Derivative Financial Instruments (Tables)

6 Months Ended

May 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair Value and Related Number of Derivative Contracts Categorized by Type of Derivative Contract


	May 31, 2024 (1)
	Assets			Liabilities
$ in thousands	Fair Value		Number of Contracts (2)	Fair Value		Number of Contracts (2)
Derivatives designated as accounting hedges:
Interest rate contracts:

Cleared OTC	$	4,062	3	$	—	—

Foreign exchange contracts:
Bilateral OTC	3,025		2	1,327		1
Total derivatives designated as accounting hedges	7,087			1,327

Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	298		56,631	65		48,685
Cleared OTC	786,603		5,747	792,681		5,612
Bilateral OTC	649,436		1,249	1,124,096		1,477
Foreign exchange contracts:

Bilateral OTC	168,385		60,283	123,849		36,912
Equity contracts:
Exchange-traded	512,015		897,795	295,406		788,416
Bilateral OTC	577,057		30,010	830,071		18,475
Commodity contracts:
Exchange-traded	—		940	3		799

Bilateral OTC	4,566		12,251	1,853		5,509
Credit contracts:
Cleared OTC	29,401		68	33,825		46
Bilateral OTC	38,438		21	26,827		36
Total derivatives not designated as accounting hedges	2,766,199			3,228,676
Total gross derivative assets/ liabilities:
Exchange-traded	512,313			295,474
Cleared OTC	820,066			826,506
Bilateral OTC	1,440,907			2,108,023
Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	(284,905)			(284,905)
Cleared OTC	(818,971)			(823,710)
Bilateral OTC	(1,292,314)			(1,213,642)
Net amounts per Consolidated Statements of Financial Condition (4)	$	377,096		$	907,746


	November 30, 2023 (1)
	Assets			Liabilities
$ in thousands	Fair Value		Number of Contracts (2)	Fair Value		Number of Contracts (2)
Derivatives designated as accounting hedges:
Interest rate contracts:
Cleared OTC	$	—	—	$	6,070	3
Foreign exchange contracts:
Bilateral OTC	259		1	19,638		3
Total derivatives designated as accounting hedges	259			25,708

Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	316		88,354	63		67,643
Cleared OTC	1,156,937		4,415	1,185,503		4,544
Bilateral OTC	893,983		1,179	1,266,506		786
Foreign exchange contracts:
Exchange-traded	—		—	—		4

Bilateral OTC	147,470		66,254	129,770		38,585
Equity contracts:
Exchange-traded	678,542		1,180,832	393,220		1,174,298
Bilateral OTC	715,754		31,116	850,088		16,234
Commodity contracts:
Exchange-traded	59		735	33		940
Bilateral OTC	5,662		15,497	1,398		6,455
Credit contracts:
Cleared OTC	38,046		133	38,487		81
Bilateral OTC	21,436		22	19,573		29
Total derivatives not designated as accounting hedges	3,658,205			3,884,641
Total gross derivative assets/liabilities:
Exchange-traded	678,917			393,316
Cleared OTC	1,194,983			1,230,060
Bilateral OTC	1,784,564			2,286,973
Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	(384,392)			(384,392)
Cleared OTC	(1,189,517)			(1,189,513)
Bilateral OTC	(1,533,711)			(1,190,667)
Net amounts per Consolidated Statements of Financial Condition (4)	$	550,844		$	1,145,777

(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 from/Payables to brokers, dealers and clearing organizations.

(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 our Consolidated Statements of Financial Condition.

Unrealized and Realized Gains (Losses) on Derivative Contracts

Gains (losses) recognized in Interest expense related to fair value hedges:




$ in thousands	Three Months Ended May 31,				Six Months Ended May 31,
Gains (Losses)	2024		2023		2024		2023
Interest rate swaps	$	(26,253)	$	19,485	$	(30,811)	$	(18,064)
Long-term debt	10,282		(33,517)		(985)		(7,277)
Total	$	(15,971)	$	(14,032)	$	(31,796)	$	(25,341)

Gains (losses) on our net investment hedges recognized in Currency translation and other adjustments, a component of Other comprehensive income (loss):




$ in thousands	Three Months Ended May 31,				Six Months Ended May 31,
Gains (Losses)	2024		2023		2024		2023
Foreign exchange contracts	$	(10,925)	$	(34,062)	$	(8,808)	$	(31,005)
Total	$	(10,925)	$	(34,062)	$	(8,808)	$	(31,005)

Unrealized and realized gains (losses) on derivative contracts recognized primarily in Principal transactions revenues, which are utilized in connection with our client activities and our economic risk management activities:




