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Credit Losses on Financial Assets Measured at Amortized Cost

Financial assets measured at amortized cost are presented at the net amount expected to be collected and the measurement of credit losses and any expected increases or decreases in expected credit losses are recognized in earnings. The estimate of expected credit losses involves judgment and based on an assessment over the life of the financial instrument taking into consideration forecasts of expected future economic conditions. In evaluating secured financing receivables (reverse repurchases agreements, securities borrowing arrangements, and margin loans), the underlying collateral maintenance provisions are taken into consideration. The underlying contractual collateral maintenance for significantly all of our secured financing receivables requires that the counterparty continually adjust the collateralization amount, securing the credit exposure on these contracts. Collateralization levels for our secured financing receivables are initially established based upon the counterparty, the type of acceptable collateral that is monitored daily and adjusted to mitigate the potential of any credit losses. Credit losses are not recognized for secured financing receivables where the underlying collateral's fair value is equal to or exceeds the asset's amortized cost basis. In cases where the collateral's fair value does not equal or exceed the amortized cost basis, the allowance for credit losses, if any, is limited to the difference between the fair value of the collateral at the reporting date and the amortized cost basis of the financial assets. During the three and six months ended May 31, 2021, we incurred bad debt expense of $39.0 million related to our prime brokerage business.

Our receivables from brokers, dealers, and clearing organizations include deposits of cash with exchange clearing organizations to meet margin requirements, amounts due from clearing organizations for daily variation settlements, securities failed-to-deliver or receive, receivables and payables for fees and commissions, and receivables arising from unsettled securities or loans transactions. These receivables generally do not give rise to material credit risk and have a remote probability of default either because of their short-term nature or due to the credit protection framework inherent in the design and operations of brokers, dealers and clearing organizations. As such, generally, no allowance for credit losses is held against these receivables.

For all other financial assets measured at amortized cost, we estimate expected credit losses over the financial assets' life as of the reporting date based on relevant information about past events, current conditions, and reasonable and supportable forecasts.

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Note 4. Fair Value Disclosures

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 ~~$905.5~~$900.2 million and ~~$570.3~~$956.0 million at May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, respectively, by level within the fair value hierarchy (in thousands):


	May 31, 2021
	Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (1)		Total
Assets:
Financial instruments owned:
Corporate equity securities	$	2,816,012	$	125,957	$	71,724	$	—	$	3,013,693
Corporate debt securities	0		3,735,133		7,985		—		3,743,118
Collateralized debt obligations and collateralized loan obligations	0		186,271		26,466		—		212,737
U.S. government and federal agency securities	3,505,313		167,456		0		—		3,672,769
Municipal securities	0		363,812		0		—		363,812
Sovereign obligations	1,203,666		1,110,548		0		—		2,314,214
Residential mortgage-backed securities	0		811,879		6,033		—		817,912
Commercial mortgage-backed securities	0		572,370		1,176		—		573,546
Other asset-backed securities	0		393,495		70,555		—		464,050
Loans and other receivables	0		2,768,540		119,550		—		2,888,090
Derivatives	2,793		2,888,792		55,394		(2,546,358)		400,621
Investments at fair value	0		6,518		40,385		—		46,903
Total financial instruments owned, excluding Investments at fair value based on NAV	$	7,527,784	$	13,130,771	$	399,268	$	(2,546,358)	$	18,511,465



Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	2,313,048	$	3,660	$	4,462	$	—	$	2,321,170
Corporate debt securities	0		2,053,152		927		—		2,054,079
U.S. government and federal agency securities	2,155,547		0		0		—		2,155,547

Sovereign obligations	1,062,934		1,149,771		0		—		2,212,705

Commercial mortgage-backed securities	0		0		35		—		35
Loans	0		2,325,115		20,389		—		2,345,504
Derivatives	1,049		3,601,531		282,452		(3,016,439)		868,593
Total financial instruments sold, not yet purchased	$	5,532,578	$	9,133,229	$	308,265	$	(3,016,439)	$	11,957,633

Other secured financings	$	0	$	0	$	2,493	$	—	$	2,493

Long-term debt	$	0	$	1,024,877	$	795,098	$	—	$	1,819,975

May 31, 2020
Level 1 Level 2 Level 3
Counterparty and
Cash Collateral
Netting (1)
Total
Assets:
Financial instruments owned:
Corporate equity securities $ 2,461,993
$ 61,387
$ 76,100
$ —
$ 2,599,480
Corporate debt securities —
2,979,793
25,178
—
3,004,971
Collateralized debt obligations and collateralized loan obligations —
68,748
23,139
—
91,887
U.S. government and federal agency securities 1,808,192
72,411
—
—
1,880,603
Municipal securities —
462,420
—
—
462,420
Sovereign obligations 2,088,074
1,307,336
—
—
3,395,410
Residential mortgage-backed securities —
1,688,379
22,339
—
1,710,718
Commercial mortgage-backed securities —
355,161
4,461
—
359,622
Other asset-backed securities —
292,158
86,062
—
378,220
Loans and other receivables —
2,546,340
68,429
—
2,614,769
Derivatives 515
2,070,181
43,124
(1,528,340 ) 585,480
Investments at fair value —
71,860
63,959
—
135,819
Total financial instruments owned, excluding Investments at fair value based on NAV $ 6,358,774
$ 11,976,174
$ 412,791
$ (1,528,340 ) $ 17,219,399
Securities received as collateral $ 9,909
$ —
$ —
$ —
$ 9,909

Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities $ 1,772,771
$ 1,283
$ 4,190
$ —
$ 1,778,244
Corporate debt securities —
1,491,089
163
—
1,491,252
U.S. government and federal agency securities 2,140,501
—
—
—
2,140,501
Sovereign obligations 1,132,662
878,059
—
—
2,010,721
Commercial mortgage-backed securities —
—
140
—
140
Loans —
1,796,591
10,674
—
1,807,265
Derivatives 277
2,012,054
88,255
(1,682,883 ) 417,703
Total financial instruments sold, not yet purchased $ 5,046,211
$ 6,179,076
$ 103,422
$ (1,682,883 ) $ 9,645,826
Short-term borrowings $ —
$ 15,671
$ —
$ —
$ 15,671
Obligation to return securities received as collateral $ 9,909
$ —
$ —
$ —
$ 9,909
Long-term debt $ —
$ 748,446
$ 497,040
$ —
$ 1,245,486
(1)Represents counterparty and cash collateral netting across the levels of the fair value hierarchy for positions with the same counterparty.


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

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	November 30, 2020
	Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (1)		Total
Assets:
Financial instruments owned:
Corporate equity securities	$	2,331,440	$	58,159	$	75,797	$	—	$	2,465,396
Corporate debt securities	0		2,954,201		23,146		—		2,977,347
Collateralized debt obligations and collateralized loan obligations	0		64,155		10,513		—		74,668
U.S. government and federal agency securities	2,840,025		91,653		0		—		2,931,678
Municipal securities	0		453,881		0		—		453,881
Sovereign obligations	1,962,346		591,342		0		—		2,553,688
Residential mortgage-backed securities	0		1,100,849		21,826		—		1,122,675
Commercial mortgage-backed securities	0		736,291		2,003		—		738,294
Other asset-backed securities	0		103,611		79,995		—		183,606
Loans and other receivables	0		2,610,746		77,042		—		2,687,788
Derivatives	1,523		2,000,752		21,678		(1,556,136)		467,817
Investments at fair value	0		6,122		67,108		—		73,230
Total financial instruments owned, excluding Investments at fair value based on NAV	$	7,135,334	$	10,771,762	$	379,108	$	(1,556,136)	$	16,730,068

Securities received as collateral	$	7,517	$	0	$	0	$	—	$	7,517

Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	2,046,441	$	9,046	$	4,434	$	—	$	2,059,921
Corporate debt securities	0		1,237,631		141		—		1,237,772
U.S. government and federal agency securities	2,609,660		0		0		—		2,609,660
Sovereign obligations	1,050,771		624,740		0		—		1,675,511
Residential mortgage-backed securities	0		477		0		—		477
Commercial mortgage-backed securities	0		0		35		—		35
Loans	0		1,776,446		16,635		—		1,793,081
Derivatives	551		2,391,478		47,695		(1,798,659)		641,065
Total financial instruments sold, not yet purchased	$	5,707,423	$	6,039,818	$	68,940	$	(1,798,659)	$	10,017,522
Short-term borrowings	$	0	$	5,067	$	0	$	—	$	5,067
Other secured financings	$	0	$	0	$	1,543	$	—	$	1,543
Obligation to return securities received as collateral	$	7,517	$	0	$	0	$	—	$	7,517
Long-term debt	$	0	$	1,036,217	$	676,028	$	—	$	1,712,245

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

November 30, 2019
Level 1 Level 2 Level 3
Counterparty and
Cash Collateral
Netting (1)
Total
Assets:
Financial instruments owned:
Corporate equity securities $ 2,325,116
$ 218,403
$ 58,301
$ —
$ 2,601,820
Corporate debt securities —
2,472,213
7,490
—
2,479,703
Collateralized debt obligations and collateralized loan obligations —
124,225
20,081
—
144,306
U.S. government and federal agency securities 2,101,624
158,618
—
—
2,260,242
Municipal securities —
742,326
—
—
742,326
Sovereign obligations 1,330,026
1,405,827
—
—
2,735,853
Residential mortgage-backed securities —
1,069,066
17,740
—
1,086,806
Commercial mortgage-backed securities —
424,060
6,110
—
430,170
Other asset-backed securities —
303,847
42,563
—
346,410
Loans and other receivables —
2,395,211
64,240
—
2,459,451
Derivatives 2,809
1,812,659
14,889
(1,432,806 ) 397,551
Investments at fair value —
32,688
75,738
—
108,426
Total financial instruments owned, excluding Investments at fair value based on NAV $ 5,759,575
$ 11,159,143
$ 307,152
$ (1,432,806 ) $ 15,793,064
Securities purchased under agreements to resell $ —
$ —
$ 25,000
$ —
$ 25,000
Securities received as collateral $ 9,500
$ —
$ —
$ —
$ 9,500

Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities $ 2,755,601
$ 7,438
$ 4,487
$ —
$ 2,767,526
Corporate debt securities —
1,471,142
340
—
1,471,482
U.S. government and federal agency securities 1,851,981
—
—
—
1,851,981
Sovereign obligations 1,363,475
941,065
—
—
2,304,540
Commercial mortgage-backed securities —
—
35
—
35
Loans —
1,600,228
9,463
—
1,609,691
Derivatives 871
2,066,064
92,057
(1,631,787 ) 527,205
Total financial instruments sold, not yet purchased $ 5,971,928
$ 6,085,937
$ 106,382
$ (1,631,787 ) $ 10,532,460
Short-term borrowings $ —
$ 20,981
$ —
$ —
$ 20,981
Obligation to return securities received as collateral $ 9,500
$ —
$ —
$ —
$ 9,500
Long-term debt $ —
$ 735,216
$ 480,069
$ —
$ 1,215,285


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

The following is a description of the valuation basis, including valuation techniques and inputs, used in measuring our financial assets and liabilities that are accounted for at fair value on a recurring basis:

Corporate Equity Securities

•

•Exchange-Traded Equity Securities: Exchange-traded equity securities are measured based on quoted closing exchange prices, which are generally obtained from external pricing services, and are categorized within Level 1 of the fair value hierarchy, otherwise they are categorized within Level 2 of the fair value hierarchy. To the extent these securities are actively traded, valuation adjustments are not applied.

~~Exchange-Traded Equity Securities:~~ Exchange-traded equity securities are measured based on quoted closing exchange prices, which are generally obtained from external pricing services, and are categorized within Level 1 of the fair value hierarchy, otherwise they are categorized within Level 2 of the fair value hierarchy. To the extent these securities are actively traded, valuation adjustments are not applied.

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•

•Non-Exchange-Traded Equity Securities: Non-exchange-traded equity securities are measured primarily using broker quotations, pricing data from external pricing services and prices observed from recently executed market transactions and are categorized within Level 2 of the fair value hierarchy. Where such information is not available, non-exchange-traded equity securities are categorized within Level 3 of the fair value hierarchy and measured using valuation techniques involving quoted prices of or market data for comparable companies, similar company ratios and multiples (~~e.g.~~, price/Earnings before interest, taxes, depreciation and amortization (“EBITDA”), price/book value), discounted cash flow analyses and transaction prices observed from subsequent financing or capital issuance by the company. When using pricing data of comparable companies, judgment must be applied to adjust the pricing data to account for differences between the measured security and the comparable security (~~e.g., issuer market capitalization, yield, dividend rate, geographical concentration).~~

•

~~Equity Warrants:~~ ~~Non-exchange-traded equity warrants are measured primarily using pricing data from external pricing services,~~ prices observed from recently executed market transactions and are categorized within Level 2 of the fair value hierarchy. Where such information is not available, non-exchange-traded equity securities are categorized within Level 3 of the fair value hierarchy and measured using valuation techniques involving quoted prices of or market data for comparable companies, similar company ratios and multiples (e.g., price/Earnings before interest, taxes, depreciation and amortization (“EBITDA”), price/book value), discounted cash flow analyses and transaction prices observed from subsequent financing or capital issuance by the company. When using pricing data of comparable companies, judgment must be applied to adjust the pricing data to account for differences between the measured security and the comparable security (e.g., issuer market capitalization, yield, dividend rate, geographical concentration).

•Equity Warrants: Non-exchange-traded equity warrants are measured primarily from observed prices on recently executed market transactions and broker quotations and are categorized within Level 2 of the fair value hierarchy. Where such information is not available, non-exchange-traded equity warrants are generally categorized within Level 3 of the fair value hierarchy and can be measured using third-party valuation services or the Black-Scholes model with key inputs impacting the valuation including the underlying security price, implied volatility, dividend yield, interest rate curve, strike price and maturity date.

Corporate Debt Securities

•

•Investment Grade Corporate Bonds: Investment grade corporate bonds are measured primarily using pricing data from external pricing services and broker quotations, where available, prices observed from recently executed market transactions and bond spreads or credit default swap spreads of the issuer adjusted for basis differences between the swap curve and the bond curve. Investment grade corporate bonds measured using these valuation methods are categorized within Level 2 of the fair value hierarchy. If broker quotes, pricing data or spread data is not available, alternative valuation techniques are used including cash flow models incorporating interest rate curves, single name or index credit default swap curves for comparable issuers and recovery rate assumptions. Investment grade corporate bonds measured using alternative valuation techniques are categorized within Level 2 or Level 3 of the fair value hierarchy and are a limited portion of our investment grade corporate bonds.

• Investment grade corporate bonds are measured primarily using pricing data from external pricing services and broker quotations, where available, prices observed from recently executed market transactions and bond spreads or credit default swap spreads of the issuer adjusted for basis differences between the swap curve and the bond curve. Investment grade corporate bonds measured using these valuation methods are categorized within Level 2 of the fair value hierarchy. If broker quotes, pricing data or spread data is not available, alternative valuation techniques are used including cash flow models incorporating interest rate curves, single name or index credit default swap curves for comparable issuers and recovery rate assumptions. Investment grade corporate bonds measured using alternative valuation techniques are categorized within Level 2 or Level 3 of the fair value hierarchy and are a limited portion of our investment grade corporate bonds.

•

High Yield Corporate and Convertible Bonds: A significant portion of our high yield corporate and convertible bonds are categorized within Level 2 of the fair value hierarchy and are measured primarily using broker quotations and pricing data from external pricing services, where available, and prices observed from recently executed market transactions of institutional size. Where pricing data is less observable, valuations are categorized within Level 3 of the fair value hierarchy and are based on pending transactions involving the issuer or comparable issuers, prices implied from an issuer’s subsequent financing or recapitalization, models incorporating financial ratios and projected cash flows of the issuer and market prices for comparable issuers.

Collateralized Debt Obligations and Collateralized Loan Obligations

Collateralized debt obligations (“CDOs”) and collateralized loan obligations (“CLOs”) are measured based on prices observed from recently executed market transactions of the same or similar security or based on valuations received from third-party brokers or data providers and are categorized within Level 2 or Level 3 of the fair value hierarchy depending on the observability and significance of the pricing inputs. Valuation that is based on recently executed market transactions of similar securities incorporates additional review and analysis of pricing inputs and comparability criteria, including, but not limited to, collateral type, tranche type, rating, origination year, prepayment rates, default rates and loss severity.

U.S. Government and Federal Agency Securities


•	•U.S. Treasury Securities: U.S. Treasury securities are measured based on quoted market prices obtained from external pricing services and categorized within Level 1 of the fair value hierarchy. • ~~U.S. Treasury securities are measured based on quoted market prices obtained from external pricing services and categorized within Level 1 of the fair value hierarchy.~~


•	U.S. Agency Debt Securities: Callable and non-callable U.S. agency debt securities are measured primarily based on quoted market prices obtained from external pricing services and are generally categorized within Level 1 or Level 2 of the fair value hierarchy.

Municipal Securities

Municipal securities are measured based on quoted prices obtained from external pricing services, where available, or recently executed independent transactions of comparable size and are generally categorized within Level 2 of the fair value hierarchy.

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Sovereign Obligations

Sovereign government obligations are measured based on quoted market prices obtained from external pricing services, where available, or recently executed independent transactions of comparable size. Sovereign government obligations, with consideration given to the country of issuance, are generally categorized within Level 1 or Level 2 of the fair value hierarchy.

Residential Mortgage-Backed Securities

•

•Agency Residential Mortgage-Backed Securities (“RMBS”): Agency RMBS include mortgage pass-through securities (fixed and adjustable rate), collateralized mortgage obligations and principal-only and interest-only (including inverse interest-only) securities. Agency RMBS are generally measured using recent transactions, pricing data from external pricing services or expected future cash flow techniques that incorporate prepayment models and other prepayment assumptions to amortize the underlying mortgage loan collateral and are categorized within Level 2 or Level 3 of the fair value hierarchy. We use prices observed from recently executed transactions to develop market-clearing spread and yield assumptions. Valuation inputs with regard to the underlying collateral incorporate factors such as weighted average coupon, loan-to-value, credit scores, geographic location, maximum and average loan size, originator, servicer and weighted average loan age.

• Agency RMBS include mortgage pass-through securities (fixed and adjustable rate), collateralized mortgage obligations and principal-only and interest-only (including inverse interest-only) securities. Agency RMBS are generally measured using recent transactions, pricing data from external pricing services or expected future cash flow techniques that incorporate prepayment models and other prepayment assumptions to amortize the underlying mortgage loan collateral and are categorized within Level 2 or Level 3 of the fair value hierarchy. We use prices observed from recently executed transactions to develop market-clearing spread and yield curve assumptions. Valuation inputs with regard to the underlying collateral incorporate factors such as weighted average coupon, loan-to-value, credit scores, geographic location, maximum and average loan size, originator, servicer and weighted average loan age.

