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Fair Value Disclosures (Tables)

3 Months Ended

Feb. 29, 2024

Financial Assets and Liabilities Accounted for at Fair Value on Recurring Basis

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 $1.25 billion and $1.21 billion at February 29, 2024 and November 30, 2023, respectively, by level within the fair value hierarchy (in thousands):


	February 29, 2024
	Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (1)		Total
Assets:
Financial instruments owned:
Corporate equity securities	$	5,507,909	$	340,379	$	173,214	$	—	$	6,021,502
Corporate debt securities	—		5,809,579		35,335		—		5,844,914
Collateralized debt obligations and collateralized loan obligations	—		782,391		69,367		—		851,758
U.S. government and federal agency securities	2,990,863		107,066		—		—		3,097,929
Municipal securities	—		275,217		—		—		275,217
Sovereign obligations	887,739		651,353		—		—		1,539,092
Residential mortgage-backed securities	—		1,448,311		684		—		1,448,995
Commercial mortgage-backed securities	—		318,198		473		—		318,671
Other asset-backed securities	—		140,520		102,256		—		242,776
Loans and other receivables	—		1,429,594		78,885		—		1,508,479
Derivatives	310		2,898,300		7,019		(2,213,583)		692,046
Investments at fair value	—		6		121,764		—		121,770
Total financial instruments owned, excluding Investments at fair value based on NAV	$	9,386,821	$	14,200,914	$	588,997	$	(2,213,583)	$	21,963,149
Securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations	$	126,340	$	—	$	—	$	—	$	126,340
Securities received as collateral	110,897		—		—		—		110,897

Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	2,954,918	$	86,820	$	675	$	—	$	3,042,413
Corporate debt securities	—		3,631,375		124		—		3,631,499
Collateralized debt obligations and collateralized loan obligations	—		672		—		—		672
U.S. government and federal agency securities	2,348,603		—		—		—		2,348,603

Sovereign obligations	1,091,150		614,857		—		—		1,706,007

Commercial mortgage-backed securities	—		—		944		—		944
Loans	—		86,293		1,466		—		87,759
Derivatives	390		3,133,838		59,108		(1,967,283)		1,226,053
Total financial instruments sold, not yet purchased	$	6,395,061	$	7,553,855	$	62,317	$	(1,967,283)	$	12,043,950

Other secured financings	$	—	$	—	$	3,965	$	—	$	3,965
Obligation to return securities received as collateral	110,897		—		—		—		110,897
Long-term debt	—		972,243		779,529		—		1,751,772

(1)Represents counterparty and cash collateral netting across the levels of the fair value hierarchy for positions with the same counterparty.


	November 30, 2023 (1)
	Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (2)		Total
Assets:
Financial instruments owned:
Corporate equity securities	$	3,831,698	$	211,182	$	181,294	$	—	$	4,224,174
Corporate debt securities	—		4,921,222		26,112		—		4,947,334
Collateralized debt obligations and collateralized loan obligations	—		869,246		64,862		—		934,108
U.S. government and federal agency securities	3,563,164		65,566		—		—		3,628,730
Municipal securities	—		223,502		—		—		223,502
Sovereign obligations	1,051,494		609,452		—		—		1,660,946
Residential mortgage-backed securities	—		2,048,309		20,871		—		2,069,180
Commercial mortgage-backed securities	—		344,902		508		—		345,410
Other asset-backed securities	—		255,048		117,661		—		372,709
Loans and other receivables	—		1,320,217		130,101		—		1,450,318
Derivatives	314		3,649,814		8,336		(3,107,620)		550,844
Investments at fair value	—		—		130,835		—		130,835
Total financial instruments owned, excluding Investments at fair value based on NAV	$	8,446,670	$	14,518,460	$	680,580	$	(3,107,620)	$	20,538,090
Securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations	$	110,198	$	—	$	—	$	—	$	110,198
Securities received as collateral	8,800		—		—		—		8,800

Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	2,235,049	$	83,180	$	676	$	—	$	2,318,905
Corporate debt securities	—		2,842,776		124		—		2,842,900
Collateralized debt obligations and collateralized loan obligations	—		36		—		—		36
U.S. government and federal agency securities	2,957,787		—		—		—		2,957,787
Sovereign obligations	1,229,795		579,302		—		—		1,809,097
Residential mortgage-backed securities	—		463		—		—		463
Commercial mortgage-backed securities	—		—		840		—		840
Loans	—		173,828		1,521		—		175,349
Derivatives	54		3,851,004		59,291		(2,764,572)		1,145,777
Total financial instruments sold, not yet purchased	$	6,422,685	$	7,530,589	$	62,452	$	(2,764,572)	$	11,251,154

