Derivative Financial Instruments (Tables)
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9 Months Ended |
Aug. 31, 2019 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| 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 August 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) | August 31, 2019 (1) | | | | | | | | Derivatives designated as accounting hedges: | | | | | | | | Interest rate contracts: | | | | | | | | Cleared OTC | $ | 38,588 |
| | 1 |
| | $ | — |
| | — |
| Total derivatives designated as accounting hedges | 38,588 |
| | | | — |
| | | | | | | | | | | Derivatives not designated as accounting hedges: | | | | | | | | Interest rate contracts: | | | | | | | | Exchange-traded | 1,766 |
| | 39,912 |
| | 873 |
| | 45,448 |
| Cleared OTC | 863,437 |
| | 3,335 |
| | 903,989 |
| | 3,947 |
| Bilateral OTC | 539,158 |
| | 1,865 |
| | 241,817 |
| | 474 |
| Foreign exchange contracts: | | | | | | | | Exchange-traded | — |
| | 191 |
| | — |
| | 87 |
| Bilateral OTC | 552,066 |
| | 8,566 |
| | 548,854 |
| | 8,319 |
| Equity contracts: | | | | | | | | Exchange-traded | 741,307 |
| | 1,998,268 |
| | 1,091,142 |
| | 1,611,110 |
| Bilateral OTC | 228,415 |
| | 4,073 |
| | 357,356 |
| | 4,428 |
| Commodity contracts: | | | | | | | | Exchange-traded | 1,418 |
| | 9,523 |
| | — |
| | 6,239 |
| Bilateral OTC | 27,839 |
| | 2,794 |
| | 170 |
| | 1,779 |
| Credit contracts: | | | | | | | | Cleared OTC | 5,210 |
| | 12 |
| | 7,988 |
| | 16 |
| Bilateral OTC | 10,183 |
| | 34 |
| | 9,993 |
| | 21 |
| Total derivatives not designated as accounting hedges | 2,970,799 |
| | |
| | 3,162,182 |
| | |
| | | | | | | | | Total gross derivative assets/ liabilities: | | | | | | | | Exchange-traded | 744,491 |
| | | | 1,092,015 |
| | | Cleared OTC | 907,235 |
| | | | 911,977 |
| | | Bilateral OTC | 1,357,661 |
| | | | 1,158,190 |
| | | Amounts offset in Consolidated Statement of Financial Condition (3): | | | | | | | |
| Exchange-traded | (723,158 | ) | | | | (723,158 | ) | | | Cleared OTC | (871,162 | ) | | | | (881,963 | ) | | | Bilateral OTC | (900,325 | ) | | | | (994,255 | ) | | | Net amounts per Consolidated Statement of Financial Condition (4) | $ | 514,742 |
| | | | $ | 562,806 |
| | |
(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 |
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| | | | | | | | | 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 |
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| | (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. |
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| 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 Nine Months Ended | | August 31, 2019 | | September 30, 2018 | | August 31, 2019 | | September 30, 2018 | Interest rate swaps | $ | 28,052 |
| | $ | (1,161 | ) | | $ | 69,843 |
| | $ | (22,363 | ) | Long-term debt | (28,519 | ) | | 1,221 |
| | (72,288 | ) | | 24,055 |
| Total | $ | (467 | ) | | $ | 60 |
| | $ | (2,445 | ) | | $ | 1,692 |
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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 Nine Months Ended | | August 31, 2019 | | September 30, 2018 | | August 31, 2019 | | September 30, 2018 | Interest rate contracts | $ | (89,864 | ) | | $ | 13,951 |
| | $ | (193,715 | ) | | $ | 36,053 |
| Foreign exchange contracts | (1,839 | ) | | (4,781 | ) | | 269 |
| | 6,737 |
| Equity contracts | 2,236 |
| | 1,019 |
| | (118,354 | ) | | (249,546 | ) | Commodity contracts | 2,285 |
| | (6,845 | ) | | 4,057 |
| | (23,150 | ) | Credit contracts | 2,687 |
| | 20 |
| | 11,600 |
| | 760 |
| Total | $ | (84,495 | ) | | $ | 3,364 |
| | $ | (296,143 | ) | | $ | (229,146 | ) |
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| 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 August 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 | $ | 18,781 |
| | $ | 9,058 |
| | $ | — |
| | $ | (170 | ) | | $ | 27,669 |
| Equity swaps and options | 57,345 |
| | 1 |
| | 3,579 |