•

Non-Agency RMBS: The fair value of non-agency RMBS is determined primarily using pricing data from external pricing services, where available, and discounted cash flow methodologies and securities are categorized within Level 2 or Level 3 of the fair value hierarchy based on the observability and significance of the pricing inputs used. Performance attributes of the underlying mortgage loans are evaluated to estimate pricing inputs, such as prepayment rates, default rates and the severity of credit losses. Attributes of the underlying mortgage loans that affect the pricing inputs include, but are not limited to, weighted average coupon; average and maximum loan size; loan-to-value; credit scores; documentation type; geographic location; weighted average loan age; originator; servicer; historical prepayment, default and loss severity experience of the mortgage loan pool; and delinquency rate. Yield curves used in the discounted cash flow models are based on observed market prices for comparable securities and published interest rate data to estimate market yields. In addition, broker quotes, where available, are also referenced to compare prices primarily on interest-only securities.

Commercial Mortgage-Backed Securities

•

•Agency Commercial Mortgage-Backed Securities (“CMBS”): Government National Mortgage Association (“GNMA”) project loan bonds are measured based on inputs corroborated from and benchmarked to observed prices of recent securitization transactions of similar securities with adjustments incorporating an evaluation of various factors, including prepayment speeds, default rates and cash flow structures. Federal National Mortgage Association (“FNMA”) Delegated Underwriting and Servicing (“DUS”) mortgage-backed securities are generally measured by using prices observed from recently executed market transactions to estimate market-clearing spread levels for purposes of estimating fair value. GNMA project loan bonds and FNMA DUS mortgage-backed securities are categorized within Level 2 of the fair value hierarchy.

• Government National Mortgage Association (“GNMA”) project loan bonds are measured based on inputs corroborated from and benchmarked to observed prices of recent securitization transactions of similar securities with adjustments incorporating an evaluation of various factors, including prepayment speeds, default rates and cash flow structures, as well as the likelihood of pricing levels in the current market environment. Federal National Mortgage Association (“FNMA”) Delegated Underwriting and Servicing (“DUS”) mortgage-backed securities are generally measured by using prices observed from recently executed market transactions to estimate market-clearing spread levels for purposes of estimating fair value. GNMA project loan bonds and FNMA DUS mortgage-backed securities are categorized within Level 2 of the fair value hierarchy.

•

Non-Agency CMBS: Non-agency CMBS are measured using pricing data obtained from external pricing services, prices observed from recently executed market transactions or based on expected cash flow models that incorporate underlying loan collateral characteristics and performance. Non-Agency CMBS are categorized within Level 2 or Level 3 of the fair value hierarchy depending on the observability of the underlying inputs.

Other Asset-Backed Securities

Other asset-backed securities (“ABS”) include, but are not limited to, securities backed by auto loans, credit card receivables, student loans and other consumer loans and are categorized within Level 2 or Level 3 of the fair value hierarchy. Valuations are primarily determined using pricing data obtained from external pricing services, broker quotes and prices observed from recently executed market transactions. In addition, recent transaction data from comparable deals is deployed to develop market clearing yields and cumulative loss assumptions. The cumulative loss assumptions are based on the analysis of the underlying collateral and comparisons to earlier deals from the same issuer to gauge the relative performance of the deal.

~~Loans and Other Receivables~~

•

~~Corporate Loans:~~ Corporate loans categorized within Level 2 of the fair value hierarchy are measured based on market consensus pricing service quotations. Where available, market price quotations from external pricing services are reviewed to ensure they are supported by transaction data. Corporate loans categorized within Level 3 of the fair value hierarchy are measured based on price quotations that are considered to be less transparent, market prices for debt securities of the same creditor and estimates of future cash flows incorporating assumptions regarding creditor default and recovery rates and consideration of the issuer’s capital structure.

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Loans and Other Receivables

•

•Corporate Loans: Corporate loans categorized within Level 2 of the fair value hierarchy are measured based on market consensus pricing service quotations. Where available, market price quotations from external pricing services are reviewed to ensure they are supported by transaction data. Corporate loans categorized within Level 3 of the fair value hierarchy are measured based on price quotations that are considered to be less transparent, for example, derived using market prices for debt securities of the same creditor and estimates of future cash flows incorporating assumptions regarding creditor default and recovery rates and consideration of the issuer’s capital structure.

•Participation Certificates in Agency Residential Loans: Valuations of participation certificates in agency residential loans are based on observed market prices of recently executed purchases and sales of similar loans and data provider pricing. The loan participation certificates are categorized within Level 2 of the fair value hierarchy given the observability and volume of recently executed transactions and availability of data provider pricing.

•Project Loans and Participation Certificates in GNMA Project and Construction Loans: Valuations of participation certificates in GNMA project and construction loans are based on inputs corroborated from and benchmarked to observed prices of recent securitizations with similar underlying loan collateral to derive an implied spread. Securitization prices are adjusted to estimate the fair value of the loans to account for the arbitrage that is realized at the time of securitization. The measurements are categorized within Level 2 of the fair value hierarchy given the observability and volume of recently executed transactions.

•Consumer Loans and Funding Facilities: Consumer and small business whole loans and related funding facilities are valued based on observed market transactions and incorporating valuation inputs including, but not limited to, delinquency and default rates, prepayment rates, borrower characteristics, loan risk grades and loan age. These assets are categorized within Level 2 or Level 3 of the fair value hierarchy.

• Valuations of participation certificates in agency residential loans are based on observed market prices of recently executed purchases and sales of similar loans and data provider pricing. The loan participation certificates are categorized within Level 2 of the fair value hierarchy given the observability and volume of recently executed transactions and availability of data provider pricing.

•

~~Project Loans and Participation Certificates in GNMA Project and Construction Loans:~~ Valuations of participation certificates in GNMA project and construction loans are based on inputs corroborated from and benchmarked to observed prices of recent securitizations with similar underlying loan collateral to derive an implied spread. Securitization prices are adjusted to estimate the fair value of the loans to account for the arbitrage that is realized at the time of securitization. The measurements are categorized within Level 2 of the fair value hierarchy given the observability and volume of recently executed transactions.

•

~~Consumer Loans and Funding Facilities:~~ Consumer and small business whole loans and related funding facilities are valued based on observed market transactions and incorporating valuation inputs including, but not limited to, delinquency and default rates, prepayment rates, borrower characteristics, loan risk grades and loan age. These assets are categorized within Level 2 or Level 3 of the fair value hierarchy.

•

Escrow and Claim Receivables: Escrow and claim receivables are categorized within Level 3 of the fair value hierarchy where fair value is estimated based on reference to market prices and implied yields of debt securities of the same or similar issuers. Escrow and claim receivables are categorized within Level 2 of the fair value hierarchy where fair value is based on recent observations in the same receivable.

Derivatives

•

•Listed Derivative Contracts: Listed derivative contracts that are actively traded are measured based on quoted exchange prices, broker quotes or vanilla option valuation models, such as Black-Scholes, using observable valuation inputs from the principal market or consensus pricing services. Exchange quotes and/or valuation inputs are generally obtained from external vendors and pricing services. Broker quotes are validated directly through observable and tradeable quotes. Listed derivative contracts that use unadjusted exchange close prices are generally categorized within Level 1 of the fair value hierarchy. All other listed derivative contracts are generally categorized within Level 2 of the fair value hierarchy.

•Over-the-Counter (“OTC”) Derivative Contracts: OTC derivative contracts are generally valued using models, whose inputs reflect assumptions that we believe market participants would use in valuing the derivative in a current transaction. Where available, valuation inputs are calibrated from observable market data. For many OTC derivative contracts, the valuation models do not involve material subjectivity as the methodologies do not entail significant judgment and the inputs to valuation models do not involve a high degree of subjectivity as the valuation model inputs are readily observable or can be derived from actively quoted markets. OTC derivative contracts are primarily categorized within Level 2 of the fair value hierarchy given the observability and significance of the inputs to the valuation models. Where significant inputs to the valuation are unobservable, derivative instruments are categorized within Level 3 of the fair value hierarchy.

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•

~~Over-the-Counter (“OTC”) Derivative Contracts:~~ OTC derivative contracts are generally valued using models, whose inputs reflect assumptions that we believe market participants would use in valuing the derivative in a current transaction. Where available, valuation inputs are calibrated from observable market data. For many OTC derivative contracts, the valuation models do not involve material subjectivity as the methodologies do not entail significant judgment and the inputs to valuation models do not involve a high degree of subjectivity as the valuation model inputs are readily observable or can be derived from actively quoted markets. OTC derivative contracts are primarily categorized within Level 2 of the fair value hierarchy given the observability and significance of the inputs to the valuation models. Where significant inputs to the valuation are unobservable, derivative instruments are categorized within Level 3 of the fair value hierarchy.

OTC options include OTC equity, foreign exchange, interest rate and commodity options measured using various valuation models, such as Black-Scholes, with key inputs including the underlying security price, foreign exchange spot rate, commodity price, implied volatility, dividend yield, interest rate curve, strike price and maturity date. Discounted cash flow models are utilized to measure certain OTC derivative contracts including the valuations of our interest rate swaps, which incorporate observable inputs related to interest rate curves, valuations of our foreign exchange forwards and swaps, which incorporate observable inputs related to foreign currency spot rates and forward curves and valuations of our commodity swaps and forwards, which incorporate observable inputs related to commodity spot prices and forward curves. Discounted cash flow models are also utilized to measure certain variable funding note swaps, which are backed by CLOs and incorporates constant prepayment rate, constant default rate and loss severity assumptions. Credit default swaps include both index and single-name credit default swaps. Where available, external data is used in measuring index credit default swaps and single-name credit default swaps. For commodity and equity total return swaps, market prices are generally observable for the underlying asset and used as the basis for measuring the fair value of the derivative contracts. Total return swaps executed on other underlyings are measured based on valuations received from external pricing services.

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Investments at Fair Value

Investments at fair value includes investments in hedge funds, fund of funds and private equity funds, which are measured at the NAV of the funds, provided by the fund managers and are excluded from the fair value hierarchy. Investments at fair value also include direct equity investments in private companies, which are measured at fair value using valuation techniques involving quoted prices of or market data for comparable companies, similar company ratios and multiples (e.g., price/EBITDA, price/book value), discounted cash flow analyses and transaction prices observed for subsequent financing or capital issuance by the company. Direct equity investments in private companies are categorized within Level 2 or Level 3 of the fair value hierarchy.

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


	May 31, 2021
	Fair Value (1)		Unfunded Commitments
Equity Long/Short Hedge Funds (2)	$	363,945	$	0
Equity Funds (3)	28,376		11,043
Commodity Funds (4)	23,311		0
Multi-asset Funds (5)	406,405		0
Other Funds (6)	78,175		21,750
Total	$	900,212	$	32,793


	May 31, 2020					November 30, 2020
	Fair Value (1)		Unfunded Commitments			Fair Value (1)		Unfunded Commitments
Equity Long/Short Hedge Funds (2)	$	302,790	$	—	Equity Long/Short Hedge Funds (2)	$	328,096	$	0
Equity Funds (3)	21,182		11,823		Equity Funds (3)	23,821		11,242
Commodity Funds (4)	13,593		—		Commodity Funds (4)	17,747		0
Multi-asset Funds (5)	543,191		—		Multi-asset Funds (5)	561,236		0
Other Funds (6)	24,728		—		Other Funds (6)	25,084		5,000
Total	$	905,484	$	11,823	Total	$	955,984	$	16,242

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Note 5. Derivative Financial Instruments

Derivative Financial Instruments

Our derivative activities are recorded at fair value in our Consolidated Statements of Financial Condition in Financial instruments owned and Financial instruments sold, not yet purchased, net of cash paid or received under credit support agreements and on a net counterparty basis when a legally enforceable right to offset exists under a master netting agreement. We enter into derivative transactions to satisfy the needs of our clients and to manage our own exposure to market and credit risks resulting from our trading activities. In addition, we apply hedge accounting ~~to an~~to: (1) interest rate ~~swap~~swaps that ~~has~~have been designated as a fair value ~~hedge~~hedges of the changes in fair value due to the benchmark interest rate for certain fixed rate senior long-term ~~debt.~~debt, and (2) forward foreign exchange contracts designated as hedges to offset the change in the value of certain net investments in foreign operations.

See Note 4, Fair Value Disclosures, and Note ~~17,~~16, Commitments, Contingencies and Guarantees, for additional disclosures about derivative financial instruments.

Derivatives are subject to various risks similar to other financial instruments, including market, credit and operational risk. The risks of derivatives should not be viewed in isolation, but rather should be considered on an aggregate basis along with our other trading-related activities. We manage the risks associated with derivatives on an aggregate basis along with the risks associated with proprietary trading as part of our firm wide risk management policies.

In connection with our derivative activities, we may enter into International Swaps and Derivatives Association, Inc. master netting agreements or similar agreements with counterparties. See Note 2, Summary of Significant Accounting Policies, in our consolidated financial statements included in Part II, Item 8 of our Annual Report on Form 10-K for the year ended November 30, ~~2019~~2020 for additional information regarding the offsetting of derivative contracts.

The following tables present the fair value and related number of derivative contracts at May 31, ~~2020~~2021 and November 30, ~~2019~~2020 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 our 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).

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	May 31, 2021 (1)
	Assets			Liabilities
	Fair Value		Number of Contracts (2)	Fair Value		Number of Contracts (2)
Derivatives designated as accounting hedges:
Interest rate contracts:

Cleared OTC	$	46,580	1	$	38,941	1

Foreign exchange contracts:
Bilateral OTC	0		0	45,157		11
Total derivatives designated as accounting hedges	46,580			84,098

Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	2,232		27,499	829		54,731
Cleared OTC	6,335		4,288	29,428		4,217
Bilateral OTC	469,243		1,424	340,671		992
Foreign exchange contracts:

Bilateral OTC	686,254		16,056	666,153		15,946
Equity contracts:
Exchange-traded	1,397,909		1,190,684	1,452,191		1,118,612
Bilateral OTC	327,272		2,703	1,293,010		2,554
Commodity contracts:
Exchange-traded	259		2,455	40		2,253

Bilateral OTC	0		1	0		0
Credit contracts:
Cleared OTC	7,664		21	12,556		42
Bilateral OTC	3,231		13	6,056		12
Total derivatives not designated as accounting hedges	2,900,399			3,800,934
Total gross derivative assets/ liabilities:
Exchange-traded	1,400,400			1,453,060
Cleared OTC	60,579			80,925
Bilateral OTC	1,486,000			2,351,047
Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	(1,391,808)			(1,391,808)
Cleared OTC	(60,157)			(64,519)
Bilateral OTC	(1,094,393)			(1,560,112)
Net amounts per Consolidated Statements of Financial Condition (4)	$	400,621		$	868,593

(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 in our 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 our Consolidated Statements of Financial Condition.

May 31, 2020 (1)
Assets Liabilities
Fair Value Number of Contracts (2) Fair Value Number of Contracts (2)
Derivatives designated as accounting hedges:
Interest rate contracts:
Cleared OTC $ 74,227
1
$ —
—
Total derivatives designated as accounting hedges 74,227
—

Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded 515
43,775
277
56,844
Cleared OTC 226,248
4,332
326,475
4,585
Bilateral OTC 732,046
1,244
315,023
601
Foreign exchange contracts:
Exchange-traded —
—
—
139
Bilateral OTC 324,486
12,874
341,814
12,669
Equity contracts:
Exchange-traded 422,377
986,001
501,975
872,216
Bilateral OTC 330,034
1,398
610,146
1,574
Commodity contracts:
Exchange-traded —
3,251
—
4,572
Credit contracts:
Cleared OTC 190
14
915
6
Bilateral OTC 3,697
11
3,961
7
Total derivatives not designated as accounting hedges 2,039,593
2,100,586

Total gross derivative assets/ liabilities:
Exchange-traded 422,892
502,252

Cleared OTC 300,665
327,390

Bilateral OTC 1,390,263
1,270,944

Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded (409,622 ) (409,622 )
Cleared OTC (286,069 ) (287,244 )
Bilateral OTC (832,649 ) (986,017 )
Net amounts per Consolidated Statements of Financial Condition (4) $ 585,480
$ 417,703


~~(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 in our 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 our Consolidated Statements of Financial Condition.

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	November 30, 2020 (1)
	Assets			Liabilities
	Fair Value		Number of Contracts (2)	Fair Value		Number of Contracts (2)
Derivatives designated as accounting hedges:
Interest rate contracts:
Cleared OTC	$	67,381	1	$	6,891	1
Foreign exchange contracts:
Bilateral OTC	0		0	3,306		11
Total derivatives designated as accounting hedges	67,381			10,197

Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	2,442		52,620	439		42,611
Cleared OTC	17,379		3,785	114,524		4,307
Bilateral OTC	626,210		1,493	317,534		466
Foreign exchange contracts:
Exchange-traded	0		0	0		180

Bilateral OTC	297,165		15,005	277,628		15,049
Equity contracts:
Exchange-traded	558,304		1,147,486	564,951		971,938
Bilateral OTC	429,304		2,374	1,125,944		2,421
Commodity contracts:
Exchange-traded	64		3,207	0		2,654

Credit contracts:
Cleared OTC	24,696		39	26,298		31
Bilateral OTC	1,008		11	2,209		11
Total derivatives not designated as accounting hedges	1,956,572			2,429,527
Total gross derivative assets/liabilities:
Exchange-traded	560,810			565,390
Cleared OTC	109,456			147,713
Bilateral OTC	1,353,687			1,726,621
Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	(546,989)			(546,989)
Cleared OTC	(109,228)			(111,654)
Bilateral OTC	(899,919)			(1,140,016)
Net amounts per Consolidated Statements of Financial Condition (4)	$	467,817		$	641,065

(3)Amounts netted include both netting by counterparty and for cash collateral paid or received.

November 30, 2019 (1)
Assets Liabilities
Fair Value Number of Contracts (2) Fair Value Number of Contracts (2)
Derivatives designated as accounting hedges:
Interest rate contracts:
Cleared OTC $ 28,663
1
$ —
—
Total derivatives designated as accounting hedges 28,663
—

Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded 1,191
65,226
103
38,464
Cleared OTC 213,224
3,329
284,433
3,443
Bilateral OTC 421,700
1,325
258,857
738
Foreign exchange contracts:
Exchange-traded —
256
—
199
Bilateral OTC 190,570
9,255
187,836
9,187
Equity contracts:
Exchange-traded 717,494
1,714,538
962,535
1,481,388
Bilateral OTC 248,720
4,731
445,241
4,271
Commodity contracts:
Exchange-traded —
5,524
—
4,646
Credit contracts:
Cleared OTC 2,514
13
5,768
12
Bilateral OTC 6,281
25
14,219
28
Total derivatives not designated as accounting hedges 1,801,694
2,158,992

Total gross derivative assets/liabilities:
Exchange-traded 718,685
962,638

Cleared OTC 244,401
290,201

Bilateral OTC 867,271
906,153

Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded (688,871 ) (688,871 )
Cleared OTC (222,869 ) (266,900 )
Bilateral OTC (521,066 ) (676,016 )
Net amounts per Consolidated Statements of Financial Condition (4) $ 397,551
$ 527,205


~~(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 in our 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 our Consolidated Statements of Financial Condition.

