Derivative Financial Instruments (Tables)
 6 Months Ended
May 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Fair Value and Related Number of Derivative Contracts Categorized by Predominant Risk Exposure The following tables present the fair value and related number of derivative contracts at May 31, 2022 and November 30, 2021 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 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).
 AssetsLiabilities
 Fair ValueNumber of
Contracts (2)		Fair ValueNumber of
Contracts (2)
May 31, 2022 (1)
Derivatives designated as accounting hedges:
Interest rate contracts:
Cleared OTC
$— — $152,090 3 
Foreign exchange contracts:
Bilateral OTC
51,845 5 — — 
Total derivatives designated as accounting hedges
51,845 152,090 
Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded
9,052 76,999 2,015 41,098 
Cleared OTC
691,397 3,974 541,001 3,875 
Bilateral OTC
528,364 819 944,289 851 
Foreign exchange contracts:
Bilateral OTC
500,922 11,847 512,817 11,879 
Equity contracts:
Exchange-traded
1,005,732 1,363,436 766,134 1,397,278 
Bilateral OTC
281,493 4,656 1,122,597 5,305 
Commodity contracts:
Exchange-traded
66 1,365 36 1,534 
Bilateral OTC
153 165 50,715 2,325 
Credit contracts:
Cleared OTC
32,646 95 41,949 95 
Bilateral OTC
34,999 14 37,235 13 
Total derivatives not designated as accounting hedges
3,084,824  4,018,788  
Total gross derivative assets/liabilities:
Exchange-traded
1,014,850 768,185 
Cleared OTC
724,043 735,040 
Bilateral OTC
1,397,776 2,667,653 
Amounts offset in the Consolidated Statement of Financial Condition (3): 
Exchange-traded
(764,932)(764,932)
Cleared OTC
(719,960)(735,040)
Bilateral OTC
(1,243,677)(1,384,717)
Net amounts in the Consolidated Statement of Financial Condition (4)
$408,100 $1,286,189 
(continued)
 AssetsLiabilities
 Fair ValueNumber of
Contracts (2)		Fair ValueNumber of
Contracts (2)
November 30, 2021 (1)
Derivatives designated as accounting hedges:
Interest rate contracts:
Cleared OTC
$35,726 2 $32,200 1 
Foreign exchange contracts:
Bilateral OTC
30,462 4 — — 
Total derivatives designated as accounting hedges
66,188 32,200 
Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded
1,262 23,888 756 39,195 
Cleared OTC
373,355 4,505 367,134 4,467 
Bilateral OTC
322,353 1,037 283,481 967 
Foreign exchange contracts:
Bilateral OTC
1,428,712 17,792 1,437,116 17,576 
Equity contracts:
Exchange-traded
1,206,606 1,582,713 1,036,019 1,450,624 
Bilateral OTC
377,132 2,888 1,824,418 2,682 
Commodity contracts:
Exchange-traded
448 1,394 223 1,457 
Bilateral OTC
2,703 616 9,862 825 
Credit contracts:
Cleared OTC
84,180 132 108,999 128 
Bilateral OTC
13,289 14 14,168 17 
Total derivatives not designated as accounting hedges
3,810,040  5,082,176  
Total gross derivative assets/liabilities:
Exchange-traded
1,208,316 1,036,998 
Cleared OTC
493,261 508,333 
Bilateral OTC
2,174,651 3,569,045 
Amounts offset in the Consolidated Statement of Financial Condition (3):
Exchange-traded
(1,008,091)(1,008,091)
Cleared OTC
(483,339)(508,333)
Bilateral OTC
(1,814,326)(2,185,776)
Net amounts in the Consolidated Statement of Financial Condition (4)
$570,472 $1,412,176 
(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 and Payables, expense accruals and other liabilities in the Consolidated Statements of Financial Condition.
(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 the Consolidated Statements of Financial Condition.
Unrealized and Realized Gains (Losses) on Derivative Contracts
The following table provides information related to gains (losses) recognized in Interest expense of Jefferies Group in the Consolidated Statements of Operations related to fair value hedges (in thousands):

For the Three Months Ended May 31,For the Six Months Ended May 31,
2022202120222021
Interest rate swaps$(100,415)$(1,671)$(144,413)$(45,462)
Long-term debt105,041 5,215 155,583 52,026 
Total$4,626 $3,544 $11,170 $6,564 

The following table provides information related to gains (losses) on net investment hedges recognized in Net foreign currency translation adjustments, a component of Other comprehensive income (loss), in the Consolidated Statements of Comprehensive Income (Loss) (in thousands):