$ in thousands	Three Months Ended May 31,				Six Months Ended May 31,
Gains (Losses)	2024		2023		2024		2023
Interest rate contracts	$	36,783	$	75,297	$	58,505	$	131,121
Foreign exchange contracts	42,363		39,558		32,529		37,659
Equity contracts	50,298		(270,829)		(259,358)		(303,437)
Commodity contracts	14,332		214		18,432		(184)
Credit contracts	(8,769)		(340)		(13,342)		(824)
Total	$	135,007	$	(156,100)	$	(163,234)	$	(135,665)

Remaining Contract Maturity of Fair Value of OTC Derivative Assets and Liabilities

Remaining contract maturities at May 31, 2024:


	OTC Derivative Assets (1) (2) (3)
$ in thousands	0 – 12 Months		1 – 5 Years		Greater Than 5 Years		Cross-Maturity Netting (4)		Total
Commodity swaps, options and forwards	$	4,426	$	—	$	—	$	—	$	4,426
Equity options and forwards	100,019		40,483		—		(10,199)		130,303
Credit default swaps	—		12		23,359		(12)		23,359
Total return swaps	93,081		55,775		4		(15,478)		133,382
Foreign currency forwards, swaps and options	50,908		1,461		—		—		52,369
Fixed income forwards	2,585		—		—		—		2,585
Interest rate swaps, options and forwards	158,236		357,092		47,798		(106,205)		456,921
Total	$	409,255	$	454,823	$	71,161	$	(131,894)	803,345
Cross product counterparty netting									(32,560)
Total OTC derivative assets included in Financial instruments owned									$	770,785


	OTC Derivative Liabilities (1) (2) (3)
$ in thousands	0 – 12 Months		1 – 5 Years		Greater Than 5 Years		Cross-Maturity Netting (4)		Total
Commodity swaps, options and forwards	$	1,713	$	—	$	—	$	—	$	1,713
Equity options and forwards	60,164		159,328		—		(10,199)		209,293
Credit default swaps	1,563		2,014		5,067		(12)		8,632
Total return swaps	129,540		140,100		304		(15,478)		254,466
Foreign currency forwards, swaps and options	48,451		687		—		—		49,138
Fixed income forwards	19,778		—		—		—		19,778
Interest rate swaps, options and forwards	149,857		351,360		538,586		(106,205)		933,598
Total	$	411,066	$	653,489	$	543,957	$	(131,894)	1,476,618
Cross product counterparty netting									(32,560)
Total OTC derivative liabilities included in Financial instruments sold, not yet purchased									$	1,444,058

(1)At May 31, 2024, we held net exchange-traded derivative assets and liabilities with a fair value of $227.4 million and $10.9 million, respectively, which are not included in these tables.

(2)OTC derivative assets and liabilities in the tables above are gross of collateral pledged. OTC derivative assets and liabilities are recorded net of collateral pledged in our Consolidated Statements of Financial Condition. At May 31, 2024, cash collateral received and pledged was $621.1 million and $547.2 million, respectively.

(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.

Counterparty Credit Quality with Respect to Fair Value of OTC Derivatives Assets

OTC derivative assets at May 31, 2024 (in thousands):


Counterparty credit quality (1):
A- or higher	$	441,157
BBB- to BBB+	66,602
BB+ or lower	115,405
Unrated	147,621
Total	$	770,785

(1)We utilize internal credit ratings determined by our Risk Management department. Credit ratings determined by Risk Management use methodologies that produce ratings generally consistent with those produced by external rating agencies.

Credit Related Derivative Contracts

External credit ratings of the underlyings or referenced assets for our written credit related derivative contracts:


	May 31, 2024
	External Credit Ratings
$ in millions	Investment Grade		Non-investment Grade		Total Notional
Credit protection sold:
Index credit default swaps	$	935.9	$	499.3	$	1,435.2


	November 30, 2023
	External Credit Ratings
$ in millions	Investment Grade		Non-investment Grade		Total Notional
Credit protection sold:
Index credit default swaps	$	1,451.5	$	893.9	$	2,345.4

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 we have posted or received in the normal course of business and the potential collateral we would have been required to return and/or post additionally to our counterparties if the credit-risk-related contingent features underlying these agreements were triggered:


$ in millions	May 31, 2024		November 30, 2023
Derivative instrument liabilities with credit-risk-related contingent features	$	124.9	$	139.5
Collateral posted	(57.3)		(97.6)
Collateral received	359.5		71.0
Return of and additional collateral required in the event of a credit rating downgrade below investment grade (1)	427.1		112.9

(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.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details