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The following table provides information related to gains (losses) recognized in Interest expense in our Consolidated Statements of Earnings ~~on a~~related to fair value ~~hedge~~hedges (in thousands):




	Three Months Ended May 31,				Six Months Ended May 31,
Gains (Losses)	2021		2020		2021		2020
Interest rate swaps	$	(1,671)	$	22,004	$	(45,462)	$	46,469
Long-term debt	5,215		(22,306)		52,026		(47,173)
Total	$	3,544	$	(302)	$	6,564	$	(704)

Three Months Ended
May 31, Six Months Ended
May 31,
Gains (Losses) 2020 2019 2020 2019
Interest rate swaps $ 22,004
$ 27,204
$ 46,469
$ 41,791
Long-term debt (22,306 ) (28,213 ) (47,173 ) (43,769 )
Total $ (302 ) $ (1,009 ) $ (704 ) $ (1,978 )
The following table provides information related to gains (losses) on our net investment hedges recognized in Currency translation and other adjustments, a component of Other comprehensive income (loss), in our Consolidated Statements of Comprehensive Income (in thousands):




	Three Months Ended May 31,				Six Months Ended May 31,
Gains (Losses)	2021		2020		2021		2020
Foreign exchange contracts	$	(21,906)	$	0	$	(63,406)	$	0

Total	$	(21,906)	$	0	$	(63,406)	$	0

The following table presents unrealized and realized gains (losses) on derivative contracts recognized in Principal transactions revenues in our Consolidated Statements of Earnings, 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) 2020 2019 2020 2019
Interest rate contracts $ (4,079 ) $ (34,020 ) $ (5,168 ) $ (103,851 )
Foreign exchange contracts 2,053
1,594
(847 ) 1,418
Equity contracts 9,147
(92,109 ) 146,035
(120,590 )
Commodity contracts 5,291
(1,117 ) (781 ) 1,375
Credit contracts 12,554
4,818
14,384
8,913
Total $ 24,966
$ (120,834 ) $ 153,623
$ (212,735 )




	Three Months Ended May 31,				Six Months Ended May 31,

Gains (Losses)	2021		2020		2021		2020
Interest rate contracts	$	21,364	$	(4,079)	$	(20,760)	$	(5,168)
Foreign exchange contracts	24,243		2,053		71,273		(847)
Equity contracts	(3,315)		9,147		(93,012)		146,035
Commodity contracts	1,754		5,291		2,563		(781)
Credit contracts	(2,864)		12,554		(2,043)		14,384
Total	$	41,182	$	24,966	$	(41,979)	$	153,623

The net gains (losses) on derivative contracts in the table above are one of a number of activities comprising our business activities and are before consideration of economic hedging transactions, which generally offset the net gains (losses) included above. We substantially mitigate our exposure to market risk on our cash instruments through derivative contracts, which generally provide offsetting revenues, and we manage the risk associated with these contracts in the context of our overall risk management framework.

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OTC Derivatives. The following tables set forth by remaining contract maturity the fair value of OTC derivative assets and liabilities at May 31, ~~2020~~2021 (in thousands):


	OTC Derivative Assets (1) (2) (3)
	0 – 12 Months		1 – 5 Years		Greater Than 5 Years		Cross-Maturity Netting (4)		Total

Equity options and forwards	$	51,619	$	2,347	$	17,573	$	(18,453)	$	53,086
Credit default swaps	0		666		3,369		(1)		4,034
Total return swaps	83,513		14,032		0		(3,120)		94,425
Foreign currency forwards, swaps and options	97,410		4,454		0		(1,262)		100,602
Fixed income forwards	17,702		0		0		0		17,702
Interest rate swaps, options and forwards	53,624		124,028		145,490		(39,642)		283,500
Total	$	303,868	$	145,527	$	166,432	$	(62,478)	553,349
Cross product counterparty netting									(12,172)
Total OTC derivative assets included in Financial instruments owned									$	541,177

OTC Derivative Assets (1) (2) (3)
0 – 12 Months 1 – 5 Years Greater Than 5 Years Cross-Maturity Netting (4) Total
Equity forwards, swaps and options $ 46,129
$ 200
$ 18,280
$ (13,218 ) $ 51,391
Credit default swaps 11
900
133
(11 ) 1,033
Total return swaps 83,333
63,660
—
(8,838 ) 138,155
Foreign currency forwards, swaps and options 55,197
11,655
113
(6,611 ) 60,354
Interest rate swaps, options and forwards 70,849
242,525
253,402
(36,319 ) 530,457
Total $ 255,519
$ 318,940
$ 271,928
$ (64,997 ) 781,390
Cross product counterparty netting (37,469 )
Total OTC derivative assets included in Financial instruments owned $ 743,921
(1)At May 31, 2021, we held net exchange-traded derivative assets and other credit agreements with a fair value of $18.3 million, which are not included in this table.


~~(1)~~	~~At May 31, 2020, we held net exchange-traded derivative assets and other credit agreements with a fair value of $34.1 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 our Consolidated Statements of Financial Condition. At May 31, 2020, cash collateral received was $192.6 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.~~

(2)OTC derivative assets in the table above are gross of collateral received. OTC derivative assets are recorded net of collateral received in our Consolidated Statements of Financial Condition. At May 31, 2021, cash collateral received was $158.8 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.


	OTC Derivative Liabilities (1) (2) (3)
	0 – 12 Months		1 – 5 Years		Greater Than 5 Years		Cross-Maturity Netting (4)		Total

Equity options and forwards	$	14,879	$	523,306	$	161,290	$	(18,453)	$	681,022
Credit default swaps	17		2,607		7,101		(1)		9,724
Total return swaps	123,588		308,799		1,243		(3,120)		430,510
Foreign currency forwards, swaps and options	127,194		2,222		0		(1,262)		128,154
Fixed income forwards	19,941		0		0		0		19,941
Interest rate swaps, options and forwards	29,813		53,418		132,556		(39,642)		176,145
Total	$	315,432	$	890,352	$	302,190	$	(62,478)	1,445,496
Cross product counterparty netting									(12,172)
Total OTC derivative liabilities included in Financial instruments sold, not yet purchased									$	1,433,324

(1)At May 31, 2021, we held net exchange-traded derivative liabilities and other credit agreements with a fair value of $64.2 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 our Consolidated Statements of Financial Condition. At May 31, 2021, cash collateral pledged was $628.9 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.

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OTC Derivative Liabilities (1) (2) (3)
0 – 12 Months 1 – 5 Years Greater Than 5 Years Cross-Maturity Netting (4) Total
Equity, forwards, swaps and options $ 14,944
$ 251,025
$ 101,362
$ (13,218 ) $ 354,113
Credit default swaps —
1,489
69
(11 ) 1,547
Total return swaps 61,841
56,238
—
(8,838 ) 109,241
Foreign currency forwards, swaps and options 74,272
10,196
92
(6,611 ) 77,949
Interest rate swaps, options and forwards 28,449
84,262
80,673
(36,319 ) 157,065
Total $ 179,506
$ 403,210
$ 182,196
$ (64,997 ) 699,915
Cross product counterparty netting (37,469 )
Total OTC derivative liabilities included in Financial instruments sold, not yet purchased $ 662,446


~~(1)~~	~~At May 31, 2020, we held net exchange-traded derivative liabilities and other credit agreements with a fair value of $102.4 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 in our Consolidated Statements of Financial Condition. At May 31, 2020, cash collateral pledged was $347.1 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.~~

The following table presents the counterparty credit quality with respect to the fair value of our OTC derivative assets at May 31, ~~2020~~2021 (in thousands):

Counterparty credit quality (1):
A- or higher $ 133,783
BBB- to BBB+ 32,975
BB+ or lower 336,290
Unrated 240,873
Total $ 743,921


Counterparty credit quality (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.
A- or higher	$	127,260
BBB- to BBB+	33,398
BB+ or lower	192,047
Unrated	188,472
Total	$	541,177

(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

The external credit ratings of the underlyings or referenced assets for our written credit related derivative contracts (in millions):


	May 31, 2021
	External Credit Rating
	Investment Grade		Non-investment Grade		Unrated		Total Notional
Credit protection sold:
Index credit default swaps	$	163.2	$	70.0	$	0	$	233.2
Single name credit default swaps	81.8		6.2		0.2		88.2

May 31, 2020
External Credit Rating
Investment Grade Non-investment Grade Total Notional
Credit protection sold:
Index credit default swaps $ 2.0
$ 12.1
$ 14.1
Single name credit default swaps —
7.4
7.4


	November 30, 2020
	External Credit Rating
	Investment Grade		Non-investment Grade		Unrated		Total Notional
Credit protection sold:
Index credit default swaps	$	62.0	$	262.8	$	0	$	324.8
Single name credit default swaps	0		6.2		0.2		6.4

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November 30, 2019
External Credit Rating
Investment Grade Non-investment Grade Unrated Total Notional
Credit protection sold:
Index credit default swaps $ 3.0
$ 32.0
$ —
$ 35.0
Single name credit default swaps 3.4
29.0
1.5
33.9

Contingent Features

Certain of our derivative instruments contain provisions that require our debt to maintain an investment grade credit rating from each of the major credit rating agencies. If our debt were to fall below investment grade, it would be in violation of these provisions and the counterparties to the derivative instruments could request immediate payment or demand immediate and ongoing full overnight collateralization on our derivative instruments in liability positions. 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, 2021		November 30, 2020
Derivative instrument liabilities with credit-risk-related contingent features	$	508.2	$	284.6
Collateral posted	(209.9)		(129.8)
Collateral received	155.7		141.4
Return of and additional collateral required in the event of a credit rating downgrade below investment grade (1)	454.0		296.2

May 31, 2020 November 30, 2019
Derivative instrument liabilities with credit-risk-related contingent features $ 180.9
$ 42.9
Collateral posted (139.3 ) (3.1 )
Collateral received 50.9
114.1
Return of and additional collateral required in the event of a credit rating downgrade below investment grade (1) 92.6
154.0
(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.


~~(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.

Note 6. Collateralized Transactions

Our repurchase agreements and securities borrowing and lending arrangements are generally recorded at cost in our Consolidated Statements of Financial Condition, which is a reasonable approximation of their fair values due to their short-term nature. We enter into secured borrowing and lending arrangements to obtain collateral necessary to effect settlement, finance inventory positions, meet customer needs or re-lend as part of our dealer operations. We monitor the fair value of the securities loaned and borrowed on a daily basis as compared with the related payable or receivable, and request additional collateral or return excess collateral, as appropriate. We pledge financial instruments as collateral under repurchase agreements, securities lending agreements and other secured arrangements, including clearing arrangements. Our agreements with counterparties generally contain contractual provisions allowing the counterparty the right to sell or repledge the collateral. Pledged securities owned that can be sold or repledged by the counterparty are included in Financial instruments owned, at fair value, and noted parenthetically as Securities pledged in our Consolidated Statements of Financial Condition.

In instances where we receive securities as collateral in connection with securities-for-securities transactions in which we are the lender of securities and are permitted to sell or repledge the securities received as collateral, we report the fair value of the collateral received and the related obligation to return the collateral in our Consolidated Statements of Financial Condition.

The following tables set forth the carrying value of securities lending arrangements, repurchase agreements and obligation to return securities received as collateral, at fair value, by class of collateral pledged (in thousands):

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	May 31, 2021
	Securities Lending Arrangements		Repurchase Agreements		Total
Collateral Pledged:
Corporate equity securities	$	1,845,840	$	157,948	$	2,003,788
Corporate debt securities	401,275		2,370,242		2,771,517
Mortgage-backed and asset-backed securities	0		1,293,794		1,293,794
U.S. government and federal agency securities	18,562		10,035,319		10,053,881
Municipal securities	0		289,739		289,739
Sovereign obligations	11,746		2,180,790		2,192,536
Loans and other receivables	0		955,107		955,107
Total	$	2,277,423	$	17,282,939	$	19,560,362

May 31, 2020
Securities Lending Arrangements Repurchase Agreements Obligation To Return Securities Received As Collateral, at fair value Total
Collateral Pledged:
Corporate equity securities $ 1,361,027
$ 19,560
$ —
$ 1,380,587
Corporate debt securities 574,834
1,774,184
—
2,349,018
Mortgage-backed and asset-backed securities —
1,604,243
—
1,604,243
U.S. government and federal agency securities 5,607
10,924,983
9,909
10,940,499
Municipal securities —
359,159
—
359,159
Sovereign obligations —
4,138,647
—
4,138,647
Loans and other receivables —
1,127,416
—
1,127,416
Total $ 1,941,468
$ 19,948,192
$ 9,909
$ 21,899,569


	November 30, 2019									November 30, 2020
	Securities Lending Arrangements		Repurchase Agreements		Obligation To Return Securities Received As Collateral, at fair value		Total			Securities Lending Arrangements		Repurchase Agreements		Obligation to Return Securities Received As Collateral, at Fair Value		Total
Collateral Pledged:									Collateral Pledged:
Corporate equity securities	$	1,314,395	$	129,558	$	—	$	1,443,953	Corporate equity securities	$	1,371,978	$	157,912	$	7,517	$	1,537,407
Corporate debt securities	191,311		1,730,526		—		1,921,837		Corporate debt securities	369,218		1,869,844		0		2,239,062
Mortgage-backed and asset-backed securities	—		1,745,145		—		1,745,145		Mortgage-backed and asset-backed securities	0		1,547,140		0		1,547,140
U.S. government and federal agency securities	19,434		10,863,997		9,500		10,892,931		U.S. government and federal agency securities	14,789		7,149,992		0		7,164,781
Municipal securities	—		498,202		—		498,202		Municipal securities	0		278,470		0		278,470
Sovereign obligations	—		3,016,563		—		3,016,563		Sovereign obligations	54,763		2,763,032		0		2,817,795
Loans and other receivables	—		772,926		—		772,926		Loans and other receivables	0		1,392,883		0		1,392,883
Total	$	1,525,140	$	18,756,917	$	9,500	$	20,291,557	Total	$	1,810,748	$	15,159,273	$	7,517	$	16,977,538


	May 31, 2021
	Overnight and Continuous		Up to 30 Days		31-90 Days		Greater than 90 Days		Total
Securities lending arrangements	$	861,554	$	0	$	598,203	$	817,666	$	2,277,423
Repurchase agreements	8,251,453		2,894,885		2,811,683		3,324,918		17,282,939

Total	$	9,113,007	$	2,894,885	$	3,409,886	$	4,142,584	$	19,560,362

May 31, 2020
Overnight and Continuous Up to 30 Days 31-90 Days Greater than 90 Days Total
Securities lending arrangements $ 846,023
$ 83,582
$ 492,010
$ 519,853
$ 1,941,468
Repurchase agreements 9,380,493
4,037,094
3,663,073
2,867,532
19,948,192
Obligation to return securities received as collateral, at fair value —
—
—
9,909
9,909
Total $ 10,226,516
$ 4,120,676
$ 4,155,083
$ 3,397,294
$ 21,899,569


	November 30, 2020
	Overnight and Continuous		Up to 30 Days		31-90 Days		Greater than 90 Days		Total
Securities lending arrangements	$	636,256	$	59,735	$	459,455	$	655,302	$	1,810,748
Repurchase agreements	5,510,476		1,747,526		5,019,885		2,881,386		15,159,273
Obligation to return securities received as collateral, at fair value	7,517		0		0		0		7,517
Total	$	6,154,249	$	1,807,261	$	5,479,340	$	3,536,688	$	16,977,538

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November 30, 2019
Overnight and Continuous Up to 30 Days 31-90 Days Greater than 90 Days Total
Securities lending arrangements $ 694,821
$ —
$ 672,969
$ 157,350
$ 1,525,140
Repurchase agreements 6,614,026
1,556,260
8,988,528
1,598,103
18,756,917
Obligation to return securities received as collateral, at fair value —
—
9,500
—
9,500
Total $ 7,308,847
$ 1,556,260
$ 9,670,997
$ 1,755,453
$ 20,291,557

We receive securities as collateral under resale agreements, securities borrowing transactions and customer margin loans. We also receive securities as collateral in connection with securities-for-securities transactions in which we are the lender of securities. In many instances, we are permitted by contract to rehypothecate the securities received as collateral. These securities may be used to secure repurchase agreements, enter into securities lending transactions, satisfy margin requirements on derivative transactions or cover short positions. At May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, the approximate fair value of securities received as collateral by us that may be sold or repledged was ~~$26.8~~$33.0 billion and ~~$28.7~~$25.9 billion, respectively. At May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, a substantial portion of the securities received by us had been sold or repledged.

Offsetting of Securities Financing Agreements

To manage our exposure to credit risk associated with securities financing transactions, we may enter into master netting agreements and collateral arrangements with counterparties. Generally, transactions are executed under standard industry agreements, including, but not limited to, master securities lending agreements (securities lending transactions) and master repurchase agreements (repurchase transactions). See Note 2, Summary of Significant Accounting Policies, in our consolidated financial statements included in Part II, Item 8 of our Annual Report on Form 10-K for the year ended November 30, ~~2019~~2020 for additional information regarding the offsetting of securities financing agreements.

The following tables provide information regarding repurchase agreements, securities borrowing and lending arrangements and securities received as collateral, at fair value, and obligation to return securities received as collateral, at fair value, that are recognized in our Consolidated Statements of Financial Condition and 1) the extent to which, under enforceable master netting arrangements, such balances are presented net in our 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).

May 31, 2020
Gross Amounts Netting in Consolidated Statement of Financial Condition Net Amounts in Consolidated Statement of Financial Condition Additional Amounts Available for Setoff (1) Available Collateral (2) Net Amount (3)
Assets:
Securities borrowing arrangements $ 6,457,035
$ —
$ 6,457,035
$ (500,270 ) $ (1,464,411 ) $ 4,492,354
Reverse repurchase agreements 15,601,111
(11,317,049 ) 4,284,062
(783,427 ) (3,474,933 ) 25,702
Securities received as collateral, at fair value 9,909
—
9,909
—
—
9,909
Liabilities:
Securities lending arrangements $ 1,941,468
$ —
$ 1,941,468
$ (500,270 ) $ (1,414,097 ) $ 27,101
Repurchase agreements 19,948,192
(11,317,049 ) 8,631,143
(783,427 ) (7,350,643 ) 497,073
Obligation to return securities received as collateral, at fair value 9,909
—
9,909
—
—
9,909


	May 31, 2021
	Gross Amounts		Netting in Consolidated Statement of Financial Condition		Net Amounts in Consolidated Statement of Financial Condition		Additional Amounts Available for Setoff (1)		Available Collateral (2)		Net Amount (3)
Assets:
Securities borrowing arrangements	$	6,720,683	$	0	$	6,720,683	$	(493,650)	$	(2,083,503)	$	4,143,530
Reverse repurchase agreements	17,120,842		(10,203,617)		6,917,225		(618,350)		(6,259,927)		38,948

Liabilities:
Securities lending arrangements	$	2,277,423	$	0	$	2,277,423	$	(493,650)	$	(1,718,328)	$	65,445
Repurchase agreements	17,282,939		(10,203,617)		7,079,322		(618,350)		(5,933,921)		527,051

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	November 30, 2020
	Gross Amounts		Netting in Consolidated Statement of Financial Condition		Net Amounts in Consolidated Statement of Financial Condition		Additional Amounts Available for Setoff (1)		Available Collateral (2)		Net Amount (4)
Assets:
Securities borrowing arrangements	$	6,934,762	$	0	$	6,934,762	$	(395,342)	$	(1,706,046)	$	4,833,374
Reverse repurchase agreements	11,939,773		(6,843,004)		5,096,769		(412,327)		(4,578,560)		105,882
Securities received as collateral, at fair value	7,517		0		7,517		0		0		7,517
Liabilities:
Securities lending arrangements	$	1,810,748	$	0	$	1,810,748	$	(395,342)	$	(1,397,550)	$	17,856
Repurchase agreements	15,159,273		(6,843,004)		8,316,269		(412,327)		(7,122,422)		781,520
Obligation to return securities received as collateral, at fair value	7,517		0		7,517		0		0		7,517

(1)Under master netting agreements with our counterparties, we have the legal right of offset with a counterparty, which incorporates all of the counterparty’s outstanding rights and obligations under the arrangement. These balances reflect additional credit risk mitigation that is available by a counterparty in the event of a counterparty’s default, but which are not netted in the balance sheet because other netting provisions of U.S. GAAP are not met.

