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Fair Value Disclosures (Tables)

3 Months Ended

Feb. 28, 2022

Schedule of Assets and Liabilities Measured on Recurring Basis at Fair Value

The following is a summary of our financial assets and liabilities that are accounted for at fair value on a recurring basis, excluding Investments at fair value based on net asset value ("NAV") of $1.16 billion and $1.03 billion at February 28, 2022 and November 30, 2021, respectively, by level within the fair value hierarchy (in thousands):


	February 28, 2022
	Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (1)		Total
Assets:
Financial instruments owned, at fair value:
Corporate equity securities	$	3,304,106	$	162,651	$	113,922	$	—	$	3,580,679
Corporate debt securities	—		3,625,783		42,358		—		3,668,141
Collateralized debt obligations and collateralized loan obligations	—		870,505		45,219		—		915,724
U.S. government and federal agency securities	3,767,868		50,574		—		—		3,818,442
Municipal securities	—		480,000		—		—		480,000
Sovereign obligations	1,177,045		932,076		23		—		2,109,144
Residential mortgage-backed securities	—		798,936		1,186		—		800,122
Commercial mortgage-backed securities	—		181,635		3,732		—		185,367
Other asset-backed securities	—		624,575		62,382		—		686,957
Loans and other receivables	—		3,428,850		137,942		—		3,566,792
Derivatives	4,659		3,666,288		13,144		(3,246,638)		437,453
Investments at fair value	—		4,565		169,808		—		174,373
FXCM term loan	—		—		50,335		—		50,335

Total financial instruments owned, at fair value, excluding investments at fair value based on NAV	$	8,253,678	$	14,826,438	$	640,051	$	(3,246,638)	$	20,473,529

Loans to and investments in associated companies	$	—	$	—	$	22,480	$	—	$	22,480
Securities received as collateral, at fair value	$	973	$	—	$	—	$	—	$	973









Liabilities:
Financial instruments sold, not yet purchased, at fair value:
Corporate equity securities	$	2,031,781	$	13,988	$	5,666	$	—	$	2,051,435
Corporate debt securities	—		2,405,463		7,308		—		2,412,771
U.S. government and federal agency securities	4,615,370		—		—		—		4,615,370

Sovereign obligations	1,302,485		888,806		1,159		—		2,192,450

Commercial mortgage-backed securities	—		—		315		—		315
Loans	—		2,486,780		11,541		—		2,498,321
Derivatives	2,825		4,365,554		60,914		(3,486,083)		943,210
Total financial instruments sold, not yet purchased, at fair value	$	7,952,461	$	10,160,591	$	86,903	$	(3,486,083)	$	14,713,872


Other secured financings	$	—	$	125,631	$	32,377	$	—	$	158,008
Long-term debt	$	—	$	967,703	$	794,460	$	—	$	1,762,163
Obligation to return securities received as collateral, at fair value	$	973	$	—	$	—	$	—	$	973


	November 30, 2021
	Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (1)		Total
Assets:
Financial instruments owned, at fair value:
Corporate equity securities	$	2,737,255	$	257,318	$	87,647	$	—	$	3,082,220
Corporate debt securities	—		3,836,341		11,803		—		3,848,144
Collateralized debt obligations and collateralized loan obligations	—		579,518		31,946		—		611,464
U.S. government and federal agency securities	3,045,295		68,784		—		—		3,114,079
Municipal securities	—		509,559		—		—		509,559
Sovereign obligations	899,086		654,199		—		—		1,553,285
Residential mortgage-backed securities	—		1,168,246		1,477		—		1,169,723
Commercial mortgage-backed securities	—		196,419		2,333		—		198,752
Other asset-backed securities	—		337,022		93,524		—		430,546
Loans and other receivables	—		3,363,050		135,239		—		3,498,289
Derivatives	4,429		3,861,551		10,248		(3,305,756)		570,472
Investments at fair value	—		11,369		154,373		—		165,742
FXCM term loan	—		—		50,455		—		50,455
Total financial instruments owned, at fair value, excluding investments at fair value based on NAV	$	6,686,065	$	14,843,376	$	579,045	$	(3,305,756)	$	18,802,730


