Fair Value Disclosures (Tables)
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3 Months Ended |
Feb. 29, 2024 |
Fair Value Disclosures [Abstract] |
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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.
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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.
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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. 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, 2023 (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 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) | |
(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.
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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 |
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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.
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