November 30, 2019
Gross Amounts Netting in Consolidated Statement of Financial Condition Net Amounts in Consolidated Statement of Financial Condition Additional Amounts Available for Setoff (1) Available Collateral (2) Net Amount (4)
Assets:
Securities borrowing arrangements $ 7,624,642
$ —
$ 7,624,642
$ (361,394 ) $ (1,479,433 ) $ 5,783,815
Reverse repurchase agreements 15,551,845
(11,252,247 ) 4,299,598
(291,316 ) (3,929,977 ) 78,305
Securities received as collateral, at fair value 9,500
—
9,500
—
—
9,500
Liabilities:
Securities lending arrangements $ 1,525,140
$ —
$ 1,525,140
$ (361,394 ) $ (970,799 ) $ 192,947
Repurchase agreements 18,756,917
(11,252,247 ) 7,504,670
(291,316 ) (6,663,807 ) 549,547
Obligation to return securities received as collateral, at fair value 9,500
—
9,500
—
—
9,500
(2)Includes securities received or paid under collateral arrangements with counterparties that could be liquidated in the event of a counterparty default and thus offset against a counterparty’s rights and obligations under the respective repurchase agreements or securities borrowing or lending arrangements.

~~(1)~~

Under master netting agreements with our counterparties, we have the legal right of offset with a counterparty, which incorporates all of the counterparty’s outstanding rights and obligations under the arrangement. These balances reflect additional credit risk mitigation that is available by a counterparty in the event of a counterparty’s default, but which are not netted in the balance sheet because other netting provisions of U.S. GAAP are not met.


~~(2)~~	Includes securities received or paid under collateral arrangements with counterparties that could be liquidated in the event of a counterparty default and thus offset against a counterparty’s rights and obligations under the respective repurchase agreements or securities borrowing or lending arrangements.


~~(3)~~	Amounts include $4,444.7 million of securities borrowing arrangements, for which we have received securities collateral of $4,337.7 million, and $470.0 million of repurchase agreements, for which we have pledged securities collateral of $480.3 million, which are subject to master netting agreements, but we have not determined the agreements to be legally enforceable.


~~(4)~~	Amounts include $5,683.4 million of securities borrowing arrangements, for which we have received securities collateral of $5,523.6 million, and $439.7 million of repurchase agreements, for which we have pledged securities collateral of $447.5 million, which are subject to master netting agreements, but we have not determined the agreements to be legally enforceable.

(3)Amounts include $4,032.0 million of securities borrowing arrangements, for which we have received securities collateral of $3,904.7 million, and $520.0 million of repurchase agreements, for which we have pledged securities collateral of $533.6 million, which are subject to master netting agreements, but we have not determined the agreements to be legally enforceable.

(4)Amounts include $4,757.8 million of securities borrowing arrangements, for which we have received securities collateral of $4,617.0 million, and $720.0 million of repurchase agreements, for which we have pledged securities collateral of $733.9 million, which are subject to master netting agreements, but we have not determined the agreements to be legally enforceable.

Cash and Securities Segregated and on Deposit for Regulatory Purposes or Deposited with Clearing and Depository Organizations

Cash and securities segregated in accordance with regulatory regulations and deposited with clearing and depository organizations ~~and segregated in accordance with regulatory regulations~~ totaled ~~$668.9~~$901.4 million and ~~$796.8~~$604.3 million at May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, respectively. Segregated cash and securities consist of deposits in accordance with Rule 15c3-3 of the Securities Exchange Act of 1934, which subjects Jefferies LLC as a broker-dealer carrying customer accounts to requirements related to maintaining cash or qualified securities in segregated special reserve bank accounts for the exclusive benefit of its customers.

Note 7. Securitization Activities

We engage in securitization activities related to corporate loans, mortgage loans, consumer loans and mortgage-backed and other asset-backed securities. In our securitization transactions, we transfer these assets to special purpose entities (“SPEs”) and act as the placement or structuring agent for the beneficial interests sold to investors by the SPE. A significant portion of our securitization transactions are the securitization of assets issued or guaranteed by U.S. government agencies. These SPEs generally meet the criteria of VIEs; however, we generally do not consolidate the SPEs as we are not considered the primary beneficiary for these SPEs. See Note 8, Variable Interest Entities, for further discussion on VIEs and our determination of the primary beneficiary.

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We account for our securitization transactions as sales, provided we have relinquished control over the transferred assets. Transferred assets are carried at fair value with unrealized gains and losses reflected in Principal transactions revenues in our Consolidated Statements of Earnings prior to the identification and isolation for securitization. Subsequently, revenues recognized upon securitization are reflected as net underwriting revenues. We generally receive cash proceeds in connection with the transfer of assets to an SPE. We may, however, have continuing involvement with the transferred assets, which is limited to retaining one or more tranches of the securitization (primarily senior and subordinated debt securities in the form of mortgage-backed and other-asset backed securities or CLOs). These securities are included in Financial instruments owned, at fair value in our Consolidated Statements of Financial Condition and are generally initially categorized as Level 2 within the fair value hierarchy. For further information on fair value measurements and the fair value hierarchy, refer to Note 4, Fair Value Disclosures, herein, and Note 2, Summary of Significant Accounting Policies, in our consolidated financial statements included in Part II, Item 8 of our Annual Report on Form 10-K for the year ended November 30, ~~2019.~~2020.

The following table presents activity related to our securitizations that were accounted for as sales in which we had continuing involvement (in millions):

Three Months Ended
May 31, Six Months Ended
May 31,
2020 2019 2020 2019
Transferred assets $ 1,475.8
$ 844.5
$ 3,810.4
$ 2,105.1
Proceeds on new securitizations 1,475.7
845.8
3,810.4
2,177.0
Cash flows received on retained interests 7.2
24.3
11.7
36.6


	Three Months Ended May 31,				Six Months Ended May 31,
	2021		2020		2021		2020
Transferred assets	$	3,146.5	$	1,475.8	$	6,730.0	$	3,810.4
Proceeds on new securitizations	3,146.5		1,475.7		6,729.6		3,810.4
Cash flows received on retained interests	5.1		7.2		11.1		11.7

We have no explicit or implicit arrangements to provide additional financial support to these SPEs, have no liabilities related to these SPEs and do not have any outstanding derivative contracts executed in connection with these securitization activities at May 31, ~~2020~~2021 and November 30, ~~2019.~~2020.

The following tables summarize our retained interests in SPEs where we transferred assets and have continuing involvement and received sale accounting treatment (in millions):

May 31, 2020 November 30, 2019
Securitization Type Total Assets Retained Interests Total Assets Retained Interests
U.S. government agency RMBS $ 1,028.5
$ 55.6
$ 10,671.7
$ 103.3
U.S. government agency CMBS 672.3
55.2
1,374.8
45.8
CLOs 1,468.1
121.6
3,006.7
58.4
Consumer and other loans 707.6
67.5
1,149.3
71.8


	May 31, 2021				November 30, 2020
Securitization Type	Total Assets		Retained Interests		Total Assets		Retained Interests
U.S. government agency RMBS	$	447.8	$	6.2	$	562.5	$	7.8
U.S. government agency CMBS	2,224.0		114.5		2,461.2		205.2
CLOs	3,702.0		91.9		3,345.5		39.5
Consumer and other loans	1,693.3		95.1		1,290.6		56.6

Total assets represent the unpaid principal amount of assets in the SPEs in which we have continuing involvement and are presented solely to provide information regarding the size of the transactions and the size of the underlying assets supporting our retained interests, and are not considered representative of the risk of potential loss. Assets retained in connection with a securitization transaction represent the fair value of the securities of one or more tranches issued by an SPE, including senior and subordinated tranches. Our risk of loss is limited to this fair value amount which is included in total Financial instruments owned in our Consolidated Statements of Financial Condition.

Although not obligated, in connection with secondary market-making activities we may make a market in the securities issued by these SPEs. In these market-making transactions, we buy these securities from and sell these securities to investors. Securities purchased through these market-making activities are not considered to be continuing involvement in these SPEs. To the extent we purchased securities through these market-making activities and we are not deemed to be the primary beneficiary of the VIE, these securities are included in agency and non-agency mortgage-backed and asset-backed securitizations in the nonconsolidated VIEs section presented in Note 8, Variable Interest Entities.

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Note 8. Variable Interest Entities

VIEs are entities in which equity investors lack the characteristics of a controlling financial interest. VIEs are consolidated by the primary beneficiary. The primary beneficiary is the party who has both (1) the power to direct the activities of a VIE that most significantly impact the entity’s economic performance and (2) an obligation to absorb losses of the entity or a right to receive benefits from the entity that could potentially be significant to the entity.

Our variable interests in VIEs include debt and equity interests, commitments, guarantees and certain fees. Our involvement with VIEs arises primarily from:

•Purchases of securities in connection with our trading and secondary ~~market-making~~market making activities;

•Retained interests held as a result of securitization ~~activities, including the resecuritization of mortgage-backed and other asset-backed securities and the securitization of mortgage, corporate and consumer loans;~~activities;

•Acting as placement agent and/or underwriter in connection with client-sponsored securitizations;

•Financing of agency and non-agency mortgage-backed and other asset-backed securities;

•Warehouse funding arrangements for client-sponsored consumer and mortgage loan vehicles and CLOs through participation agreements, forward sale agreements, reverse repurchase agreements, and revolving loan and note commitments; and

•Loans to, investments in and fees from various investment vehicles.

We determine whether we are the primary beneficiary of a VIE upon our initial involvement with the VIE and we reassess whether we are the primary beneficiary of a VIE on an ongoing basis. Our determination of whether we are the primary beneficiary of a VIE is based upon the facts and circumstances for each VIE and requires judgment. Our considerations in determining the VIE’s most significant activities and whether we have power to direct those activities include, but are not limited to, the VIE’s purpose and design and the risks passed through to investors, the voting interests of the VIE, management, service and/or other agreements of the VIE, involvement in the VIE’s initial design and the existence of explicit or implicit financial guarantees. In situations where we have determined that the power over the VIE’s significant activities is shared, we assess whether we are the party with the power over the most significant activities. If we are the party with the power over the most significant activities, we meet the “power” criteria of the primary beneficiary. If we do not have the power over the most significant activities or we determine that decisions require consent of each sharing party, we do not meet the “power” criteria of the primary beneficiary.

We assess our variable interests in a VIE both individually and in aggregate to determine whether we have an obligation to absorb losses of or a right to receive benefits from the VIE that could potentially be significant to the VIE. The determination of whether our variable interest is significant to the VIE requires judgment. In determining the significance of our variable interest, we consider the terms, characteristics and size of the variable interests, the design and characteristics of the VIE, our involvement in the VIE and our market-making activities related to the variable interests.

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Consolidated VIEs

The following table presents information about our consolidated VIEs at May 31, ~~2020~~2021 and November 30, ~~2019~~2020 (in millions). The assets and liabilities in the tables below are presented prior to consolidation and thus a portion of these assets and liabilities are eliminated in consolidation.


	May 31, 2021				November 30, 2020
	Secured Funding Vehicles		Other		Secured Funding Vehicles		Other
Cash (1)	$	0	$	1.2	$	0	$	1.2
Financial instruments owned (2)	0		0.2		0		5.2
Securities purchased under agreements to resell (3)	3,535.2		0		2,908.9		0
Receivable from brokers	0		22.5		0		12.9
Other assets	0		0.2		0		0.1

Total assets	$	3,535.2	$	24.1	$	2,908.9	$	19.4
Financial instruments sold, not yet purchased	$	0	$	0	$	0	$	2.5
Other secured financings (4)	3,533.8		0		2,907.8		0
Payables to customers	0		0.3		0		0
Other liabilities (5)	1.4		0.5		1.1		0.4
Total liabilities	$	3,535.2	$	0.8	$	2,908.9	$	2.9

May 31, 2020 November 30, 2019
Secured Funding Vehicles Other Secured Funding Vehicles Other
Cash (1) $ —
$ 1.2
$ —
$ 1.2
Financial instruments owned —
3.4
—
0.3
Securities purchased under agreements to resell (2) 2,097.5
—
2,467.3
—
Receivable from brokers —
17.8
—
—
Other assets —
0.2
—
—
Total assets $ 2,097.5
$ 22.6
$ 2,467.3
$ 1.5
Financial instruments sold, not yet purchased $ —
$ 5.3
$ —
$ —
Other secured financings 2,096.7
—
2,465.8
—
Other liabilities (3) 0.8
0.4
1.5
0.2
Total liabilities $ 2,097.5
$ 5.7
$ 2,467.3
$ 0.2
(1)Approximately $1.2 million and $0.7 million of the cash amounts at May 31, 2021 and November 30, 2020, respectively, represent cash on deposit with related consolidated entities and are eliminated in consolidation.


~~(1)~~	~~Approximately $0.6 million of the cash amount at May 31, 2020 represents cash on deposit with a related consolidated entity and is eliminated in consolidation.~~


~~(2)~~	~~Securities purchased under agreements to resell primarily represent amounts due under collateralized transactions on related consolidated entities, which are eliminated in consolidation.~~


~~(3)~~	~~Approximately $0.3 million and $0.2 million of the other liabilities amount represents intercompany payables and is eliminated in consolidation at May 31, 2020 and November 30, 2019, respectively.~~

(2)Approximately $0.2 million of financial instruments owned at May 31, 2021, are with related consolidated entities, which are eliminated in consolidation.

(3)Securities purchased under agreements to resell primarily represent amounts due under collateralized transactions on related consolidated entities, which are eliminated in consolidation.

(4)Approximately $138.2 million of the other secured financings at November 30, 2020, are with related consolidated entities, which are eliminated in consolidation.

(5)Approximately $0.3 million of the other liabilities amounts at both May 31, 2021 and November 30, 2020 represent intercompany payables with related consolidated entities, which are eliminated in consolidation.

Secured Funding Vehicles. We are the primary beneficiary of asset-backed financing vehicles to which we sell agency and non-agency residential and commercial mortgage loans, and asset-backed securities pursuant to the terms of a master repurchase agreement. Our variable interests in these vehicles consist of our collateral margin maintenance obligations under the master repurchase agreement, which we manage, and retained interests in securities issued. The assets of these VIEs consist of reverse repurchase agreements, which are available for the benefit of the vehicle’s debt holders.

Other. We are the primary beneficiary of certain investment vehicles set up for the benefit of our employees. We manage and invest alongside our employees in these vehicles. The assets of these VIEs consist of private equity securities, and are available for the benefit of the entities’ equity holders. Our variable interests in these vehicles consist of equity securities. The creditors of these VIEs do not have recourse to our general credit and each such VIE’s assets are not available to satisfy any other debt.

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Nonconsolidated VIEs

The following tables present information about our variable interests in nonconsolidated VIEs (in millions):


	May 31, 2021
	Carrying Amount				Maximum Exposure to Loss		VIE Assets
	Assets		Liabilities
CLOs	$	145.3	$	2.4	$	1,089.7	$	6,684.9
Asset-backed vehicles	265.6		0		421.2		2,584.6
Related party private equity vehicles	23.7		0		34.6		67.2
Other investment vehicles	796.3		0		797.5		11,490.3
Total	$	1,230.9	$	2.4	$	2,343.0	$	20,827.0

May 31, 2020
Carrying Amount Maximum Exposure to Loss VIE Assets
Assets Liabilities
CLOs $ 64.9
$ —
$ 70.9
$ 5,874.8
Consumer loan and other asset-backed vehicles 336.4
—
472.9
2,499.8
Related party private equity vehicles 16.6
—
27.7
45.6
Other investment vehicles 773.4
—
780.5
11,648.1
Total $ 1,191.3

$ —

$ 1,352.0

$ 20,068.3

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November 30, 2019
Carrying Amount Maximum Exposure to Loss VIE Assets
Assets Liabilities
CLOs $ 152.6
$ 0.6
$ 505.3
$ 7,845.0
Consumer loan and other asset-backed vehicles 358.3
—
490.6
2,354.8
Related party private equity vehicles 23.0
—
34.3
71.4
Other investment vehicles 404.1
—
411.9
6,102.7
Total $ 938.0

$ 0.6

$ 1,442.1

$ 16,373.9


	November 30, 2020
	Carrying Amount				Maximum Exposure to Loss		VIE Assets
	Assets		Liabilities
CLOs	$	60.7	$	0.2	$	642.7	$	6,849.1
Asset-backed vehicles	251.6		0		377.2		2,462.7
Related party private equity vehicles	19.0		0		30.0		53.0
Other investment vehicles	739.7		0		740.9		12,570.2
Total	$	1,071.0	$	0.2	$	1,790.8	$	21,935.0

Our maximum exposure to loss often differs from the carrying value of the variable interests. The maximum exposure to loss is dependent on the nature of our variable interests in the VIEs and is limited to the notional amounts of certain loan and equity commitments and guarantees. Our maximum exposure to loss does not include the offsetting benefit of any financial instruments that may be utilized to hedge the risks associated with our variable interests and is not reduced by the amount of collateral held as part of a transaction with a VIE.

Collateralized Loan Obligations. Assets collateralizing the CLOs include bank loans, participation interests, ~~and~~ sub-investment grade and senior secured U.S. ~~loans.~~loans, and senior secured Euro denominated corporate leveraged loans and bonds. We underwrite securities issued in CLO transactions on behalf of sponsors and provide advisory services to the sponsors. We may also sell corporate loans to the CLOs. Our variable interests in connection with CLOs where we have been involved in providing underwriting and/or advisory services consist of the following:

•Forward sale agreements whereby we commit to sell, at a fixed price, corporate loans and ownership interests in an entity holding such corporate loans to CLOs;

•Warehouse funding arrangements in the form ~~of participation~~of:

◦Participation interests in corporate loans held by CLOs and commitments to fund such participation ~~interests;~~interests, and

◦Reverse repurchase agreements with collateral margin maintenance obligations and commitments to fund such reverse repurchase agreements;

•Trading positions in securities issued in a CLO ~~transaction;~~transactions; and

•Investments in variable funding notes issued by CLOs.

