Derivative Financial Instruments (Tables)
 6 Months Ended
May 31, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Fair Value and Related Number of Derivative Contracts Categorized by Type of Derivative Contract
The following tables present the fair value and related number of derivative contracts at May 31, 2016 and November 30, 2015 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 the Consolidated Statements of Financial Condition as appropriate under U.S. 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).
 
May 31, 2016 (1)
 
Assets
 
Liabilities
 
Fair Value
 
Number of
Contracts
 
Fair Value
 
Number of
Contracts
Interest rate contracts:
 
 
 
 
 
 
 
Exchange-traded
$
3,602

 
71,389

 
$
1,313

 
94,606

Cleared OTC
3,317,398

 
3,220

 
3,317,602

 
3,135

Bilateral OTC
690,520

 
2,100

 
645,030

 
1,145

Foreign exchange contracts:
 
 
 
 
 
 
 
Exchange-traded
—

 
240

 
—

 
161

Bilateral OTC
398,620

 
8,291

 
417,400

 
7,765

Equity contracts:
 
 
 
 
 
 
 
Exchange-traded
807,139

 
3,239,347

 
1,012,583

 
2,782,492

Bilateral OTC
96,354

 
1,003

 
70,335

 
1,070

Commodity contracts:
 
 
 
 
 
 
 
Exchange-traded
—

 
1,548

 
—

 
931

Bilateral OTC
7,258

 
1

 
335

 
2

Credit contracts:
 
 
 
 
 
 
 
Cleared OTC
4,488

 
10

 
7,219

 
12

Bilateral OTC
16,930

 
82

 
37,268

 
95

Total gross derivative assets/ liabilities:
 
 
 
 
 
 
 
Exchange-traded
810,741

 

 
1,013,896

 

Cleared OTC
3,321,886

 

 
3,324,821

 

Bilateral OTC
1,209,682

 

 
1,170,368

 

Amounts offset in the Consolidated
Statements of Financial Condition (2):
 
 
 
 
 
 
 
Exchange-traded
(760,612
)
 
 
 
(760,612
)
 
 
Cleared OTC
(3,301,710
)
 
 
 
(3,301,710
)
 
 
Bilateral OTC
(968,565
)
 
 
 
(1,055,892
)
 
 
Net amounts per Consolidated
Statements of Financial Condition (3)
$
311,422





$
390,871

 
 
(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)
Amounts netted include both netting by counterparty and for cash collateral paid or received.
(3)
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.
 
November 30, 2015 (1)
 
Assets
 
Liabilities
 
Fair Value
 
Number of
Contracts
 
Fair Value
 
Number of
Contracts
Interest rate contracts:
 
 
 
 
 
 
 
Exchange-traded
$
998

 
52,605

 
$
364

 
70,672

Cleared OTC
2,213,730

 
2,742

 
2,202,836

 
2,869

Bilateral OTC
695,365

 
1,401

 
646,758

 
1,363

Foreign exchange contracts:
 
 
 
 
 
 
 
Exchange-traded
—

 
441

 
—

 
112

Bilateral OTC (4)
453,202

 
7,646

 
466,021

 
7,264

Equity contracts:
 
 
 
 
 
 
 
Exchange-traded
955,287

 
3,054,315

 
1,004,699

 
2,943,657

Bilateral OTC
61,004

 
1,039

 
81,085

 
1,070

Commodity contracts:
 
 
 
 
 
 
 
Exchange-traded
—

 
1,726

 
—

 
1,684

Bilateral OTC (4)
19,342

 
29

 
4,628

 
28

Credit contracts:
 
 
 
 
 
 
 
Cleared OTC
621

 
39

 
841

 
44

Bilateral OTC
16,977

 
100

 
59,314

 
135

Total gross derivative assets/liabilities:
 
 
 
 
 
 
 
Exchange-traded
956,285

 
 
 
1,005,063

 
 
Cleared OTC
2,214,351

 
 
 
2,203,677

 
 
Bilateral OTC
1,245,890

 
 
 
1,257,806

 
 
Amounts offset in the Consolidated Statements of Financial Condition (2):
 
 
 
 
 
 
 
Exchange-traded
(938,482
)
 
 
 
(938,482
)
 
 
Cleared OTC
(2,184,438
)
 