Other secured financings	$	—	$	—	$	3,898	$	—	$	3,898
Obligation to return securities received as collateral	8,800		—		—		—		8,800
Long-term debt	—		963,846		744,597		—		1,708,443

(1)Excludes amounts for financial instruments reclassified to Assets held for sale and Liabilities held for sale. Refer to Note 5, Assets Held for Sale and Discontinued Operations for further information.

(2)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 Per Share

The following tables present information about our investments in entities that have the characteristics of an investment company (in thousands):


	February 29, 2024
	Fair Value (1)		Unfunded Commitments		Redemption Frequency	Redemption Notice Period
Equity Long/Short Hedge Funds (2)	$	316,630	$	—	Quarterly (64%) Monthly (36%)	60 - 90 days 60 days
Equity Funds (3)	50,224		36,468		N/R (100%)	N/R
Commodity Funds (4)	20,964		—		Quarterly (100%)	60 days
Multi-asset Funds (5)	349,971		—		Monthly (83%) Quarterly (14%) N/R (3%)	60 days 90 days N/R
Other Funds (6)	510,608		131,985		Quarterly (65%) N/R (35%)	90 days N/R
Total	$	1,248,397	$	168,453


	November 30, 2023
	Fair Value (1)		Unfunded Commitments		Redemption Frequency	Redemption Notice Period
Equity Long/Short Hedge Funds (2)	$	341,530	$	—	Quarterly (57%) N/R (43%)	60 - 90 days N/R
Equity Funds (3)	55,701		37,534		N/R (100%)	N/R
Commodity Funds (4)	21,747		—		Quarterly (100%)	60 days
Multi-asset Funds (5)	357,445		—		Monthly (83%) Quarterly (13%) N/R (4%)	60 days 90 days N/R
Other Funds (6)	432,960		132,662		Quarterly (75%) N/R (25%)	90 days N/R
Total	$	1,209,383	$	170,196

N/R - Not redeemable

(1)Where fair value is calculated based on NAV, fair value has been derived from each of the funds’ capital statements.

(2)Includes investments in hedge funds that invest, long and short, primarily in both public and private equity securities in domestic and international markets. The investments that cannot be redeemed at November 30, 2023, are not redeemable because these investments include restrictions that do not allow for redemption before November 30, 2023 or August 31, 2025.

(3)Includes 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 eleven years.

(4)Includes investments in a hedge fund that invests, long and short, primarily in commodities.

(5)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. The investments that cannot be redeemed at February 29, 2024 and November 30, 2023 are not redeemable because these investments include restrictions that do not allow for redemption before April 1, 2024.

(6)Primarily 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, as well as investments in a fund that invests, long and short, in distressed and special situations credit strategies across sectors and asset types.

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 29, 2024 (in thousands):


	Three Months Ended February 29, 2024
	Balance at November 30, 2023		Total gains/losses (realized and unrealized) (1)		Purchases		Sales		Settlements		Issuances		Net transfers into/ (out of) Level 3		Balance at February 29, 2024		For instruments still held at February 29, 2024, changes in unrealized gains (losses) included in:
																	Earnings (1)		Other comprehensive income (loss) (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	181,294	$	(197)	$	167	$	(265)	$	—	$	—	$	(7,785)	$	173,214	$	(158)	$	—
Corporate debt securities	26,112		846		20,437		(513)		(200)		—		(11,347)		35,335		801		—
CDOs and CLOs	64,862		11,121		16,997		(13,836)		(9,539)		—		(238)		69,367		1,355		—


RMBS	20,871		(202)		—		—		(5,360)		—		(14,625)		684		32		—
CMBS	508		(35)		—		—		—		—		—		473		(64)		—
Other ABS	117,661		(3,165)		11,686		(17,650)		(5,834)		—		(442)		102,256		(1,468)		—
Loans and other receivables	130,101		(15,592)		5,477		(24,382)		(3,007)		—		(13,712)		78,885		(17,991)		—
Investments at fair value	130,835		(10,691)		1,627		—		—		—		(7)		121,764		(10,691)		—
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	676	$	(7)	$	—	$	6	$	—	$	—	$	—	$	675	$	7	$	—
Corporate debt securities	124		—		—		—		—		—		—		124		—		—