Asset-Backed Vehicles. We provide financing and lending related services to certain client-sponsored VIEs in the form of revolving funding note agreements, revolving credit facilities, forward purchase agreements and reverse repurchase agreements. The underlying assets, which are collateralizing the vehicles, are primarily composed of unsecured consumer loans, mortgage loans, and trade claims. In addition, we may provide structuring and advisory services and act as an underwriter or placement agent for securities issued by the vehicles. We do not control the activities of these entities.

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Related Party Private Equity Vehicles. We committed to invest in private equity funds, (the “JCP Funds”, including JCP Fund V (see Note 9, Investments)) managed by Jefferies Capital Partners, LLC (the “JCP Manager”). Additionally, we committed to invest in the general partners of the JCP Funds (the “JCP General Partners”) and the JCP Manager. Our variable interests in the JCP Funds, JCP General Partners and JCP Manager (collectively, the “JCP Entities”) consist of equity interests that, in total, provide us with limited and general partner investment returns of the JCP Funds, a portion of the carried interest earned by the JCP General Partners and a portion of the management fees earned by the JCP Manager. At both May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, our total equity commitment in the JCP Entities was $133.0 million, of which ~~$121.9~~$122.1 million and ~~$121.7~~$122.0 million had been funded, respectively. The carrying value of our equity investments in the JCP Entities was ~~$16.6~~$23.7 million and ~~$23.0~~$19.0 million at May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, respectively. Our exposure to loss is limited to the total of our carrying value and unfunded equity commitment. The assets of the JCP Entities primarily consist of private equity and equity related investments.

Other Investment Vehicles. At May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, we had equity commitments to invest ~~$770.6~~$662.3 million and ~~$398.6~~$749.3 million, respectively, in various other investment vehicles, of which ~~$763.5~~$661.1 million and ~~$390.8~~$748.1 million was funded, respectively. The carrying value of our equity investments was ~~$773.4~~$796.3 million and ~~$404.1~~$739.7 million at May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, respectively. Our exposure to loss is limited to the total of our carrying value and unfunded equity commitment. These investment vehicles have assets primarily consisting of private and public equity investments, debt instruments, trade and insurance claims and various oil and gas assets.

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Mortgage-Backed and Other Asset-Backed Secured Funding Vehicles. In connection with our secondary trading and market-making activities, we buy and sell agency and non-agency mortgage-backed securities and other asset-backed securities, which are issued by third-party securitization SPEs and are generally considered variable interests in VIEs. Securities issued by securitization SPEs are backed by residential mortgage loans, U.S. agency collateralized mortgage obligations, commercial mortgage loans, CDOs and CLOs and other consumer loans, such as installment receivables, auto loans and student loans. These securities are accounted for at fair value and included in Financial instruments owned in our Consolidated Statements of Financial Condition. We have no other involvement with the related SPEs and therefore do not consolidate these entities.

We also engage in underwriting, placement and structuring activities for third-party-sponsored securitization trusts generally through agency (FNMA (“Fannie Mae”), Federal Home Loan Mortgage Corporation (“Freddie Mac”) or GNMA (“Ginnie Mae”)) or non-agency-sponsored SPEs and may purchase loans or mortgage-backed securities from ~~third parties~~third-parties that are subsequently transferred into the securitization trusts. The securitizations are backed by residential and commercial mortgage, home equity and auto loans. We do not consolidate agency-sponsored securitizations as we do not have the power to direct the activities of the SPEs that most significantly impact their economic performance. Further, we are not the servicer of non-agency-sponsored securitizations and therefore do not have power to direct the most significant activities of the SPEs and accordingly, do not consolidate these entities. We may retain unsold senior and/or subordinated interests at the time of securitization in the form of securities issued by the SPEs.

At May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, we held ~~$2,004.2~~$1,418.2 million and ~~$1,453.5~~$1,571.6 million of agency mortgage-backed securities, respectively, and ~~$140.4~~$239.2 million and ~~$134.8~~$252.0 million of non-agency mortgage-backed and other asset-backed securities, respectively, as a result of our secondary trading and market-making activities, and underwriting, placement and structuring activities. Our maximum exposure to loss on these securities is limited to the carrying value of our investments in these securities. These mortgage-backed and other asset-backed secured funding vehicles discussed are not included in the above table containing information about our variable interests in nonconsolidated VIEs.

Note 9. Investments

At May 31, ~~2020,~~2021, we had investments in Jefferies Finance LLC (“Jefferies Finance”) and Berkadia. ~~In addition, we had an investment in Epic Gas, which was sold on March 19, 2019.~~ Our investments in Jefferies Finance ~~Berkadia~~ and ~~Epic Gas~~Berkadia have been accounted for under the equity method and have been included in Loans to and investments in related parties in our Consolidated Statements of Financial Condition with our share of the investees’ earnings recognized in Other revenues in our Consolidated Statements of Earnings. We have limited partnership interests of 11% and 50% in Jefferies Capital Partners V L.P. and the Jefferies SBI USA Fund L.P. (together, “JCP Fund V”), respectively, which are private equity funds managed by a team led by one of our directors and our Chairman of the Executive Committee.

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Jefferies Finance

Jefferies Finance, a joint venture entity pursuant to an agreement with Massachusetts Mutual Life Insurance Company (“MassMutual”), is a commercial finance company that structures, underwrites and ~~arranges~~syndicates primarily senior secured loans to corporate borrowers. Jefferies Finance conducts its operations primarily through 2 business lines, Leveraged Finance Arrangement and Portfolio & Asset Management. The Leveraged Finance Arrangement business line participates in transactions typically ranging from $250.0 million to $1.5 billion for borrowers. Loans are originated primarily through the investment banking efforts of Jefferies LLC. The Portfolio & Asset Management business line, collectively referred to as Jefferies ~~Finance may also underwrite and arrange other debt products such as second lien term, bridge and mezzanine loans, as well as related equity co-investments. In addition, Jefferies Finance~~Credit Partners, is a ~~registered investment advisor under the Investment Advisers Act~~private credit platform that manages more than $10.0 billion of ~~1940~~proprietary and ~~through two of its wholly-owned subsidiaries, Apex Credit Partners LLC~~third party capital invested across commingled funds, separately managed accounts and ~~JFIN Asset Management LLC, acts as an investment advisor for various loan funds and CLOs managing direct lending and broadly syndicated loan products.~~CLOs.

At May 31, ~~2020,~~2021, we and MassMutual each had equity commitments to Jefferies Finance of $750.0 million, for a combined total commitment of $1.5 billion. At May 31, ~~2020,~~2021, we had funded ~~$652.4~~$676.8 million of our $750.0 million commitment, leaving ~~$97.6~~$73.2 million unfunded. The investment commitment is scheduled to expire on March 1, ~~2021~~2022 with automatic one year extensions absent a 60 days termination notice by either party.

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Jefferies Finance has executed a Secured Revolving Credit Facility with us and MassMutual, to be funded equally, to support loan underwritings by Jefferies Finance, which bears interest based on the interest rates of the related Jefferies Finance underwritten loans and is secured by the underlying loans funded by the proceeds of the facility. The total Secured Revolving Credit Facility is a committed amount of $500.0 million at May 31, ~~2020.~~2021. Advances are shared equally between us and MassMutual. The facility is scheduled to mature on March 1, ~~2021~~2022 with automatic one year extensions absent a 60 days termination notice by either party. At May 31, ~~2020,~~2021, we had funded ~~$20.0~~$0.0 million of our $250.0 million commitment. The following summarizes the activity included in our Consolidated Statements of Earnings related to the facility (in millions):


	Three Months Ended May 31,				Six Months Ended May 31,					Three Months Ended May 31,				Six Months Ended May 31,
	2020		2019		2020		2019			2021		2020		2021		2020
Interest income	$	1.4	$	—	$	2.2	$	—	Interest income	$	1.1	$	1.4	$	1.4	$	2.2
Unfunded commitment fees	0.1		0.3		0.4		0.6		Unfunded commitment fees	0.2		0.1		0.5		0.4

The following is a summary of selected financial information for Jefferies Finance (in millions):

May 31, 2020
November 30, 2019
Our total equity balance $ 602.8
$ 642.0


	May 31, 2021		November 30, 2020



Our total equity balance	$	676.8	$	604.6

Three Months Ended
May 31,
Six Months Ended
May 31,
2020
2019
2020
2019
Net earnings (loss) $ (99.2 ) $ 50.2
$ (78.5 ) $ 47.8


	Three Months Ended May 31,				Six Months Ended May 31,
	2021		2020		2021		2020
Net earnings (loss)	$	83.3	$	(99.2)	$	144.6	$	(78.5)

The following summarizes activity related to our other transactions with Jefferies Finance (in millions):


	Three Months Ended May 31,				Six Months Ended May 31,
	2021		2020		2021		2020
Origination and syndication fee revenues (1)	$	145.4	$	43.8	$	215.7	$	81.5
Origination fee expenses (1)	20.5		3.0		32.8		8.6
CLO placement fee revenues (2)	1.3		0		3.7		0.4

Underwriting fees (3)	0		0		0.5		0.3
Service fees (4)	14.0		10.7		45.5		35.9

(1)We engage in the origination and syndication of loans underwritten by Jefferies Finance. In connection with such services, we earned fees, which are recognized in Investment banking revenues in our Consolidated Statements of Earnings. In addition, we paid fees to Jefferies Finance in respect of certain loans originated by Jefferies Finance, which are recognized as Business development expenses in our Consolidated Statements of Earnings.

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Three Months Ended
May 31, Six Months Ended
May 31,
2020 2019 2020 2019
Origination and syndication fee revenues (1) $ 43.8
$ 69.3
$ 81.5

$ 91.2
Origination fee expenses (1) 3.0
8.2
8.6

13.6
CLO placement fee revenues (2) —
—
0.4

1.3
Underwriting fees (3) —
1.0
0.3

1.0
Service fees (4) 10.7
11.2
35.9

38.3
(2)We act as a placement agent for CLOs managed by Jefferies Finance, for which we recognized fees, which are included in Investment banking revenues in our Consolidated Statements of Earnings. At May 31, 2021 and November 30, 2020, we held securities issued by CLOs managed by Jefferies Finance, which are included in Financial instruments owned, at fair value.

~~(1)~~

We engage in debt underwriting transactions with Jefferies Finance related to the originations and syndications of loans by Jefferies Finance. In connection with such services, we earned fees, which are recognized in Investment banking revenues in our Consolidated Statements of Earnings. In addition, we paid fees to Jefferies Finance in respect of certain loans originated by Jefferies Finance, which are recognized as Business development expenses in our Consolidated Statements of Earnings.


~~(2)~~	We act as a placement agent for CLOs managed by Jefferies Finance, for which we recognized fees, which are included in Investment banking revenues in our Consolidated Statements of Earnings. At May 31, 2020 and November 30, 2019, we held securities issued by CLOs managed by Jefferies Finance, which are included in Financial instruments owned, at fair value.


~~(3)~~	~~We acted as underwriter in connection with term loans issued by Jefferies Finance.~~


~~(4)~~	~~Under a service agreement, we charge Jefferies Finance for services provided.~~

(3)We acted as underwriter in connection with term loans issued by Jefferies Finance.

(4)Under a service agreement, we charge Jefferies Finance for services provided.

In connection with non-U.S. dollar loans originated by Jefferies Finance to borrowers who are investment banking clients of ours, we have entered into an agreement to indemnify Jefferies Finance with respect to any foreign currency exposure.

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Receivables from Jefferies Finance, included in Other assets in our Consolidated Statements of Financial Condition, were ~~$27.0~~$31.6 million and ~~$17.2~~$24.2 million at May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, respectively. At May 31, 2021, Payables to Jefferies Finance, related to cash deposited with us and included in Payables to customers in our Consolidated Statements of Financial Condition, was $1.8 million. At November 30, 2020, payables to Jefferies Finance, related to cash deposited with us and included in Accrued expenses and other liabilities in our Consolidated Statements of Financial Condition, ~~were~~was $13.7 million at both May 31, 2020 and November 30, 2019. At November 30, 2019, a payable to Jefferies Finance of $17.6 million related to its lending transactions is included in Payables to customers in our Consolidated Statements of Financial Condition.

On March 28, 2019, we entered into a promissory note with Jefferies Finance with a principal amount of $1.0 billion, the proceeds of which were used in connection with our investment banking loan syndication activities. We repaid Jefferies Finance the entire outstanding principal amount of this note on May 15, 2019. Interest paid on the note of $3.8 million is included in Interest expense within our Consolidated Statements of Earnings for the three and six months ended May 31, 2019.million.

Berkadia

Berkadia is a commercial mortgage banking and servicing joint venture that was formed in 2009 by Jefferies and Berkshire Hathaway Inc. On October 1, 2018, Jefferies transferred its 50% voting equity interest in Berkadia and related arrangements to us. As a result, we are entitled to receive 45% of the profits of Berkadia. Berkadia originates commercial/multifamily real estate loans that are sold to U.S. government agencies ~~and originates and brokers commercial/multifamily mortgage loans which are not part of government agency programs.~~or other investors. Berkadia also is an investment sales advisor focused on the multifamily industry. Berkadia is a servicer of commercial real estate loans in the U.S., performing primary, master and special servicing functions for U.S. government agency programs, commercial mortgage-backed securities transactions, banks, insurance companies and other financial institutions.

The following is a summary of selected financial information for Berkadia (in millions):


	May 31, 2021		November 30, 2020



Our total equity balance	$	361.3	$	301.2

May 31, 2020 November 30, 2019
Our total equity balance $ 254.8
$ 268.9

Three Months Ended
May 31, Six Months Ended
May 31,
2020 2019 2020 2019
Net earnings $ —
$ 56.2
$ 48.7
$ 106.5

~~At May 31, 2020 and November 30, 2019, we had commitments to purchase $209.7 million and $360.4 million, respectively, in agency CMBS from Berkadia.~~


	Three Months Ended May 31,				Six Months Ended May 31,
	2021		2020		2021		2020
Net earnings	$	68.1	$	0	$	134.8	$	48.7

We received distributions from Berkadia on our equity interest as follows (in millions):


	Three Months Ended May 31,				Six Months Ended May 31,
	2021		2020		2021		2020
Distributions	$	0.2	$	0.4	$	0.5	$	36.6

Three Months Ended
May 31, Six Months Ended
May 31,
2020 2019 2020 2019
Distributions $ 0.4
$ 0.8
$ 36.6
$ 18.1
At May 31, 2021 and November 30, 2020, we had commitments to purchase $544.1 million and $401.0 million, respectively, of agency CMBS from Berkadia.

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JCP Fund V

The amount of our investments in JCP Fund V included in Financial instruments owned, at fair value in our Consolidated Statements of Financial Condition was ~~$14.8~~$22.1 million and ~~$20.6~~$17.4 million at May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, respectively. We account for these investments at fair value based on the NAV of the funds provided by the fund managers (see Note 2, Summary of Significant Accounting Policies, in our consolidated financial statements included in Part II, Item 8 of our Annual Report on Form 10-K for the year ended November 30, ~~2019)~~2020). The following summarizes the results from these investments which are included in Principal transactions revenues in our Consolidated Statements of Earnings (in millions):

Three Months Ended
May 31, Six Months Ended
May 31,
2020 2019 2020 2019
Net gains (losses) from our investments in JCP Fund V $ (7.0 ) $ 3.8
$ (5.5 ) $ 0.6


	Three Months Ended May 31,				Six Months Ended May 31,
	2021		2020		2021		2020
Net gains (losses) from our investments in JCP Fund V	$	5.0	$	(7.0)	$	4.5	$	(5.5)

At both May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, we were committed to invest equity of up to $85.0 million in JCP Fund V. At May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, our unfunded commitment relating to JCP Fund V was ~~$9.2~~$8.9 million and ~~$9.4~~$9.1 million, respectively.

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The following is a summary of the Net change in net assets resulting from operations for 100.0% of JCP Fund V, in which we owned effectively 35.2% at May 31, 2021 of the combined equity interests (in thousands):


	Three Months Ended
	March 31, 2021		December 31, 2020		March 31, 2020		December 31, 2019
Net increase (decrease) in net assets resulting from operations (1)	$	14,315	$	(1,024)	$	(19,893)	$	(1,397)

Three Months Ended
March 31, 2020 (1) December 31, 2019 (1) March 31, 2019 (1)
December 31, 2018 (1)
Net decrease in net assets resulting from operations $ (19,893 ) $ (1,397 ) $ (1,169 ) $ (8,412 )


~~(1)~~	(1)Financial information for JCP Fund V within our results of operations ~~for the three and six months ended May 31, 2020 and May 31, 2019 is included based on the presented periods.~~

~~Epic Gas~~

On July 14, 2015, Jefferies LLC purchased common shares of Epic Gas. At February 28, 2019, we owned approximately 21.1% of the outstanding common stock of Epic Gas and one of our directors served on the Board of Directors of Epic Gas and owned common shares of Epic Gas. During the three months ended May 31, 2019, we sold all of our common shares of Epic Gas, at fair value, for a total of $24.6 million. There was a gain of $2.8 million on this transaction, which is included in Other revenue in our Consolidated Statements of Earnings for the three and six months ended May 31, ~~2019. At February 28, 2019, our investment in Epic Gas of $22.1 million was~~2021 and 2020 is included ~~in Loans to and investments in related parties in our Consolidated Statements of Financial Condition. For~~based on the ~~three months ended December 31, 2018, Epic Gas reported net earnings of $0.9 million, which was included in our results of operations for the six months ended May 31, 2019.~~presented periods.