| | (3,572 | ) | | 57,353 |
| Credit default swaps | 887 |
| | 826 |
| | — |
| | (81 | ) | | 1,632 |
| Total return swaps | 25,166 |
| | 70,022 |
| | — |
| | (334 | ) | | 94,854 |
| Foreign currency forwards, swaps and options | 112,654 |
| | 4,740 |
| | 7 |
| | (3,538 | ) | | 113,863 |
| Fixed income forwards | 556 |
| | — |
| | — |
| | — |
| | 556 |
| Interest rate swaps, options and forwards | 76,320 |
| | 225,447 |
| | 183,737 |
| | (56,767 | ) | | 428,737 |
| Total | $ | 291,709 |
| | $ | 310,094 |
| | $ | 187,323 |
| | $ | (64,462 | ) | | 724,664 |
| Cross product counterparty netting | |
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| | |
| | |
| | (26,934 | ) | Total OTC derivative assets included in Trading assets | |
| | |
| | |
| | |
| | $ | 697,730 |
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| | (1) | At August 31, 2019, we held net exchange-traded derivative assets, other derivative assets and other credit agreements with a fair value of $30.3 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 August 31, 2019, cash collateral received was $213.2 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 | $ | 170 |
| | $ | — |
| | $ | — |
| | $ | (170 | ) | | $ | — |
| Equity swaps and options | 8,679 |
| | 123,854 |
| | 49,873 |
| | (3,572 | ) | | 178,834 |
| Credit default swaps | 35 |
| | 6,291 |
| | — |
| | (81 | ) | | 6,245 |
| Total return swaps | 77,259 |
| | 25,160 |
| | — |
| | (334 | ) | | 102,085 |
| Foreign currency forwards, swaps and options | 108,267 |
| | 2,758 |
| | 2,984 |
| | (3,538 | ) | | 110,471 |
| Fixed income forwards | 868 |
| | — |
| | — |
| | — |
| | 868 |
| Interest rate swaps, options and forwards | 42,416 |
| | 43,161 |
| | 109,564 |
| | (56,767 | ) | | 138,374 |
| Total | $ | 237,694 |
| | $ | 201,224 |
| | $ | 162,421 |
| | $ | (64,462 | ) | | 536,877 |
| Cross product counterparty netting | |
| | |
| | |
| | |
| | (26,934 | ) | Total OTC derivative liabilities included in Trading liabilities | |
| | |
| | |
| | |
| | $ | 509,943 |
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| | (1) | At August 31, 2019, we held net exchange-traded derivative liabilities, other derivative liabilities and other credit agreements with a fair value of $370.8 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 August 31, 2019, cash collateral pledged was $318.0 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.
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| Counterparty Credit Quality With Respect To Fair Value Of OTC Derivatives Assets |
At August 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 | $ | 169,620 |
| BBB- to BBB+ | 47,945 |
| BB+ or lower | 275,252 |
| Unrated | 204,913 |
| Total | $ | 697,730 |
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(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.
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| 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 | August 31, 2019 | | | | | | | | | Credit protection sold: | | | | | | | | | Index credit default swaps | | $ | — |
| | $ | 96.8 |
| | $ | — |
| | $ | 96.8 |
| Single name credit default swaps | | $ | 7.6 |
| | $ | 31.6 |
| | $ | 32.9 |
| | $ | 72.1 |
| | | | | | | | | | 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 |
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| 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): | | | | | | | | | | August 31,
2019 | | November 30, 2018 | Derivative instrument liabilities with credit-risk-related contingent features | $ | 113.7 |
| | $ | 93.5 |
| Collateral posted | $ | (80.0 | ) | | $ | (61.5 | ) | Collateral received | $ | 57.0 |
| | $ | 91.5 |
| Return of and additional collateral required in the event of a credit rating downgrade below investment grade (1) | $ | 90.6 |
| | $ | 123.3 |
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(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.
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