CMBS	840		—		(245)		350		—		—		(1)		944		—		—
Loans	1,521		(54)		(81)		—		—		—		80		1,466		(183)		—
Net derivatives (2)	50,955		(4,833)		—		245		—		—		5,722		52,089		4,340		—
Other secured financings	3,898		4,482		—		—		(4,415)		—		—		3,965		(4,482)		—
Long-term debt	744,597		12,284		—		—		—		21,456		1,192		779,529		(14,477)		2,193

(1)Realized and unrealized gains/losses are primarily reported in Principal transactions revenues in our Consolidated Statements of Earnings. Changes in instrument-specific credit risk related to structured notes within Long-term debt are presented net of tax in our Consolidated Statements of Comprehensive Income.

(2)Net derivatives represent Financial instruments owned—Derivatives and Financial instruments sold, not yet purchased—Derivatives.


	Three Months Ended February 28, 2023
	Balance at November 30, 2022		Total gains/losses (realized and unrealized) (1)		Purchases		Sales		Settlements		Issuances		Net transfers into/ (out of) Level 3		Balance at February 28, 2023		For instruments still held at February 28, 2023, changes in unrealized gains (losses) included in:
																	Earnings (1)		Other comprehensive income (loss) (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	240,347	$	17,688	$	—	$	(297)	$	—	$	—	$	3,896	$	261,634	$	17,648	$	—
Corporate debt securities	30,232		(1,715)		3,147		(7,305)		(200)		—		17,634		41,793		(1,834)		—
CDOs and CLOs	55,824		4,810		36,441		(15,666)		(8,971)		—		—		72,438		(2,985)		—


RMBS	27,617		(3,605)		—		—		(25)		—		—		23,987		(2,868)		—
CMBS	839		(353)		—		—		—		—		—		486		(356)		—
Other ABS	94,677		(2,940)		13,740		—		(5,959)		—		910		100,428		(1,716)		—
Loans and other receivables	168,875		446		3,267		(10,160)		(8)		—		(13,747)		148,673		38		—
Investments at fair value	161,992		(2,636)		5,637		(2,420)		(4,710)		—		—		157,863		(2,636)		—

Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	750	$	(135)	$	—	$	13	$	—	$	—	$	—	$	628	$	135	$	—
Corporate debt securities	500		(28)		(187)		—		—		—		—		285		28		—

CMBS	490		—		—		35		—		—		—		525		525		—
Loans	3,164		120		(211)		—		—		—		(28)		3,045		(199)		—
Net derivatives (2)	59,524		9,713		—		127		(537)		—		18,504		87,331		(10,352)		—
Other secured financings	1,712		—		—		—		—		—		—		1,712		—		—
Long-term debt	661,123		19,877		—		—		—		203		2,495		683,698		15,593		(35,470)

(2)Net derivatives represent Financial instruments owned—Derivatives and Financial instruments sold, not yet purchased—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 29, 2024
Financial Instruments Owned:	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input / Range				Weighted Average
Corporate equity securities	$	173,214
Non-exchange-traded securities			Market approach	Price	$0		-	$325	$61
Corporate debt securities	$	35,335	Scenario analysis	Estimated recovery percentage	4%				—
			Market approach	Price	$42		-	$102	$85
CDOs and CLOs	$	54,253	Discounted cash flows	Constant prepayment rate	20%				—
				Constant default rate	2%				—
				Loss severity	30%				—
				Discount rate/yield	13	%	-	23%	19%
			Market approach	Price	$51		-	$106	$92






Other ABS	$	88,370	Discounted cash flows	Discount rate/yield	9	%	-	20%	17%
				Cumulative loss rate	9	%	-	32%	26%
				Duration (years)	0.9		-	2.2	1.7
			Market approach	Price	$100				—
Loans and other receivables	$	73,810	Market approach	Price	$34		-	$125	$84

			Scenario analysis	Estimated recovery percentage	7	%	-	100%	66%
Derivatives	$	3,393