Note 10. Goodwill and Intangible Assets

Goodwill

Goodwill attributed to our reportable business segments are as follows (in thousands):


	May 31, 2020		November 30, 2019			May 31, 2021		November 30, 2020
Investment Banking and Capital Markets	$	1,636,732	$	1,640,201	Investment Banking and Capital Markets	$	1,651,725	$	1,646,523
Asset Management	379		3,398		Asset Management	0		410
Total goodwill	$	1,637,111	$	1,643,599	Total goodwill	$	1,651,725	$	1,646,933

The following table is a summary of the changes to goodwill for the six months ended May 31, ~~2020~~2021 (in thousands):

Balance at November 30, 2019 $ 1,643,599
Translation adjustments (3,488 )
Impairment losses (1) (3,000 )
Balance at May 31, 2020 $ 1,637,111

~~(1) Impairment losses are related to our wind down of an asset management platform.~~


Balance at November 30, 2020	$	1,646,933

Currency translation and other adjustments	5,192

Impairment losses	(400)
Balance at May 31, 2021	$	1,651,725

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Intangible Assets

Intangible assets are included in Other assets in our Consolidated Statements of Financial Condition. The following tables present the gross carrying amount, changes in carrying amount, net carrying amount and weighted average amortization period of identifiable intangible assets at May 31, ~~2020~~2021 and November 30, ~~2019~~2020 (dollars in thousands):


	May 31, 2021		Weighted average remaining lives (years)
	Gross cost				Accumulated amortization			Net carrying amount
Customer relationships	$	126,839	$	(80,462)		$	46,377		9.2
Trade name	129,929		(30,682)			99,247			26.8
Exchange and clearing organization membership interests and registrations	7,928		—			7,928			N/A
Total	$	264,696	$	(111,144)		$	153,552

May 31, 2020 Weighted average remaining lives (years)
Gross cost Impairment losses Accumulated amortization Net carrying amount
Customer relationships (1) $ 125,125
$ (26 ) $ (71,023 ) $ 54,076
9.6
Trade name (1) 127,822
(274 ) (26,477 ) 101,071
27.8
Exchange and clearing organization membership interests and registrations 8,215
(146 ) —
8,069
N/A
Total $ 261,162
$ (446 ) $ (97,500 ) $ 163,216

~~(1) Impairment losses are related to our wind down of an asset management platform.~~

November 30, 2019 Weighted average remaining lives (years)
Gross cost Accumulated amortization Net carrying amount
Customer relationships $ 125,736
$ (67,257 ) $ 58,479
9.9
Trade name 128,590
(24,800 ) 103,790
28.3
Exchange and clearing organization membership interests and registrations 8,273
—
8,273
N/A
Total $ 262,599
$ (92,057 ) $ 170,542

Our annual impairment testing date for our intangible assets with an indefinite useful life, which consists of exchange and clearing organization membership interests and registrations, is August 1. We deemed it appropriate to consider the impact of the global novel coronavirus pandemic as a triggering event and performed an interim impairment test for our indefinite-lived intangible assets at May 31, 2020. We elected to perform a quantitative assessment of membership interests and registrations that have available quoted sales prices as well as certain other membership interests and registrations that have declined in utilization. A qualitative assessment was performed on the remainder of our indefinite-life intangible assets. In applying our quantitative assessment at May 31, 2020, we recognized an impairment loss on certain exchange membership interests and registrations. With regard to our qualitative assessment of the remaining indefinite-life intangible assets, based on our assessment of market conditions, the utilization of the assets and the replacement costs associated with the assets, we have concluded that it is not more likely than not that the intangible assets are impaired.


	November 30, 2020		Weighted average remaining lives (years)
	Gross cost				Accumulated amortization			Net carrying amount
Customer relationships	$	126,080	$	(75,776)		$	50,304		9.4
Trade name	128,840		(28,585)			100,255			27.3
Exchange and clearing organization membership interests and registrations	7,884		—			7,884			N/A
Total	$	262,804	$	(104,361)		$	158,443

Amortization Expense

For finite life intangible assets, aggregate amortization expense amounted to $3.0 million and $6.0 million for the three and six months ended May 31, 2021, respectively, and $3.3 million and $6.3 million for the three and six months ended May 31, 2020, ~~respectively, and $3.0 million and $6.0 million for the three and six months ended May 31, 2019,~~ respectively. These expenses are included in Other expenses in our Consolidated Statements of Earnings.

The estimated future amortization expense for the five succeeding fiscal years is as follows (in thousands):


Remainder of fiscal 2021	$	6,091
Year ending November 30, 2022	9,239
Year ending November 30, 2023	8,258
Year ending November 30, 2024	8,258
Year ending November 30, 2025	8,258

Remainder of fiscal 2020 $ 6,091
Year ending November 30, 2021 12,181
Year ending November 30, 2022 9,239
Year ending November 30, 2023 8,258
Year ending November 30, 2024 8,258

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~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED~~

~~(Unaudited)~~

Note 11. Short-Term Borrowings

Short-term borrowings at May 31, ~~2020~~2021 and November 30, ~~2019 include the following and~~2020 mature in one year or less and include the following (in thousands):


	May 31, 2021		November 30, 2020
Bank loans (1)	$	469,034	$	752,848


Floating rate puttable notes (1)	6,800		6,800
Equity-linked notes (2)	0		5,067
Total short-term borrowings	$	475,834	$	764,715

May 31, 2020 November 30, 2019
Bank loans (1) $ 634,384
$ 527,509
Floating rate puttable notes (1) 6,800
—
Equity-linked notes (2) 15,671
20,981
Total short-term borrowings $ 656,855
$ 548,490

(1)These Short-term borrowings are recorded at cost in our Consolidated Statements of Financial Condition, which is a reasonable approximation of their fair values due to their liquid and short-term nature.


~~(1)~~	These Short-term borrowings are recorded at cost in our Consolidated Statements of Financial Condition, which is a reasonable approximation of their fair values due to their liquid and short-term nature.


~~(2)~~	~~See Note 4, Fair Value Disclosures, for further information on these notes.~~

(2)See Note 4, Fair Value Disclosures, for further information on these notes.

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JEFFERIES GROUP LLC AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

At May 31, ~~2020,~~2021, the weighted average interest rate on short-term borrowings outstanding is ~~2.38%~~1.49% per annum.

During the six months ended May 31, 2020, we issued floating rate puttable notes with a principal amount of $6.8 million and our equity-linked notes with a principal amount of $5.2 million matured on March 13, 2020.

~~One of our subsidiaries has a credit facility agreement (“Credit Facility”) with JPMorgan Chase Bank, N.A. for a committed amount of $296.0 million, which is included in~~Our bank ~~loans. Interest is based on an annual alternative base rate or an adjusted London Interbank Offered Rate (“LIBOR”), as defined in the Credit Facility. The Credit Facility contains~~loans include facilities that contain certain covenants that, among other things, require ~~Jefferies Group LLC~~us to maintain a specified level of tangible net ~~worth. The covenants also require the borrower to maintain specified leverage amounts~~worth and impose certain restrictions on the ~~borrower’s~~ future ~~indebtedness. During the six months ended~~indebtedness of certain of our subsidiaries that are borrowers. At May 31, ~~2020,~~2021, we were in compliance with all ~~debt~~ covenants under these facilities. Our facilities are with a bank and are included within bank loans at May 31, 2021 and November 30, 2020 were $413.0 million and $746.0 million, respectively. Interest is based on a rate per annum at spreads over the ~~Credit Facility.~~Federal Funds Rate, as defined in the credit agreements.

~~The Bank of New York Mellon~~In addition, a bank has agreed to make revolving intraday credit advances (“Intraday Credit Facility”) for an aggregate committed amount of $150.0 million. The Intraday Credit ~~facility~~Facility is structured so that advances are generally repaid before the end of each business day. However, if an advance is not repaid by the end of any business day, the advance is converted to an overnight loan. Intraday loans accrue interest at a rate of 0.12%. Interest is charged based on the number of minutes in a day the advance is outstanding. Overnight loans are charged interest at the base rate plus 3% on a daily basis. The base rate is the higher of the federal funds rate plus 0.50% or the prime rate in effect at that time. The Intraday Credit Facility contains financial covenants, which include a minimum regulatory net capital requirement for our U.S. broker-dealer, Jefferies LLC. At May 31, ~~2020,~~2021, we were in compliance with all debt covenants under the Intraday Credit Facility.

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~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED~~

~~(Unaudited)~~

Note 12. Long-Term Debt

The following summarizes our long-term debt carrying values (including unamortized discounts and premiums, valuation adjustments and debt issuance costs, where applicable) (in thousands):


	Maturity	Effective Interest Rate	May 31, 2021		November 30, 2020
Unsecured long-term debt:

2.250% Euro Medium Term Notes	July 13, 2022	0%	$	0	$	4,638
5.125% Senior Notes	January 20, 2023	4.47%	757,670		759,901
1.000% Euro Medium Term Notes	July 19, 2024	1.00%	609,952		595,700
4.850% Senior Notes (1)	January 15, 2027	4.93%	788,749		809,039
6.450% Senior Debentures	June 8, 2027	5.46%	367,824		369,057
4.150% Senior Notes	January 23, 2030	4.26%	990,044		989,574
2.750% Senior Notes (1)	October 15, 2032	2.85%	454,096		485,134
6.250% Senior Debentures	January 15, 2036	6.03%	510,611		510,834
6.500% Senior Notes	January 20, 2043	6.09%	419,611		419,826
Structured notes (2)	Various	Various	1,819,975		1,712,245
Total unsecured long-term debt			6,718,532		6,655,948
Secured long-term debt
Revolving Credit Facility			248,764		189,732
Secured Credit Facility			375,000		0
Secured Bank Loan	September 27, 2021		50,000		50,000
Total long-term debt (3)			$	7,392,296	$	6,895,680

(1)The carrying values of these senior notes includes a net gain of $52.0 million and a net loss of $47.2 million in the six months ended May 31, 2021 and 2020, respectively, associated with interest rate swaps based on designation as fair value hedges. See Note 5, Derivative Financial Instruments, for further information.

(2)These structured notes contain various interest rate payment terms and are accounted for at fair value, with changes in fair value resulting from a change in the instrument-specific credit risk presented in other comprehensive income and changes in fair value resulting from non-credit components recognized in Principal transactions revenues. A weighted average coupon rate is not meaningful, as all of the structured notes are carried at fair value.

(3)The Total Long-term debt has a fair value of $8,046.1 million and $7,575.2 million at May 31, 2021 and November 30, 2020, respectively, which would be classified as Level 2 and Level 3 in the fair value hierarchy.

Maturity Effective Interest Rate May 31,
2020 November 30,
2019
Unsecured long-term debt:
2.375% Euro Medium Term Notes May 20, 2020 —% $ —
$ 550,622
6.875% Senior Notes April 15, 2021 4.40% 765,915
774,738
2.250% Euro Medium Term Notes July 13, 2022 4.08% 4,272
4,204
5.125% Senior Notes January 20, 2023 4.47% 762,084
610,023
1.000% Euro Medium Term Notes July 19, 2024 1.00% 553,257
548,880
4.850% Senior Notes (1) January 15, 2027 4.93% 816,371
768,931
6.450% Senior Debentures June 8, 2027 5.46% 370,258
371,426
4.150% Senior Notes January 23, 2030 4.26% 989,113
988,662
6.250% Senior Debentures January 15, 2036 6.03% 511,051
511,260
6.500% Senior Notes January 20, 2043 6.09% 420,035
420,239
Structured notes (2) Various Various 1,245,486
1,215,285
Total unsecured long-term debt 6,437,842
6,764,270
Secured long-term debt:
Revolving Credit Facility
189,410
189,088
Secured Bank Loan September 27, 2021 50,000
50,000
Total long-term debt (3) $ 6,677,252
$ 7,003,358

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~~(1)~~	The carrying value of these senior notes includes losses of $47.2 million and $43.8 million in the six months ended May 31, 2020 and 2019, respectively, associated with an interest rate swap based on its designation as a fair value hedge. See Note 5, Derivative Financial Instruments, for further information.

~~(2)~~

These structured notes contain various interest rate payment terms and are accounted for at fair value, with changes in fair value resulting from a change in the instrument-specific credit risk presented in other comprehensive income and changes in fair value resulting from non-credit components recognized in Principal transactions revenues. A weighted average coupon rate is not meaningful, as all of the structured notes are carried at fair value.


~~(3)~~	The Total Long-term debt has a fair value of $6,755.8 million and $7,280.4 million at May 31, 2020 and November 30, 2019, respectively, which would be classified as Level 2 and Level 3 in the fair value hierarchy.

JEFFERIES GROUP LLC AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

During the six months ended May 31, ~~2020,~~2021, long-term debt ~~decreased $326.1 million. This decrease is~~increased $496.6 million, primarily due to ~~the maturity and repayment~~an increase of $375.0 million from our ~~2.375% Euro Medium Term Notes~~borrowings under our Secured Credit Facility (“Secured Credit Facility”), approximately $59.5 million of structured notes issuances, net of retirements, a $59.0 million net increase due to our secured Revolving Credit Facility (“Revolving Credit Facility”) and changes in instrument specific credit risk ~~related to~~on our structured notes, partially offset by ~~approximately $191.3 million~~losses associated with interest rate swaps based on their designation as fair value hedges. At May 31, 2021, all of our structured notes ~~issuances, net~~contain various interest rate payment terms and are accounted for at fair value, with changes in fair value resulting from a change in the instrument-specific credit risk presented in other comprehensive income and changes in fair value resulting from non-credit components recognized in Principal transactions revenues. Gains and losses in the fair value of ~~retirements, and~~structured notes resulting from non-credit components are recognized within Other adjustments on the Consolidated Statements of Cash Flow.

During April 2021, we entered into a ~~$150.0 million principal amount issuance of additional 5.125% Senior Notes due 2023.~~

~~We have a senior secured revolving credit facility (“~~Revolving Credit ~~Facility”)~~Facility with a group of commercial banks ~~for~~following the maturity of our previous revolving credit facility. At May 31, 2021, borrowings under the Revolving Credit Facility amounted to $248.8 million. Interest is based on an ~~aggregate principal amount of $190.0 million.~~adjusted London Interbank Offered Rate (“LIBOR”), as defined in the credit agreement. The Revolving Credit Facility contains certain covenants that, among other things, requires Jefferies Group LLC to maintain specified level of tangible net worth and liquidity amounts, and imposes certain restrictions on future indebtedness of and requires specified levels of regulated capital for certain of our subsidiaries. Throughout the period and at May 31, 2021, no instances of noncompliance with the Revolving Credit Facility covenants occurred and we expect to remain in compliance given our current liquidity and anticipated funding requirements given our business plan and profitability expectations.

During May 2021, we entered into a Secured Credit Facility agreement with a bank under which we have borrowed $375.0 million at May 31, 2021. Interest is based on a rate per annum at spreads over an ~~annual alternative base rate or an adjusted~~Adjusted LIBOR Rate, as defined in the ~~Revolving~~credit agreement. The Secured Credit Facility ~~agreement.~~contains certain covenants that, among other things, require Jefferies Group LLC to maintain a specified level of tangible net worth. The ~~obligations of~~covenants also require the borrower to maintain specified leverage amounts and impose certain ~~of our subsidiaries under~~restrictions on the ~~Revolving Credit Facility are secured by substantially all its assets.~~borrower’s future indebtedness. At May 31, ~~2020,~~2021, we were in compliance with ~~the~~all debt covenants under the ~~Revolving~~Secured Credit Facility.

~~On September 27, 2019, one~~One of our subsidiaries ~~entered into~~has a Loan and Security Agreement with a bank for a term loan with a principal amount of $50.0 million (“Secured Bank Loan”). This Secured Bank Loan matures on September 27, 2021 and is collateralized by certain trading securities. Interest on the Secured Bank Loan is 1.25% plus LIBOR. The agreement contains certain covenants that, among other things, restrict lien or encumbrance upon any of the pledged collateral. At May 31, ~~2020,~~2021, we were in compliance with all covenants under the Loan and Security Agreement.

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~~(Unaudited)~~

~~Note 13. Leases~~

We enter into lease and sublease agreements, primarily for office space, across our geographic locations. Finance lease ROU assets and finance lease liabilities are not material. Information related to operating leases in our Consolidated Statement of Financial Condition at May 31, 2020 was as follows (in thousands, except lease term and discount rate):

Premises and equipment - ROU assets $ 500,830

Weighted average:
Remaining lease term (in years) 11.1
Discount rate 2.9 %

The following table presents the maturities of our operating lease liabilities and a reconciliation to the Lease liabilities included in our Consolidated Statement of Financial Condition at May 31, 2020 (in thousands):

Fiscal Year Lease Liabilities
Remainder of 2020 $ 28,312
2021 70,201
2022 68,025
2023 60,882
2024 59,596
2025 and thereafter 388,589
Total undiscounted cash flows 675,605
Less: Difference between undiscounted and discounted cash flows (104,613 )
Operating leases amount in our Consolidated Statement of Financial Condition 570,992
Finance leases amount in our Consolidated Statement of Financial Condition 290
Total amount in our Consolidated Statement of Financial Condition $ 571,282

In addition to the table above, at May 31, 2020, we have a lease agreement that we have entered into that was signed but has not yet commenced. We expect this operating lease to commence by the end of 2020 with a lease term of seven years. Lease payments for this lease agreement will be $0.8 million for the period from lease commencement to the end of the lease term.

~~The following table presents our lease costs (in thousands):~~

Three Months Ended
May 31, 2020 Six Months Ended
May 31, 2020
Operating lease costs (1) $ 17,762
$ 35,389
Variable lease costs (2) 2,499
5,966
Less: Sublease income (1,500 ) (3,000 )
Total lease cost, net $ 18,761
$ 38,355


~~(1)~~	~~Includes short-term leases, which are not material.~~


~~(2)~~	Includes property taxes, insurance costs, common area maintenance, utilities, and other costs that are not fixed. The amount also includes rent increases resulting from inflation indices and periodic market rent reviews.

~~Consolidated Statement of Cash Flows supplemental information was as follows (in thousands):~~

Six Months Ended
May 31, 2020
Cash outflows - lease liabilities $ 37,536
Non-cash - ROU assets recorded for new and modified leases 19,463

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~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED~~

~~(Unaudited)~~

~~Minimum Future Lease Commitments (under Previous GAAP).~~ As lessee, we lease certain premises and equipment under non-cancelable agreements expiring at various dates through 2039 which are operating leases. At November 30, 2019, future minimum aggregate annual lease payments under such leases (net of subleases) for fiscal years ended November 30, 2020 through 2024 and the aggregate amount thereafter, were as follows (in thousands):

Fiscal Year Operating Leases
2020 $ 57,952
2021 60,395
2022 62,916
2023 57,574
2024 56,878
Thereafter 389,245
Total $ 684,960

~~The total minimum payments to be received in the future under non-cancelable subleases at November 30, 2019 was $16.2 million.~~

~~Rental expense, net of subleases, amounted to $61.2 million, $52.3 million, and $56.1 million for the years ended November 30, 2019, 2018 and 2017, respectively.~~

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~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED~~

~~(Unaudited)~~

Note ~~14.~~13. Revenues from Contracts with Customers

The following table presents our total revenues separated for our revenues from contracts with customers and our other sources of revenues (in thousands):


	Three Months Ended May 31,				Six Months Ended May 31,
	2021		2020		2021		2020
Revenues from contracts with customers:
Commissions and other fees	$	222,643	$	243,267	$	459,581	$	422,802
Investment banking	1,000,700		387,491		2,004,362		979,493
Asset management fees	2,315		2,237		9,228		6,641
Total revenue from contracts with customers	1,225,658		632,995		2,473,171		1,408,936
Other sources of revenue:
Principal transactions	325,059		467,283		1,116,278		839,185
Revenue from strategic affiliates	12,252		2,339		42,722		9,655
Interest	206,958		211,941		425,979		506,609
Other	66,769		(47,275)		127,357		(17,546)
Total revenues	$	1,836,696	$	1,267,283	$	4,185,507	$	2,746,839

Three Months Ended
May 31, Six Months Ended
May 31,
2020 2019 2020 2019
Revenues from contracts with customers:
Commissions and other fees (1) $ 243,267
$ 167,698
$ 422,802
$ 322,840
Investment banking 387,491
430,087
979,493
715,683
Asset management fees 2,237
4,550
6,641
11,219
Total revenue from contracts with customers 632,995
602,335
1,408,936
1,049,742
Other sources of revenue:
Principal transactions 467,283
248,831
839,185
483,129
Revenues from arrangements with strategic partners 2,339
549
9,655
911
Interest 211,941
418,451
506,609
779,426
Other (47,275 ) 44,327
(17,546 ) 56,157
Total revenues $ 1,267,283
$ 1,314,493
$ 2,746,839
$ 2,369,365

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~~(1)~~

During the third quarter of 2019, we have reclassified the presentation of certain other fees, primarily related to prime brokerage services offered to clients. These fees were previously presented as Other revenues in our Consolidated Statements of Earnings and are now presented within Commissions and other fees. There is no impact on Total revenues as a result of this change in presentation. Previously reported results are presented on a comparable basis.