For the Three Months Ended May 31,For the Six Months Ended May 31,
2022202120222021
Foreign exchange contracts$73,498 $(21,906)$62,560 $(63,406)
Total$73,498 $(21,906)$62,560 $(63,406)

The following table presents unrealized and realized gains (losses) on derivative contracts which are primarily recognized in Principal transactions revenues in the Consolidated Statements of Operations, which are utilized in connection with our client activities and our economic risk management activities (in thousands):

For the Three Months Ended May 31,For the Six Months Ended May 31,
2022202120222021
Interest rate contracts$(87,871)$21,364 $(129,463)$(20,760)
Foreign exchange contracts(112,157)24,243 (109,533)71,072 
Equity contracts(16,776)(3,315)194,161 (93,012)
Commodity contracts(34,173)(6,720)(68,478)(25,069)
Credit contracts7,013 (2,864)11,445 (2,043)
Total$(243,964)$32,708 $(101,868)$(69,812)
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 as reflected in the Consolidated Statement of Financial Condition at May 31, 2022 (in thousands):
 OTC Derivative Assets (1) (2) (3)
 0-12 Months1-5 YearsGreater Than
5 Years		Cross-
Maturity
Netting (4)		Total
Commodity swaps, options and forwards$— $153 $— $(153)$— 
Equity options and forwards15,292 3,514 — (14,945)3,861 
Credit default swaps— 8 4,177 (8)4,177 
Total return swaps69,436 39,246 46 (9,812)98,916 
Foreign currency forwards, swaps and options120,957 3,836 284 (3,128)121,949 
Fixed income forwards30,634 — — — 30,634 
Interest rate swaps, options and forwards67,393 351,584 29,597 (114,610)333,964 
Total$303,712 $398,341 $34,104 $(142,656)593,501 
Cross product counterparty netting    (19,797)
Total OTC derivative assets included in Financial instruments owned, at fair value
    $573,704 

(1)At May 31, 2022, we held net exchange-traded derivative assets and other credit agreements with a fair value of $249.9 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 in the Consolidated Statements of Financial Condition. At May 31, 2022, cash collateral received was $415.5 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 Months1-5 YearsGreater Than
5 Years		Cross-Maturity
Netting (4)		Total
Commodity swaps, options and forwards$41,566 $9,149 $— $(153)$50,562 
Equity options and forwards78,364 393,463 22,849 (14,945)479,731 
Credit default swaps— 594 8,717 (8)9,303 
Total return swaps387,018 122,606 100 (9,812)499,912 
Foreign currency forwards, swaps and options81,886 3,192 49 (3,128)81,999 
Fixed income forwards845 — — — 845 
Interest rate swaps, options and forwards64,166 351,796 428,428 (114,610)729,780 
Total$653,845 $880,800 $460,143 $(142,656)1,852,132 
Cross product counterparty netting    (19,797)
Total OTC derivative liabilities included in Financial instruments sold, not yet purchased, at fair value
    $1,832,335 
 
(1)At May 31, 2022, we held net exchange-traded derivative liabilities and other credit agreements with a fair value of $25.5 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 in the Consolidated Statements of Financial Condition. At May 31, 2022, cash collateral pledged was $571.6 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, 2022, the counterparty credit quality with respect to the fair value of our OTC derivative assets was as follows (in thousands):

Counterparty credit quality (1):
A- or higher$371,914 
BBB- to BBB+36,799 
BB+ or lower73,680 
Unrated91,311 
Total$573,704 
 
(1)    We utilize internal credit ratings determined by the Jefferies Group's Risk Management department. Credit ratings determined by Jefferies Group Risk Management use methodologies that produce ratings generally consistent with those produced by external rating agencies.
Credit Related Derivative Contracts
The external credit ratings of the underlyings or referenced assets for our written credit related derivative contracts are as follows (in millions):

External Credit Rating
Investment GradeNon-investment gradeUnratedTotal Notional
May 31, 2022
Credit protection sold:
Index credit default swaps$2,428.4 $898.9 $— $3,327.3 
Single name credit default swaps— — 0.2 0.2 
November 30, 2021
Credit protection sold:
Index credit default swaps$2,612.0 $1,298.8 $— $3,910.8 
Single name credit default swaps— 17.6 0.2 17.8 
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 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,
2022		November 30, 2021
Derivative instrument liabilities with credit-risk-related contingent features$411.7 $821.5 
Collateral posted(112.6)(160.5)
Collateral received138.0 369.3 
Return of and additional collateral required in the event of a credit rating downgrade below investment grade (1)
437.1 1,030.4 

(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.