Loans to and investments in associated companies	$	—	$	—	$	30,842	$	—	$	30,842
Securities received as collateral, at fair value	$	7,289	$	—	$	—	$	—	$	7,289

Liabilities:
Financial instruments sold, not yet purchased, at fair value:
Corporate equity securities	$	1,671,696	$	19,654	$	4,635	$	—	$	1,695,985
Corporate debt securities	—		2,111,777		482		—		2,112,259
U.S. government and federal agency securities	2,457,420		—		—		—		2,457,420
Sovereign obligations	935,801		593,040		—		—		1,528,841
Residential mortgage-backed securities	—		719		—		—		719
Commercial mortgage-backed securities	—		—		210		—		210
Loans	—		2,476,087		15,770		—		2,491,857
Derivatives	1,815		5,034,544		78,017		(3,702,200)		1,412,176
Total financial instruments sold, not yet purchased, at fair value	$	5,066,732	$	10,235,821	$	99,114	$	(3,702,200)	$	11,699,467


Other secured financings	$	—	$	76,883	$	25,905	$	—	$	102,788
Long-term debt	$	—	$	961,866	$	881,732	$	—	$	1,843,598
Obligation to return securities received as collateral, at fair value	$	7,289	$	—	$	—	$	—	$	7,289

(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
February 28, 2022
Equity Long/Short Hedge Funds (2)	$	413,151	$	—
Equity Funds (3)	51,341		41,532
Commodity Fund (4)	23,636		—
Multi-asset Funds (5)	366,855		—
Other Funds (6)	304,424		25,335
Total	$	1,159,407	$	66,867

November 30, 2021
Equity Long/Short Hedge Funds (2)	$	466,231	$	—
Equity Funds (3)	46,030		17,815
Commodity Fund (4)	24,401		—
Multi-asset Funds (5)	390,224		—
Other Funds (6)	99,054		36,090
Total	$	1,025,940	$	53,905

(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 both public and private equity securities in domestic and international markets. At February 28, 2022 and November 30, 2021, approximately 73% and 74%, respectively, of the fair value of investments are redeemable quarterly with 90 days prior written notice on December 31, 2021. At both February 28, 2022 and November 30, 2021, approximately 21% of the fair value of investments in this category cannot be redeemed because these investments include restrictions that do not allow for redemption before November 30, 2023. The remaining 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 a broad range of industries. These investments cannot be redeemed; instead distributions are received through the liquidation of the underlying assets of the funds, which are primarily expected to be liquidated in approximately one to thirteen 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 February 28, 2022 and November 30, 2021, investments representing approximately 82% and 78%, respectively, of the fair value of investments in this category are redeemable monthly with 60 days prior written notice. At February 28, 2022 and November 30, 2021, approximately 18% and 22%, respectively, of the fair value of investments in this category are redeemable quarterly with 90 days prior written notice.

(6)This category includes investments in a fund that invests in short-term trade receivables and payables that are expected to generally be outstanding between 90 to 120 days and short-term credit instruments. This category also includes investments

in a fund that invests in distressed and special situations long and short credit strategies across sectors and asset types. Investments in this category are redeemable quarterly with 90 days prior written notice.I

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 February 28, 2022 (in thousands):


	Balance, November 30, 2021		Total gains/ losses (realized and unrealized) (1)		Purchases		Sales		Settlements		Issuances		Net transfers into (out of) Level 3		Balance, February 28, 2022		Changes in unrealized gains/losses included in earnings relating to instruments still held at February 28, 2022 (1)
Assets:
Financial instruments owned, at fair value:
Corporate equity securities	$	87,647	$	1,824	$	2,079	$	(706)	$	(651)	$	—	$	23,729	$	113,922	$	1,065
Corporate debt securities	11,803		(1,176)		118,970		(103,602)		(9)		—		16,372		42,358		(1,929)
CDOs and CLOs	31,946		(671)		13,523		(7,740)		(1,643)		—		9,804		45,219		(906)