JEFFERIES GROUP LLC AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

Revenue from contracts with customers is recognized when, or as, we satisfy our performance obligations by transferring the promised goods or services to the customers. A good or service is transferred to a customer when, or as, the customer obtains control of that good or service. A performance obligation may be satisfied over time or at a point in time. Revenue from a performance obligation satisfied over time is recognized by measuring our progress in satisfying the performance obligation in a manner that depicts the transfer of the goods or services to the customer. Revenue from a performance obligation satisfied at a point in time is recognized at the point in time that we determine the customer obtains control over the promised good or service. The amount of revenue recognized reflects the consideration we expect to be entitled to in exchange for those promised goods or services (i.e., the “transaction price”). In determining the transaction price, we consider multiple factors, including the effects of variable consideration. Variable consideration is included in the transaction price only to the extent it is probable that a significant reversal in the amount of cumulative revenue recognized will not occur when the uncertainties with respect to the amount are resolved. In determining when to include variable consideration in the transaction price, we consider the range of possible outcomes, the predictive value of our past experiences, the time period of when uncertainties expect to be resolved and the amount of consideration that is susceptible to factors outside of our influence, such as market volatility or the judgment and actions of ~~third parties.~~third-parties.

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~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED~~

~~(Unaudited)~~

The following provides detailed information on the recognition of our revenues from contracts with customers:

Commissions and Other Fees. We earn commission and other fee revenue by executing, settling and clearing transactions for clients primarily in equity, equity-related and futures products. Trade execution and clearing services, when provided together, represent a single performance obligation as the services are not separately identifiable in the context of the contract. Commission revenues associated with combined trade execution and clearing services, as well as trade execution services on a standalone basis, are recognized at a point in time on trade-date. Commissions revenues are generally paid on settlement date and we record a receivable between trade-date and payment on settlement date. We permit institutional customers to allocate a portion of their gross commissions to pay for research products and other services provided by ~~third parties.~~third-parties. The amounts allocated for those purposes are commonly referred to as soft dollar arrangements. We act as an agent in the soft dollar arrangements as the customer controls the use of the soft dollars and directs our payments to third-party service providers on its behalf. Accordingly, amounts allocated to soft dollar arrangements are netted against commission revenues in our Consolidated Statements of Earnings. We also earn investment research fees for the sales of our proprietary investment research when a contract with a client has been identified. The delivery of investment research services represents a distinct performance obligation that is satisfied over time when the performance obligation is to provide ongoing access to a research platform or research analysts, with fees recognized on a straight-line basis over the period in which the performance obligation is satisfied. The performance obligation is satisfied at a point in time when the performance obligation is to provide individual interactions with research analysts or research events, with fees recognized on the interaction date.

We earn account advisory and distribution fees in connection with wealth management services. Account advisory fees are recognized over time using the time-elapsed method as we determined that the customer simultaneously receives and consumes the benefits of investment advisory services as they are provided. Account advisory fees may be paid in advance of a specified service period or in arrears at the end of the specified service period (e.g., quarterly). Account advisory fees paid in advance are initially deferred within Accrued expenses and other liabilities in our Consolidated Statements of Financial Condition. Distribution fees are variable and recognized when the uncertainties with respect to the amounts are resolved.

Investment Banking. We provide our clients with a full range of financial advisory and underwriting services. Revenues from financial advisory services primarily consist of fees generated in connection with merger, acquisition and restructuring transactions. Advisory fees from mergers and acquisitions engagements are recognized at a point in time when the related transaction is completed, as the performance obligation is to successfully broker a specific transaction. Fees received prior to the completion of the transaction are deferred within Accrued expenses and other liabilities in our Consolidated Statements of Financial Condition. Advisory fees from restructuring engagements are recognized over time using a time elapsed measure of progress as our clients simultaneously receive and consume the benefits of those services as they are provided. A significant portion of the fees we receive for our advisory services are considered variable as they are contingent upon a future event (e.g., completion of a transaction or third-party emergence from bankruptcy) and are excluded from the transaction price until the uncertainty associated with the variable consideration is subsequently resolved, which is expected to occur upon achievement of the specified milestone. Payment for advisory services are generally due promptly upon completion of a specified milestone or, for retainer fees, periodically over the course of the engagement. We recognize a receivable between the date of completion of the milestone and payment by the customer. Expenses associated with investment banking advisory engagements are deferred only to the extent they are explicitly reimbursable by the client and the related revenue is recognized at a point in time. All other investment banking advisory related expenses, including expenses incurred related to restructuring assignments, are expensed as incurred. All investment banking advisory expenses are recognized within their respective expense category in our Consolidated Statements of Earnings and any expenses reimbursed by our clients are recognized as Investment banking revenues.

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JEFFERIES GROUP LLC AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

Underwriting services include underwriting and placement agent services in both the equity and debt capital markets, including private equity placements, initial public offerings, follow-on offerings and equity-linked convertible securities transactions and structuring, underwriting and distributing public and private debt, including investment grade debt, high yield bonds, leveraged loans, municipal bonds and mortgage-backed and asset-backed securities. Underwriting and placement agent revenues are recognized at a point in time on trade-date, as the client obtains the control and benefit of the underwriting offering at that point. Costs associated with underwriting transactions are deferred until the related revenue is recognized or the engagement is otherwise concluded, and are recorded on a gross basis within Underwriting costs in our Consolidated Statements of Earnings as we are acting as a principal in the arrangement. Any expenses reimbursed by our clients are recognized as Investment banking revenues.

Asset Management Fees. We earn management and performance fees in connection with investment advisory services provided to various funds and accounts, which are satisfied over time and measured using a time elapsed measure of progress as the customer receives the benefits of the services evenly throughout the term of the contract. Management and performance fees are considered variable as they are subject to fluctuation (e.g., changes in assets under management, market performance) and/ or are contingent on a future event during the measurement period (e.g., meeting a specified benchmark) and are recognized only to the extent it is probable that a significant reversal in the amount of cumulative revenue recognized will not occur when the uncertainty is resolved. Management fees are generally based on month-end assets under management or an agreed upon notional amount and are included in the transaction price at the end of each month when the assets under management or notional amount is known. Performance fees are received when the return on assets under management for a specified performance period exceed certain benchmark returns, “high-water marks” or other performance targets. The performance period related to our performance fees is annual or semi-annual. Accordingly, performance fee revenue will generally be recognized only at the end of the performance period to the extent that the benchmark return has been met.

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~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED~~

~~(Unaudited)~~

Disaggregation of Revenue

The following presents our revenues from contracts with customers disaggregated by major business activity and primary geographic regions (in thousands):


	Three Months Ended May 31,												Six Months Ended May 31,
	2021						2020						2021						2020
	Reportable Segment						Reportable Segment						Reportable Segment						Reportable Segment
	Investment Banking and Capital Markets		Asset Management		Total		Investment Banking and Capital Markets		Asset Management		Total		Investment Banking and Capital Markets		Asset Management		Total		Investment Banking and Capital Markets		Asset Management		Total
Major business activity:
Investment banking - Advisory	$	390,508	$	0	$	390,508	$	182,081	$	0	$	182,081	$	701,947	$	0	$	701,947	$	525,239	$	0	$	525,239
Investment banking - Underwriting	610,192		0		610,192		205,410		0		205,410		1,302,415		0		1,302,415		454,254		0		454,254
Equities (1)	219,855		0		219,855		236,683		0		236,683		453,394		0		453,394		412,932		0		412,932
Fixed income (1)	2,788		0		2,788		6,584		0		6,584		6,187		0		6,187		9,870		0		9,870
Asset management	0		2,315		2,315		0		2,237		2,237		0		9,228		9,228		0		6,641		6,641
Total	$	1,223,343	$	2,315	$	1,225,658	$	630,758	$	2,237	$	632,995	$	2,463,943	$	9,228	$	2,473,171	$	1,402,295	$	6,641	$	1,408,936
Primary geographic region:
Americas	$	962,556	$	2,011	$	964,567	$	524,627	$	566	$	525,193	$	1,989,472	$	8,595	$	1,998,067	$	1,173,696	$	1,546	$	1,175,242
Europe	196,891		304		197,195		68,082		1,671		69,753		360,628		633		361,261		147,520		5,095		152,615
Asia Pacific	63,896		0		63,896		38,049		0		38,049		113,843		0		113,843		81,079		0		81,079
Total	$	1,223,343	$	2,315	$	1,225,658	$	630,758	$	2,237	$	632,995	$	2,463,943	$	9,228	$	2,473,171	$	1,402,295	$	6,641	$	1,408,936

Three Months Ended May 31, Six Months Ended May 31,
2020 2019 2020 2019
Reportable Segment Reportable Segment Reportable Segment Reportable Segment

Investment
Banking
and Capital
Markets
Asset Management Total
Investment
Banking
and Capital
Markets
Asset Management Total
Investment
Banking
and Capital
Markets
Asset Management Total
Investment
Banking
and Capital
Markets
Asset Management Total
Major business activity:
Equities (1) $ 236,683
$ —
$ 236,683
$ 164,169
$ —
$ 164,169
$ 412,932
$ —
$ 412,932
$ 316,243
$ —
$ 316,243
Fixed income (1) 6,584
—
6,584
3,529
—
3,529
9,870
—
9,870
6,597
—
6,597
Investment banking - Advisory 182,081
—
182,081
178,554
—
178,554
525,239
—
525,239
359,036
—
359,036
Investment banking - Underwriting 205,410
—
205,410
251,533
—
251,533
454,254
—
454,254
356,647
—
356,647
Asset management —
2,237
2,237
—
4,550
4,550
—
6,641
6,641
—
11,219
11,219
Total $ 630,758
$ 2,237
$ 632,995
$ 597,785
$ 4,550
$ 602,335
$ 1,402,295
$ 6,641
$ 1,408,936
$ 1,038,523
$ 11,219
$ 1,049,742
Primary geographic region:

Americas $ 524,627
$ 566
$ 525,193
$ 487,674
$ 3,500
$ 491,174
$ 1,173,696
$ 1,546
$ 1,175,242
$ 811,063
$ 6,881
$ 817,944
Europe 68,082
1,671
69,753
91,510
1,050
92,560
147,520
5,095
152,615
191,715
4,338
196,053
Asia 38,049
—
38,049
18,601
—
18,601
81,079
—
81,079
35,745
—
35,745
Total $ 630,758
$ 2,237
$ 632,995
$ 597,785
$ 4,550
$ 602,335
$ 1,402,295
$ 6,641
$ 1,408,936
$ 1,038,523
$ 11,219
$ 1,049,742
(1)Revenues from contracts with customers associated with the equities and fixed income businesses primarily represent commissions and other fee revenue.


~~(1)~~	~~Revenues from contracts with customers associated with the equities and fixed income businesses primarily represent commissions and other fee revenue.~~

Refer to Note ~~19,~~18, Segment Reporting, for a further discussion on the allocation of revenues to geographic regions.

Information on Remaining Performance Obligations and Revenue Recognized from Past Performance

We do not disclose information about remaining performance obligations pertaining to contracts that have an original expected duration of one year or less. The transaction price allocated to remaining unsatisfied or partially unsatisfied performance obligations with an original expected duration exceeding one year was not material at May 31, ~~2020.~~2021. Investment banking advisory fees that are contingent upon completion of a specific milestone and fees associated with certain distribution services are also excluded as the fees are considered variable and not included in the transaction price at May 31, ~~2020.~~2021.

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(Unaudited)

During the three and six months ended May 31, ~~2020,~~2021, we recognized $20.9 million and $41.4 million, respectively, compared with $7.4 million and $10.5 ~~million, respectively, compared with $15.3 million and $23.0~~ million, during the three and six months ended May 31, ~~2019,~~2020, respectively, of revenue related to performance obligations satisfied (or partially satisfied) in previous periods, mainly due to resolving uncertainties in variable consideration that was constrained in prior periods. In addition, we recognized $5.6 million, and $8.5 million, during the three and six months ended May 31, 2021, respectively, compared with $4.5 million and $10.1 million, during the three and six months ended May 31, 2020, ~~respectively, compared with $4.8 million and $9.8 million during the three and six months ended May 31, 2019,~~ respectively, of revenues primarily associated with distribution services, a portion of which relates to prior periods.

Contract Balances

The timing of our revenue recognition may differ from the timing of payment by our customers. We record a receivable when revenue is recognized prior to payment and we have an unconditional right to payment. Alternatively, when payment precedes the provision of the related services, we record deferred revenue until the performance obligations are satisfied.

We had receivables related to revenues from contracts with customers of $180.0 million and $209.3 million at May 31, 2020 and November 30, 2019, respectively. We had no significant impairments related to these receivables during the three and six months ended May 31, 2020 and 2019.

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~~(Unaudited)~~

Our deferred revenue primarily relates to retainer and milestone fees received in investment banking advisory engagements where the performance obligation has not yet been satisfied. Deferred revenues at May 31, ~~2020~~2021 and November 30, ~~2019~~2020 were ~~$23.3~~$12.2 million and ~~$9.0~~$10.0 million, respectively, which are recorded in Accrued expenses and other liabilities in our Consolidated Statements of Financial Condition. During the three and six months ended May 31, ~~2020,~~2021, we recognized revenues of $3.1 million and $5.0 million, respectively, compared with $3.2 million and $4.9 million, ~~respectively, compared with $1.2 million and $4.6 million, respectively,~~ during the three and six months ended May 31, ~~2019,~~2020, respectively, that were recorded as deferred revenue at the beginning of the periods.

We had receivables related to revenues from contracts with customers of $258.1 million and $278.5 million at May 31, 2021 and November 30, 2020, respectively. We estimate an allowance for credit losses on our investment banking fee receivables using a provisioning matrix based on the shared risk characteristics and historical loss experience for such receivables. In some instances, we may adjust the allowance calculated based on the provision matrix to incorporate a specific allowance based on the unique credit risk profile of a receivable. The provisioning matrix is periodically updated to reflect changes in the underlying portfolio's credit characteristics and most recent historical loss data.

The allowance for credit losses for the three and six months ended May 31, 2021 and 2020 is as follows:


	Three Months Ended May 31,				Six Months Ended May 31,
	2021		2020		2021		2020
Beginning balance	$	14,011	$	7,649	$	19,788	$	6,817
Adjustment for change in accounting principle for current expected credit losses	0		0		(3,594)		0
Bad debt expense, net of reversals	396		3,074		1,022		4,414
Charge-offs	(47)		(1,514)		(472)		(1,721)
Recoveries collected	(1,704)		(395)		(4,088)		(696)
Ending balance (1)	$	12,656	$	8,814	$	12,656	$	8,814

(1)The allowance for doubtful accounts balances are substantially all related to mergers and acquisitions and restructuring fee receivables, which include recoverable expense receivables.

Contract Costs

We capitalize costs to fulfill contracts associated with investment banking advisory engagements where the revenue is recognized at a point in time and the costs are determined to be recoverable. Capitalized costs to fulfill a contract are recognized at the point in time that the related revenue is recognized.

At May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, capitalized costs to fulfill a contract were ~~$3.2~~$1.2 million and ~~$4.8~~$1.8 million, respectively, which are recorded in ~~Receivables –~~ Receivables–Fees, interest and other in our Consolidated Statements of Financial Condition. For the three and six months ended May 31, ~~2020,~~2021, we recognized expenses of ~~$1.8~~$0.8 million and ~~$3.7~~$1.8 million, respectively, compared with $1.8 million and ~~$3.4~~$3.7 million for the three and six months ended May 31, ~~2019,~~2020, respectively, related to costs to fulfill a contract that were capitalized as of the beginning of the period. There were no significant impairment charges recognized in relation to these capitalized costs during the three and six months ended May 31, ~~2020~~2021 and ~~2019.~~2020.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

Note ~~15.~~14. Compensation Plans

Jefferies sponsors our following share-based compensation plans: the Incentive Compensation Plan, the Employee Stock Purchase Plan and the Deferred Compensation Plan. The outstanding and future share-based awards relating to these plans relate to Jefferies common shares. The fair value of share-based awards is estimated on the date of grant based on the market price of the underlying common stock less the impact of market conditions and selling restrictions subsequent to vesting, if any, and is amortized as compensation expense over the related requisite service periods. We are allocated costs associated with awards granted to our employees under such plans.

During the six months ended May 31, 2021, Jefferies also granted to certain of our senior executives nonqualified stock options pursuant to the Incentive Compensation Plan that had been granted to these executives during the three months ended February 28, 2021 and were converted to nonqualified stock awards at the discretion of the Compensation Committee of the Board of Directors.

In addition, we sponsor non-share-based compensation plans. Non-share-based compensation plans sponsored by us include a profit sharing plan and other forms of restricted cash awards.

The components of total compensation cost associated with certain of our compensation plans are as follows (in millions):


	Three Months Ended May 31,				Six Months Ended May 31,
	2021		2020		2021		2020
Components of compensation cost:
Restricted cash awards (1)	$	52.9	$	78.7	$	102.0	$	156.0
Stock options and Stock appreciation rights	1.9		0		41.3		0
Restricted stock and RSUs (2)	4.4		6.0		8.6		12.5
Profit sharing plan	1.3		1.3		5.3		5.4
Total compensation cost	$	60.5	$	86.0	$	157.2	$	173.9

Three Months Ended
May 31, Six Months Ended
May 31,
2020 2019 2020 2019
Components of compensation cost:
Restricted cash awards $ 78.7
$ 66.6
$ 156.0
$ 132.8
Restricted stock and RSUs (1) 6.0
6.5
12.5
13.0
Profit sharing plan 1.3
1.3
5.4
5.2
Total compensation cost $ 86.0
$ 74.4
$ 173.9
$ 151.0
(1)The decrease is primarily a result of the accelerated amortization recognized in the year ended November 30, 2020 of certain cash-based awards that had been granted during previous years, which were amended to remove any service requirements for vesting in the awards.


~~(1)~~	Total compensation cost associated with restricted stock and restricted stock units (“RSUs”) includes the amortization of sign-on, retention and senior executive awards, less forfeitures and clawbacks.

(2)Total compensation cost associated with restricted stock and restricted stock units (“RSUs”) includes the amortization of sign-on, retention and senior executive awards, less forfeitures and clawbacks.

