
1,500

 
—

 
(7,391
)
 
—

 
—

 
58,590

 
(8,669
)
Securities purchased under
  agreements to resell
—

 
—

 
—

 
—

 
—

 
25,000

 
—

 
25,000

 
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Trading liabilities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
—

 
$
401

 
$
—

 
$
—

 
$
(190
)
 
$
—

 
$
—

 
$
211

 
$
(35
)
Corporate debt securities
522

 
(867
)
 
—

 
—

 
(524
)
 
—

 
2,071

 
1,202

 
867

Commercial mortgage-backed securities
—

 
—

 
—

 
35

 
—

 
—

 
—

 
35

 
—

Loans
6,376

 
(1,342
)
 
(8,553
)
 
9,929

 
—

 
—

 
10,220

 
16,630

 
1,583

Net derivatives (2)
21,614

 
(48,746
)
 
(2,829
)
 
16,313

 
1,609

 
—

 
62,802

 
50,763

 
40,052

Long-term debt (1)
200,745

 
(5,286
)
 
—

 
—

 
(11,250
)
 
204,710

 
(40,856
)
 
348,063

 
(4,517
)

(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 August 31, 2019 were gains of $9.8 million.
(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.
August 31, 2019
Financial Instruments Owned
 
Fair Value
(in thousands)
 
Valuation
 Technique
 
Significant
Unobservable Input(s)
 
Input/Range
 
Weighted
Average
Corporate equity securities
 
$
45,344

 
 
 
 
 
 
 
 
Non-exchange-traded securities
 
 

 
Market approach
 
Price
 
$3 to $177
 
$143
 
 
 
 

 
Underlying stock price
 
$3 to $5
 
$4
 
 
 
 
 
 
 
 
 
 
 
Corporate debt securities
 
$
9,288

 
Scenario analysis
 
Estimated recovery percentage
 
38% to 49%
 
42
%
 
 
 
 

 
Volatility
 
44%
 
—

 
 
 
 
 
 
Credit spread
 
750
 
—

 
 
 
 
 
 
Underlying stock price
 
£0.4
 
—

 
 
 
 
 
 
 
 
 
 
 
CDOs and CLOs
 
$
30,258

 
Discounted cash flows
 
Constant prepayment rate
 
15% to 20%
 
19
%
 
 
 

 
   
 
Constant default rate
 
1% to 2%
 
2
%
 
 
 

 
   
 
Loss severity
 
25% to 30%
 
27
%
 
 
 

 
   
 
Discount rate/yield
 
13% to 16%
 
14
%
 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
4% to 37%
 
26
%
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-backed securities
 
$
17,929

 
Discounted cash flows
 
Cumulative loss rate
 
2%
 
—

 
 
 

 
   
 
Duration (years)
 
7 years
 
—

 
 
 

 
   
 
Discount rate/yield
 
3%
 
—

 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage-backed securities
 
$
5,462

 
Discounted cash flows
 
Cumulative loss rate
 
80%
 
—

 
 
 

 
   
 
Duration (years)
 
1 year
 
—

 
 
 
 
 
 
Discount rate/yield
 
5%
 
—

 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
44%
 
—

 
 
 
 
 
 
 
 
 
 
 
Other asset-backed securities
 
$
34,598

 
Discounted cash flows
 
Cumulative loss rate
 
7% to 31%
 
18
%
 
 
 

 
   
 
Duration (years)
 
1 year to 3 years
 
2 years
 
 
 

 
   
 
Discount rate/yield
 
7% to 12%
 
11
%
 
 
 
 
 
 
 
 
 
 
 
Loans and other receivables
 
$
74,057

 
Market approach
 
Price
 
$41 to $100
 
$81
 
 
 

 
Scenario analysis
 
Estimated recovery percentage
 
1% to 117%
 
68
%
 
 
 
 
 
 
 
 
 
 
 
Derivatives
 
$
13,538

 
 
 
 
 
 
 
 

Interest rate swaps
 
 
 
    Market approach
 
Basis points upfront
 
0 to 7
 
3

 
 
 
 
 
 
 
 
 
 
 
Investments at fair value
 
$
229,586

 
 
 
 
 
 
 
 

Private equity securities
 
 
 
Market approach
 
Price
 
$8 to $250
 
$125
 
 
 
 
Scenario analysis
 
Discount rate/yield
 
20%
 
—

 
 
 
 
 
 
Revenue growth
 
0%
 
—

 
 
 
 
Market approach
 
Price
 
$38
 
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Investment in FXCM
 
$
58,590

 
 
 
 
 
 
 
 

Term loan
 
 
 
Discounted cash flows
 
Term based on the pay off (years)
 
0 months to 1.5 years
 
1.5 years
 
 
 
 
 
 
 
 
 
 
 
Securities purchased under agreements to resell
 
$
25,000

 
Market approach
 
Spread to 6 month LIBOR
 
500
 
—

 
 
 
 
 
 
Duration (years)
 
2 years
 
—

 
 

 
 
 
 
 
 
 
 
Trading Liabilities
 
 
 
 
 
 
 
 
 
 
Loans
 
$
16,630

 
Market approach
 
Price
 
$50 to $98
 
$78
 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
1% to 75%
 
27
%
 
 
 
 
 
 
 
 
 
 
 
Derivatives
 
$
65,927

 
 
 
 
 
 
 
 

Equity options
 
 
 
 Volatility benchmarking
 
Volatility
 
29% to 59%
 
42
%
Interest rate swaps
 
 
 
    Market approach
 
Basis points upfront
 
0 to 10
 
4

Cross currency swaps
 
 
 
 
 
Basis points upfront
 
2
 
—

Unfunded commitments
 
 
 
 
 
Price
 
$90
 
—

 
 
 
 
 
 
 
 
 
 
 
Long-term debt
 
$
348,063

 
 
 
 
 
 
 
 

Structured notes
 
 
 
    Market approach
 
Price
 
$89 to $102
 
$97
 
 
 
 
 
 
Price
 
€70 to €103
 
€89
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 measured at fair value under the fair value option (in thousands):
 
For the Three Months Ended
 
For the Nine Months Ended
 
August 31, 2019
 
September 30, 2018
 
August 31, 2019
 
September 30, 2018
Trading Assets:
 
 
 
 
 
 
 
Loans and other receivables
$
2,040

 
$
14,002

 
$
(5,458
)
 
$
7,495

 
 
 
 
 
 
 
 
Trading Liabilities:
 

 
 

 
 

 
 

Loans
$
—

 
$
(2,708
)
 
$
—

 
$
(2,467
)
Loan commitments
$
(443
)
 
$
(1,695
)
 
$
(1,200
)
 
$
(1,964
)
 
 
 
 
 
 
 
 
Long-term Debt:
 

 
 

 
 

 
 

Changes in instrument specific credit risk (1)
$
6,922

 
$
1,401

 
$
34,414

 
$
19,986

Other changes in fair value (2)
$
(46,003
)
 
$
(6,842
)
 
$
(93,311
)
 
$
33,626


(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):
 
August 31,
2019
 
November 30, 2018
Trading Assets:
 
 
 
Loans and other receivables (1)
$
1,356,508

 
$
961,554

Loans and other receivables on nonaccrual status and/or 90 days or greater past due (1) (2)
$
139,795

 
$
158,392

Long-term Debt
$
59,370

 
$
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 $20.9 million and $20.5 million at August 31, 2019 and November 30, 2018, respectively