Sovereign obligations	—		(306)		3,780		(3,451)		—		—		—		23		(60)
Residential mortgage-backed securities	1,477		(69)		—		(187)		(35)		—		—		1,186		(44)
Commercial mortgage-backed securities	2,333		1,177		—		—		—		—		222		3,732		1,655
Other asset-backed securities	93,524		2,033		11,588		(14,485)		(14,269)		—		(16,009)		62,382		(3,661)
Loans and other receivables	135,239		(4,737)		11,549		(17,710)		—		—		13,601		137,942		(4,585)
Investments at fair value	154,373		32,034		14,249		(6,826)		(615)		—		(23,407)		169,808		28,557
FXCM term loan	50,455		(120)		—		—		—		—		—		50,335		(120)
Loans to and investments in associated companies	30,842		(8,362)		—		—		—		—		—		22,480		(8,362)


Liabilities:
Financial instruments sold, not yet purchased, at fair value:
Corporate equity securities	$	4,635	$	(3,447)	$	(812)	$	5,050	$	—	$	—	$	240	$	5,666	$	3,447
Corporate debt securities	482		(8,866)		(63,714)		66,976		—		—		12,430		7,308		5,210
Sovereign obligations	—		(1,362)		(99,374)		101,911		—		—		(16)		1,159		54
Commercial mortgage-backed securities	210		—		—		105		—		—		—		315		—
Loans	15,770		(46)		(13,125)		2,695		—		—		6,247		11,541		(135)
Net derivatives (2)	67,769		(54,836)		—		—		—		35,069		(232)		47,770		53,352
Other secured financings	25,905		—		—		—		—		6,472		—		32,377		—
Long-term debt (1)	881,732		(92,871)		—		—		—		23,753		(18,154)		794,460		60,739

(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 within Long-term debt are included in the 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 February 28, 2022 were gains of $32.1 million during the three months ended February 28, 2022.

(2)Net derivatives represent Financial instruments owned, at fair value - Derivatives and Financial instruments sold, not yet purchased, at fair value - Derivatives.


	Balance, November 30, 2020		Total gains/ losses (realized and unrealized) (1)		Purchases		Sales		Settlements		Issuances		Net transfers into (out of) Level 3		Balance, February 28, 2021		Changes in unrealized gains/ losses included in earnings relating to instruments still held at February 28, 2021 (1)
Assets:
Financial instruments owned, at fair value:
Corporate equity securities	$	75,904	$	2,339	$	4,805	$	(4,647)	$	—	$	—	$	23,664	$	102,065	$	1,165
Corporate debt securities	23,146		266		130		(6)		—		—		(16,725)		6,811		297
CDOs and CLOs	17,972		3,840		11,427		(8,007)		(5,806)		—		13,773		33,199		3,214


Residential mortgage-backed securities	21,826		1,327		791		(627)		(514)		—		(1,111)		21,692		1,347
Commercial mortgage-backed securities	2,003		(29)		1,105		(393)		—		—		(15)		2,671		97
Other asset-backed securities	79,995		2,361		14,604		(20,909)		(8,449)		—		(7,008)		60,594		1,721
Loans and other receivables	134,636		14,077		8,758		(44,427)		(66)		—		36,106		149,084		14,091
Investments at fair value	213,946		76,257		4,855		(30,159)		(3,542)		—		(41,816)		219,541		72,173
FXCM term loan	59,455		2,677		—		—		—		—		—		62,132		2,677
Loans to and investments in associated companies	40,185		(788)		—		—		—		—		—		39,397		(788)


Liabilities:
Financial instruments sold, not yet purchased, at fair value:
Corporate equity securities	$	4,434	$	9	$	—	$	—	$	—	$	—	$	—	$	4,443	$	(22)
Corporate debt securities	141		1,430		—		—		—		—		—		1,571		(1,430)

Commercial mortgage-backed securities	35		—		(35)		35		—		—		—		35		—
Loans	16,635		1,559		(6,821)		3,358		—		—		185		14,916		(1,559)
Net derivatives (2)	26,017		43,727		—		12,670		(92)		—		223,184		305,506		(43,727)
Other secured financings	1,543		—		—		—		—		625		—		2,168		—
Long-term debt (1)	676,028		25,357		—		—		—		21,730		—		723,115		15,501

(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 within long-term debt are included in the 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 February 28, 2021 were losses of $40.9 million during the three months ended February 28, 2021.