 
 
(2,184,438
)
 
 
Bilateral OTC
(1,042,526
)
 
 
 
(1,135,078
)
 
 
Net amounts per Consolidated Statements of Financial Condition (3)
$
251,080

 
 
 
$
208,548

 
 
(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)
Amounts netted include both netting by counterparty and for cash collateral paid or received.
(3)
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.
(4)
Bilateral OTC commodity contracts increased in assets by a fair value of $19.3 million and by 29 contracts and in liabilities by a fair value of $4.6 million and by 28 contracts with corresponding decreases in bilateral OTC foreign exchange contracts from those amounts previously reported to correct for the classification of certain contracts. The total amount of bilateral OTC contracts remained unchanged.
Unrealized and Realized Gains (Losses) on Derivative Contracts
The following table presents unrealized and realized gains (losses) on derivative contracts:
 
Three Months Ended
 
Six Months Ended
Gains (Losses)
May 31, 2016
 
May 31, 2015
 
May 31, 2016
 
May 31, 2015
Interest rate contracts
$
(7,559
)
 
$
18,064

 
$
(80,084
)
 
$
(24,728
)
Foreign exchange contracts
4,525

 
8,352

 
6,114

 
23,524

Equity contracts
(98,546
)
 
(111,682
)
 
(324,212
)
 
(40,641
)
Commodity contracts
(315
)
 
5,746

 
(2,190
)
 
20,237

Credit contracts
10,306

 
9,805

 
(2,583
)
 
3,763

Total
$
(91,589
)
 
$
(69,715
)
 
$
(402,955
)
 
$
(17,845
)
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 at May 31, 2016 (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
$
—

 
$
7,258

 
$
—

 
$
—

 
$
7,258

Equity swaps and options
33,631

 
2,646

 
—

 
—

 
36,277

Credit default swaps
—

 
6,362

 
1,009

 
(1,194
)
 
6,177

Total return swaps
22,128

 
5,101

 
—

 
(635
)
 
26,594

Foreign currency forwards, swaps and options
86,663

 
12,391

 
—

 
(5,083
)
 
93,971

Interest rate swaps, options and forwards
55,585

 
215,033

 
59,686

 
(101,651
)
 
228,653

Total
$
198,007

 
$
248,791

 
$
60,695

 
$
(108,563
)
 
398,930

Cross product counterparty netting
 
 
 
 
 
 
 
 
(1,148
)
Total OTC derivative assets included in Financial instruments owned
 
 
 
 
 
 
 
 
$
397,782

(1)
At May 31, 2016, we held exchange traded derivative assets and other credit agreements with a fair value of $53.2 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 on the Consolidated Statements of Financial Condition. At May 31, 2016, cash collateral received was $139.5 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
Equity swaps and options
$
3,957

 
$
18,813

 
$
—

 
$
—

 
$
22,770

Credit default swaps
—

 
2,851

 
11,461

 
(1,194
)
 
13,118

Total return swaps
8,721

 
2,738

 
—

 
(635
)
 
10,824

Foreign currency forwards, swaps and options
109,643

 
8,191

 
—

 
(5,083
)
 
112,751

Fixed income forwards
2,053

 
1,207

 
—

 
—

 
3,260

Interest rate swaps, options and forwards
33,749

 
100,594

 
153,026

 
(101,651
)
 
185,718

Total
$
158,123

 
$
134,394

 
$
164,487

 
$
(108,563
)
 
348,441

Cross product counterparty netting
 
 
 
 
 
 
 
 
(1,148
)
Total OTC derivative liabilities included in Financial instruments sold, not yet purchased
 
 
 
 
 
 
 
 
$
347,293

(1)
At May 31, 2016, we held exchange traded derivative liabilities and other credit agreements with a fair value of $270.4 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 on the Consolidated Statements of Financial Condition. At May 31, 2016, cash collateral pledged was $226.8 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.
Counterparty Credit Quality with Respect to Fair Value of OTC Derivatives Assets
At May 31, 2016, the counterparty credit quality with respect to the fair value of our OTC derivatives assets was as follows (in thousands):
Counterparty credit quality (1):
 
A- or higher
$
179,929

BBB- to BBB+
54,940

BB+ or lower
101,674

Unrated
61,239

Total
$
397,782

(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.