Equity options			Volatility benchmarking	Volatility	64.5				—
Investments at fair value	$	117,620
Private equity securities			Market approach	Price	$1		-	$7,760	$565
				Discount rate/yield	28%				—
				Revenue	$30,393,087				—
Financial Instruments Sold, Not Yet Purchased:


Corporate debt securities	$	124	Scenario analysis	Estimated recovery percentage	4%				—



Derivatives	$	57,337
Equity options			Volatility benchmarking	Volatility	31.8		-	112.5	47.6
Embedded options			Market approach	Basis points upfront	0.2		-	24.3	16.2

Other secured financings	$	3,965	Scenario analysis	Estimated recovery percentage	60	%	-	100%	93%
Long-term debt	$	779,529
Structured notes			Market approach	Price	$58		-	$117	$83
				Price	€65		-	€105	€87


November 30, 2023
Financial Instruments Owned:	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input / Range				Weighted Average
Corporate equity securities	$	181,294
Non-exchange-traded securities			Market approach	Price	$0		-	$325	$59
Corporate debt securities	$	26,112	Market approach	Price	$40		-	$94	$50
			Discounted cash flows	Discount rate/yield	11%				—
			Scenario analysis	Estimated recovery percentage	4%				—
CDOs and CLOs	$	64,862	Discounted cash flows	Constant prepayment rate	15	%	-	20%	19%
				Constant default rate	2%				—
				Loss severity	35	%	-	40%	36%
				Discount rate/yield	21	%	-	26%	24%
			Market approach	Price	$48		-	$100	$88





CMBS	$	508	Scenario analysis	Estimated recovery percentage	28%				—
Other ABS	$	102,423	Discounted cash flows	Discount rate/yield	10	%	-	21%	18%



				Cumulative loss rate	9	%	-	32%	25%
				Duration (years)	1.1		-	2.2	1.7
			Market approach	Price	$100				—
Loans and other receivables	$	130,101	Market approach	Price	$82		-	$157	$127
			Scenario analysis	Estimated recovery percentage	7	%	-	73%	40%
Derivatives	$	2,395
Equity options			Volatility benchmarking	Volatility	60%				—


Investments at fair value	$	127,237
Private equity securities			Market approach	Price	$1		-	$6,819	$484
				Discount rate/yield	28%				—
				Revenue	$30,538,979				—
Financial Instruments Sold, Not Yet Purchased:


Corporate debt securities	$	124	Scenario analysis	Estimated recovery percentage	4%				—
Loans	$	1,521	Market approach	Price	$101				—

Derivatives	$	56,779
Equity options			Volatility benchmarking	Volatility	31	%	-	87%	42%
Embedded options			Market approach	Basis points upfront	0.4		-	25.5	17.9

Other secured financings	$	3,898	Scenario analysis	Estimated recovery percentage	18	%	-	73%	53%
Long-term debt	$	744,597
Structured notes			Market approach	Price	$57		-	$114	$78
				Price	€60		-	€103	€84

Summary of Gains (Losses) Due to Changes in Instrument Specific Credit Risk and Summary of Contractual Principal Exceeds Fair Value for Loans and Other Receivables

The following is a summary of gains (losses) due to changes in fair value related to 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):


	Three Months Ended
	February 29, 2024		February 28, 2023
Financial instruments owned:
Loans and other receivables	$	(7,410)	$	7,454






Other secured financings:
Other changes in fair value (2)	$	(4,482)	$	—
Long-term debt:
Changes in instrument-specific credit risk (1)	$	(3,980)	$	(71,660)
Other changes in fair value (2)	(43,817)		45,825

(1)Changes in fair value of structured notes related to instrument-specific credit risk are presented net of tax in our Consolidated Statements of Comprehensive Income.

(2)Other changes in fair value are included in Principal transactions revenues in our Consolidated Statements of Earnings.

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


	February 29, 2024		November 30, 2023
Financial instruments owned:
Loans and other receivables (1)	$	1,975,612	$	2,344,468
Loans and other receivables on nonaccrual status and/or 90 days or greater past due (1) (2)	253,784		259,354
Long-term debt	248,547		294,256
Other secured financings	459		1,377

(1)Interest income is recognized separately from other changes in fair value and is included in Interest revenues in our Consolidated Statements of Earnings.

(2)Amounts include loans and other receivables 90 days or greater past due by which contractual principal exceeds fair value of $146.8 million and $187.4 million at February 29, 2024 and November 30, 2023, respectively.