(2)Net derivatives represent Financial instruments owned, at fair value - Derivatives and Financial instruments sold, not yet purchased, at fair value - 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.


February 28, 2022
	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input/Range				Weighted Average
Financial instruments owned, at fair value
Corporate equity securities	$	113,535
Non-exchange-traded securities			Market approach	Price	$0		to	$344	$134
			Volatility benchmarking	Volatility	40	%	to	56%	55	%

Corporate debt securities	$	42,358	Market approach	Price	$13		to	$100	$91
				EBITDA multiple	3.4				—

CDOs and CLOs	$	45,219	Discounted cash flows	Constant prepayment rate	20%				—
				Constant default rate	2%				—
				Loss severity	25	%	to	70%	38	%
				Discount rate/yield	4	%	to	18%	13	%
			Market approach	Price	$73		to	$102	$93


Commercial mortgage- backed securities	$	3,732	Market approach	Price	$600				—
			Scenario analysis	Estimated recovery percentage	81%				—






Other asset-backed securities	$	46,733	Discounted cash flows	Constant prepayment rate	0	%	to	9%	4	%
				Constant default rate	2%				—
				Loss severity	50	%	to	88%	72	%
				Discount rate/yield	1	%	to	23%	15	%
				Cumulative loss rate	8	%	to	18%	14	%
				Duration (years)	1.2 years		to	7.0 years	5.0 years
			Market approach	Price	$37				—

Loans and other receivables	$	136,716	Market approach	Price	$29		to	$102	$89
			Scenario analysis	Estimated recovery percentage	5	%	to	94%	33	%

Derivatives	$	4,762
Equity Options			Volatility benchmarking	Volatility	41%				—
Interest rate swaps			Market approach	Basis points upfront	0.0		to	8.7	4.4
Total return swaps				Price	$101				—

Investments at fair value	$	151,693
Private equity securities			Market approach	Price	$1		to	$15,852	$549
			Discounted cash flows	Discount rate/yield	10	%	to	14%	12	%
			Scenario analysis	Discount rate/yield	13%				—

Investment in FXCM	$	50,335
Term loan			Discounted cash flows	Term based on the pay off (years)	0 months		to	1.9 years	1.9 years

Loans to and investments in associated companies
Non-exchange-traded warrants	$	22,480	Market approach	Underlying stock price	$671				—
				Underlying stock price	€13		to	€16	€15
				Volatility	25	%	to	59%	30	%



Financial instruments sold, not yet purchased, at fair value
Corporate equity securities	$	5,666
Non-exchange-traded securities			Market approach	Price	$1				—

Loans	$	11,541	Market approach	Price	$98				—
			Scenario analysis	Estimated recovery percentage	5%				—

Derivatives	$	56,329
Equity options			Volatility benchmarking	Volatility	30	%	to	57%	45	%
Interest rate swaps			Market approach	Basis points upfront	0.7		to	17.5	8.8
Total return swaps				Price	$101				—

Other secured financings	$	32,377	Scenario analysis	Estimated recovery percentage	13	%	to	36%	29	%
			Market approach	Price	$87				—

Long-term debt
Structured notes	$	794,460	Market approach	Price	$66		to	$106	$83
				Price	€73		to	€106	€93


November 30, 2021
	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input/Range				Weighted Average

Financial instruments owned, at fair value
Corporate equity securities	$	86,961
Non-exchange-traded securities			Market approach	Price	$1		to	$366	$183
			Volatility benchmarking	Volatility	40	%	to	53%	45	%

Corporate debt securities	$	11,803	Market approach	Price	$13		to	$100	$86

CDOs and CLOs	$	31,944	Discounted cash flows	Constant prepayment rate	20%				—
				Constant default rate	2%				—
				Loss severity	25	%	to	30%	26	%
				Discount rate/yield	8	%	to	19%	16	%
			Market approach	Price	$86		to	$103	$93

Commercial mortgage- backed securities	$	2,333	Scenario analysis	Estimated recovery percentage	81%				—






Other asset-backed securities	$	86,099	Discounted cash flows	Constant prepayment rate	0	%	to	35%	31	%
				Constant default rate	2	%	to	4%	4	%
				Loss severity	60	%	to	85%	55	%
				Discount rate/yield	3	%	to	16%	10	%
				Cumulative loss rate	7	%	to	20%	14	%
				Duration (years)	0.7 years		to	1.4 years	1.1 years
			Market approach	Price	$37		to	$100	$94

Loans and other receivables	$	134,015	Market approach	Price	$31		to	$101	$54
			Scenario analysis	Estimated recovery percentage	9	%	to	100%	76	%

Derivatives	$	6,501
Equity options			Volatility benchmarking	Volatility	46%				—
Interest rate swaps			Market approach	Basis points upfront	0.1		to	8.7	3.3
Total return swaps				Price	$100				—

Investments at fair value	$	128,152
Private equity securities			Market approach	Price	$1		to	$152	$32
				EBITDA multiple	16.9				—
				Revenue multiple	4.9		to	5.1	5.0
			Scenario analysis	Estimated recovery percentage	7%				—
				Discount rate/yield	13	%	to	21%	17	%
				Revenue growth	0%				—

Investment in FXCM	$	50,455
Term loan			Discounted cash flows	Term based on the pay off (years)	0 months		to	2.2 years	2.2 years

Loans to and investments in associated companies
Non-exchange-traded warrants	$	30,842	Market approach	Underlying stock price	$662				—
				Underlying stock price	€15		to	€18	€16
				Volatility	25	%	to	59%	31	%


Financial instruments sold, not yet purchased, at fair value
Corporate equity securities	$	4,635
Non-exchange-traded securities			Market approach	Price	$1				—

Loans	$	15,770	Market approach	Price	$31		to	$100	$43
			Scenario analysis	Estimated recovery percentage	50%				—

Derivatives	$	76,533
Equity options			Volatility benchmarking	Volatility	26	%	to	77%	40	%
Interest rate swaps			Market approach	Basis points upfront	0.1		to	8.7	3.1
Total return swaps				Price	$100				—

Other secured financings	$	25,905	Scenario analysis	Estimated recovery percentage	13	%	to	98%	92	%

Long-term debt
Structured notes	$	881,732	Market approach	Price	$76		to	$115	$94
				Price	€81		to	€113	€103

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 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 February 28,
		2022		2021
Financial instruments owned, at fair value:
Loans and other receivables		$	(2,287)	$	10,696

Financial instruments sold, not yet purchased, at fair value:
Loans		$	1,548	$	—









Long-term debt:
Changes in instrument-specific credit risk (1)		$	51,248	$	(91,982)
Other changes in fair value (2)		94,551		80,819

(1) Changes in instrument-specific credit risk related to structured notes are included in the Consolidated Statements of Comprehensive Income (Loss), net of taxes.

(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 amounts by which contractual principal is greater than (less than) fair value for loans and other receivables, long-term debt and other secured financings measured at fair value under the fair value option (in thousands):


	February 28, 2022		November 30, 2021
Financial instruments owned, at fair value:
Loans and other receivables (1)	$	5,533,863	$	5,600,648

Loans and other receivables on nonaccrual status and/or 90 days or greater past due (1) (2)	51,601		64,203
Long-term debt	$	107,282	$	(38,391)
Other secured financings	$	3,432	$	3,432

(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 loans and other receivables 90 days or greater past due by which contractual principal exceeds fair value of $16.8 million and $19.7 million at February 28, 2022 and November 30, 2021, respectively