Remaining unamortized amounts related to certain compensation plans at May 31, ~~2020~~2021 are as follows (dollars in millions):

Remaining Unamortized Amounts Weighted Average Vesting Period (in Years)
Non-vested share-based awards $ 41.4
2
Restricted cash awards (1) 627.4
3
Total $ 668.8


	Remaining Unamortized Amounts		Weighted Average Vesting Period (in Years)
Non-vested share-based awards	$	27.9	2
Restricted cash awards (1)	401.5		3
Total	$	429.4

(1) The remaining unamortized amount is included within Other assets in ~~the~~our Consolidated Statement of Financial Condition.

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~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED~~

~~(Unaudited)~~

For detailed descriptions on the Company’s compensation plans, see Note ~~15,~~16, Compensation Plans, in our consolidated financial statements included in Part II, Item 8 of our Annual Report on Form 10-K for the year ended November 30, ~~2019.~~2020.

Note ~~16.~~15. Income Taxes

At May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, we had ~~approximately $156.3~~$200.5 million and ~~$125.6~~$168.6 million, respectively, of total gross unrecognized tax benefits. The total amount of unrecognized benefits that, if recognized, would favorably affect the effective tax rate was ~~$123.9~~$159.1 million and ~~$99.5~~$133.9 million (net of Federal benefit) at May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, respectively.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

We recognize interest accrued related to unrecognized tax benefits in Interest expense. Penalties, if any, are recognized in Other expenses in our Consolidated Statements of Earnings. At May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, we had interest accrued of approximately ~~$61.5~~$71.7 million and ~~$55.6~~$65.4 million, respectively, included in Accrued expenses and other liabilities. NaN material penalties were accrued for the six months ended May 31, ~~2020~~2021 and the year ended November 30, ~~2019.~~2020.

We are currently under examination inby a number of ~~major tax~~taxing jurisdictions. Though we do not expect that resolution of these examinations will have a material effect on our consolidated financial position, they may have a material impact on our consolidated results of operations for the period in which resolution occurs.

The table below summarizes the earliest tax years that remain subject to examination in the major tax jurisdictions in which we operate:



Jurisdiction		Tax Year
United States		~~2016~~2017
~~California~~New Jersey		~~2009~~2010
~~New Jersey~~		~~2010~~
New York State	2001
New York City		2006
United Kingdom		~~2018~~2019
~~Hong Kong~~Germany		~~2014~~2017
~~India~~Italy		~~2010~~2012
~~Italy~~Hong Kong		~~2012~~2015
India		2010

For the six months ended May 31, 2021, the provision for income taxes was $288.2 million, equating to an effective tax rate of 26.2%. For the six months ended May 31, 2020, the provision for income taxes was $108.0 million, equating to an effective tax rate of 26.5%. ~~For the six months ended May 31, 2019, the provision for income taxes was $61.5 million, equating to an effective tax rate of 28.3%.~~

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~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED~~

~~(Unaudited)~~

Note ~~17.~~16. Commitments, Contingencies and Guarantees

Commitments

The following table summarizes our commitments at May 31, ~~2020~~2021 (in millions):


	Expected Maturity Date (fiscal years)
	2021		2022		2023 and 2024		2025 and 2026		2027 and Later		Maximum Payout
Equity commitments (1)	$	8.9	$	74.5	$	0	$	0	$	33.7	$	117.1
Loan commitments (1)	0		260.0		34.0		61.0		0		355.0

Underwriting commitments	231.8		0		0		0		0		231.8
Forward starting reverse repos (2)	6,715.3		0		0		0		0		6,715.3
Forward starting repos (2)	5,212.3		0		0		0		0		5,212.3
Other unfunded commitments (1)	155.6		63.2		336.4		0		0		555.2
Total commitments	$	12,323.9	$	397.7	$	370.4	$	61.0	$	33.7	$	13,186.7

Expected Maturity Date (fiscal years)
2020 2021 2022
and
2023 2024
and
2025 2026
and
Later Maximum Payout
Equity commitments (1) $ 29.3
$ 99.0
$ —
$ —
$ 7.7
$ 136.0
Loan commitments (1) —
275.0
35.0
—
—
310.0
Underwriting commitments 58.0
—
—
—
—
58.0
Forward starting reverse repos (2) 3,300.0
—
—
—
—
3,300.0
Forward starting repos (2) 4,048.1
—
—
—
—
4,048.1
Other unfunded commitments (1) —
136.4
—
4.9
—
141.3
Total commitments $ 7,435.4
$ 510.4
$ 35.0
$ 4.9
$ 7.7
$ 7,993.4
(1)Equity, loan and other unfunded commitments are presented by contractual maturity date. The amounts, however, are available on demand.


~~(1)~~	~~Equity, loan and other unfunded commitments are presented by contractual maturity date. The amounts, however, are available on demand.~~


~~(2)~~	~~At May 31, 2020, all of the forward starting securities purchased under agreements to resell and forward starting securities sold under agreements to repurchase settled within three business days.~~

(2)At May 31, 2021, $6,714.8 million within forward starting securities purchased under agreements to resell and all of the forward starting securities sold under agreements to repurchase settled within three business days.

Equity Commitments. Includes a commitment to invest in our joint venture, Jefferies Finance, and commitments to invest in private equity funds and in Jefferies Capital Partners, LLC, the manager of the private equity funds, which consists of a team led by one of our directors and Chairman of the Executive Committee. At May 31, ~~2020,~~2021, our outstanding commitments relating to Jefferies Capital Partners, LLC and its private equity funds were ~~$11.3~~$10.8 million.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

See Note 9, Investments, for additional information regarding our investments in Jefferies Finance.

Additionally, at May 31, ~~2020,~~2021, we had other outstanding equity commitments to invest up to ~~$27.1~~$33.1 million into various other investments.

Loan Commitments. From time to time we make commitments to extend credit to investment banking and other clients in loan syndication and acquisition finance, and ~~securities transactions and~~ to ~~SPE sponsors in connection with the funding of CLO and other asset-backed transactions.~~strategic affiliates. These commitments and any related drawdowns of these facilities typically have fixed maturity dates and are contingent on certain representations, warranties and contractual conditions applicable to the borrower. At May 31, ~~2020,~~2021, we had ~~$80.0~~$104.0 million of outstanding loan commitments to ~~clients.~~clients and $1.0 million to strategic affiliates.

Loan commitments outstanding at May 31, ~~2020~~2021 also include our portion of the outstanding secured revolving credit facility provided to Jefferies Finance, to support loan underwritings by Jefferies Finance. See Note 9, Investments, for additional information.

Underwriting Commitments. In connection with investment banking activities, we may from time to time provide underwriting commitments to our clients in connection with capital raising transactions.

Forward Starting Reverse Repos and Repos. We enter into commitments to take possession of securities with agreements to resell on a forward starting basis and to sell securities with agreements to repurchase on a forward starting basis that are primarily secured by U.S. government and agency securities.

Other Unfunded Commitments. Other unfunded commitments include obligations in the form of revolving notes, warehouse financings and debt securities to provide financing to asset-backed and CLO vehicles. Upon advancing funds, drawn amounts are collateralized by the assets of an entity.

Guarantees

Derivative Contracts. As a dealer, we make markets and trade in a variety of derivative instruments. Certain derivative contracts that we have entered into meet the accounting definition of a guarantee under U.S. GAAP, including credit default swaps, written foreign currency options and written equity put options. On certain of these contracts, such as written interest rate caps and foreign currency options, the maximum payout cannot be quantified since the increase in interest or foreign exchange rates are not contractually limited by the terms of the contract. As such, we have disclosed notional values as a measure of our maximum potential payout under these contracts.

~~Table of Contents~~

~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED~~

~~(Unaudited)~~

The following table summarizes the notional amounts associated with our derivative contracts meeting the definition of a guarantee under U.S. GAAP at May 31, ~~2020~~2021 (in millions):

Expected Maturity Date (Fiscal Years)
2020 2021 2022
and
2023 2024
and
2025 2026
and
Later Notional/ Maximum Payout
Guarantee Type:
Derivative contracts—non-credit related $ 7,632.6
$ 3,542.2
$ 5,003.2
$ 1,266.4
$ 48.5
$ 17,492.9
Written derivative contracts—credit related 1.0
—
1.0
5.4
—
7.4
Total derivative contracts $ 7,633.6
$ 3,542.2
$ 5,004.2
$ 1,271.8
$ 48.5
$ 17,500.3


	Expected Maturity Date (Fiscal Years)
	2021		2022		2023 and 2024		2025 and 2026		2027 and Later		Notional/ Maximum Payout
Guarantee Type:
Derivative contracts—non-credit related	$	10,052.6	$	5,851.3	$	9,272.7	$	398.3	$	12.2	$	25,587.1
Written derivative contracts—credit related	0		0		6.4		81.8		0		88.2
Total derivative contracts	$	10,052.6	$	5,851.3	$	9,279.1	$	480.1	$	12.2	$	25,675.3

The derivative contracts deemed to meet the definition of a guarantee under U.S. GAAP are before consideration of hedging transactions and only reflect a partial or “one-sided” component of any risk exposure. Written equity options and written credit default swaps are often executed in a strategy that is in tandem with long cash instruments (e.g., equity and debt securities). We substantially mitigate our exposure to market risk on these contracts through hedges, such as other derivative contracts and/or cash instruments, and we manage the risk associated with these contracts in the context of our overall risk management framework. We believe notional amounts overstate our expected payout and that fair value of these contracts is a more relevant measure of our obligations. At May 31, ~~2020,~~2021, the fair value of derivative contracts meeting the definition of a guarantee is approximately ~~$192.7~~$173.7 million.

Standby Letters of Credit. At May 31, ~~2020,~~2021, we provided guarantees to certain counterparties in the form of standby letters of credit in the amount of ~~$36.9~~$7.0 million, all of which expire within one year. Standby letters of credit commit us to make payment to the beneficiary if the guaranteed party fails to fulfill its obligation under a contractual arrangement with that beneficiary. Since commitments associated with these collateral instruments may expire unused, the amount shown does not necessarily reflect the actual future cash funding requirement.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

Other Guarantees. We are members of various exchanges and clearing houses. In the normal course of business, we provide guarantees to securities clearing houses and exchanges. These guarantees generally are required under the standard membership agreements, such that members are required to guarantee the performance of other members. Additionally, if a member becomes unable to satisfy its obligations to the clearing house, other members would be required to meet these shortfalls. To mitigate these performance risks, the exchanges and clearing houses often require members to post collateral. Our obligations under such guarantees could exceed the collateral amounts posted. Our maximum potential liability under these arrangements cannot be quantified; however, the potential for us to be required to make payments under such guarantees is deemed remote. Accordingly, no liability has been recognized for these arrangements. Additionally, we provide certain indemnifications in connection with third-party clearing and execution arrangements whereby a third-party may clear and settle transactions on behalf of our clients. These indemnifications generally have standard contractual terms and are entered into in the ordinary course of business. Our obligations in respect of such transactions are secured by the assets in our client’s account, as well as any proceeds received from the transactions cleared and settled on behalf of our client. However, we believe that it is unlikely we would have to make any material payments under these arrangements and no material liabilities related to these indemnifications have been recognized.

~~Table of Contents~~

~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED~~

~~(Unaudited)~~

Note ~~18.~~17. Net Capital Requirements

As a broker-dealer registered with the SEC and a member firm of the Financial Industry Regulatory Authority (“FINRA”), Jefferies LLC is subject to the SEC Uniform Net Capital Rule (“Rule 15c3-1”), which requires the maintenance of minimum net capital, and has elected to calculate minimum capital requirements using the alternative method permitted by Rule 15c3-1 in calculating net capital. Jefferies LLC, as a dually-registered ~~U.S~~U.S. broker-dealer and futures commission merchant (“FCM”), is also subject to Rule 1.17 of the Commodity Futures Trading Commission (“CFTC”), which sets forth minimum financial requirements. The minimum net capital requirement in determining excess net capital for a dually-registered U.S. broker-dealer and FCM is equal to the greater of the requirement under Rule 15c3-1 or CFTC Rule 1.17.

At May 31, ~~2020,~~2021, Jefferies LLC’s net capital and excess net capital were as follows (in thousands):

Net Capital Excess Net Capital
Jefferies LLC $ 1,507,685
$ 1,430,678


	Net Capital		Excess Net Capital
Jefferies LLC	$	1,518,186	$	1,394,465

FINRA is the designated examining authority for Jefferies LLC and the National Futures Association is the designated self-regulatory organization for Jefferies LLC as an FCM.

Certain other U.S. and non-U.S. subsidiaries are subject to capital adequacy requirements as prescribed by the regulatory authorities in their respective jurisdictions, including Jefferies International Limited, which is authorized and regulated by the Financial Conduct Authority in the United Kingdom (“U.K.”).

The regulatory capital requirements referred to above may restrict our ability to withdraw capital from our regulated subsidiaries.

Note ~~19.~~18. Segment Reporting

We operate in 2 reportable business ~~segments –~~segments: (1) Investment Banking and Capital Markets and (2) Asset Management. The Investment Banking and Capital Markets reportable business segment includes our securities, commodities, futures and foreign exchange capital markets activities and investment banking business, which is composed of financial advisory and underwriting activities. The Investment Banking and Capital Markets reportable business segment provides the sales, trading, origination and advisory effort for various fixed income, equity and advisory products and services. The Asset Management reportable business segment provides investment management services to investors in the U.S. and overseas and invests capital in hedge funds, separately managed accounts and third-party asset managers.

Our reportable business segment information is prepared using the following methodologies:

•Net revenues and non-interest expenses directly associated with each reportable business segment are included in determining earnings (loss) before income taxes.

•Net revenues and non-interest expenses not directly associated with specific reportable business segments are allocated based on the most relevant measures applicable, including each reportable business segment’s net revenues, headcount and other factors.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

•Reportable business segment assets include an allocation of indirect corporate assets that have been fully allocated to our reportable business segments, generally based on each reportable business segment’s capital utilization.

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~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED~~

~~(Unaudited)~~

Our net revenues, non-interest expenses and earnings (loss) before income taxes by reportable business segment are summarized below (in millions):


	Three Months Ended May 31,					Six Months Ended May 31,						Three Months Ended May 31,				Six Months Ended May 31,
	2020			2019		2020			2019			2021		2020		2021		2020
Investment Banking and Capital Markets:											Investment Banking and Capital Markets:
Net revenues	$	1,028.9		$	859.3	$	2,177.7		$	1,517.5	Net revenues	$	1,572.9	$	1,028.9	$	3,532.4	$	2,177.7
Non-interest expenses	814.3			716.8		1,713.3			1,319.9		Non-interest expenses	1,146.4		814.3		2,562.6		1,713.3
Earnings before income taxes	$	214.6		$	142.5	$	464.4		$	197.6	Earnings before income taxes	$	426.5	$	214.6	$	969.8	$	464.4
Asset Management:											Asset Management:
Net revenues	$	5.5		$	42.6	$	27.4		$	70.1	Net revenues	$	44.5	$	5.5	$	214.4	$	27.4
Non-interest expenses	47.2			30.0		83.6			50.0		Non-interest expenses	41.7		47.2		83.7		83.6
Earnings (loss) before income taxes	$	(41.7	)	$	12.6	$	(56.2	)	$	20.1	Earnings (loss) before income taxes	$	2.8	$	(41.7)	$	130.7	$	(56.2)
Total:											Total:
Net revenues	$	1,034.4		$	901.9	$	2,205.1		$	1,587.6	Net revenues	$	1,617.4	$	1,034.4	$	3,746.8	$	2,205.1
Non-interest expenses	861.5			746.8		1,796.9			1,369.9		Non-interest expenses	1,188.1		861.5		2,646.3		1,796.9
Earnings before income taxes	$	172.9		$	155.1	$	408.2		$	217.7	Earnings before income taxes	$	429.3	$	172.9	$	1,100.5	$	408.2

The following table summarizes our total assets by reportable business segment (in millions):

May 31, 2020 November 30, 2019
Investment Banking and Capital Markets $ 42,152.5
$ 40,565.8
Asset Management 2,931.9
2,950.3
Total assets $ 45,084.4
$ 43,516.1


	May 31, 2021		November 30, 2020
Investment Banking and Capital Markets	$	49,436.3	$	44,488.1
Asset Management	2,734.8		3,263.9
Total assets	$	52,171.1	$	47,752.0

Net Revenues by Geographic Region

Net revenues for the Investment Banking and Capital Markets reportable business segment are recorded in the geographic region in which the position was risk-managed or, in the case of investment banking, in which the senior coverage banker is located. For the Asset Management reportable business segment, net revenues are allocated according to the location of the investment advisor. Net revenues by geographic region were as follows (in millions):


	Three Months Ended May 31,				Six Months Ended May 31,
	2021		2020		2021		2020
Americas (1)	$	1,255.3	$	754.3	$	3,005.9	$	1,704.4
Europe (2)	289.4		189.6		588.2		348.9
Asia Pacific	72.7		90.5		152.7		151.8
Net revenues	$	1,617.4	$	1,034.4	$	3,746.8	$	2,205.1

Three Months Ended
May 31, Six Months Ended
May 31,
2020 2019 2020 2019
Americas (1) $ 754.3
$ 749.4
$ 1,704.4
$ 1,258.0
Europe (2) 189.6
125.2
348.9
276.7
Asia 90.5
27.3
151.8
52.9
Net revenues $ 1,034.4
$ 901.9
$ 2,205.1
$ 1,587.6


~~(1)~~	~~Substantially all relates to U.S. results.~~


~~(2)~~	~~Substantially all relates to U.K. results.~~

(1)Substantially all relates to U.S. results.

(2)Substantially all relates to U.K. results.

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JEFFERIES GROUP LLC AND SUBSIDIARIES

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

This report contains or incorporates by reference “forward looking statements” within the meaning of the safe harbor provisions of Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934. Forward looking statements include statements about our future and statements that are not historical facts. These forward looking statements are usually preceded by the words “believe,” “intend,” “may,” “will,” or similar expressions. Forward looking statements may contain expectations regarding revenues, earnings, operations and other results, and may include statements of future performance, plans and objectives. Forward looking statements also include statements pertaining to our strategies for future development of our business and products. Forward looking statements represent only our belief regarding future events, many of which by their nature are inherently uncertain. It is possible that the actual results may differ, possibly materially, from the anticipated results indicated in these forward-looking statements. Information regarding important factors that could cause actual results to differ, perhaps materially, from those in our forward looking statements is contained in this report and other documents we file. You should read and interpret any forward looking statement together with these documents, including the following:

•the description of our business and risk factors contained in our Annual Report on Form 10-K for the year ended November 30, ~~2019~~2020 and filed with the Securities and Exchange Commission (“SEC”) on January 29, ~~2020;~~2021;

•the discussion of our analysis of financial condition and results of operations contained in this report under the caption “Management’s Discussion and Analysis of Financial Condition and Results of Operations” herein;

•the discussion of our risk management policies, procedures and methodologies contained in this report under the caption “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management” herein;

•the notes to the consolidated financial statements contained in this report; and

•cautionary statements we make in our public documents, reports and announcements.

Any forward looking statement speaks only as of the date on which that statement is made. We will not update any forward looking statement to reflect events or circumstances that occur after the date on which the statement is made, except as required by applicable law.

Our business, by its nature, does not produce predictable or necessarily recurring earnings. Our results in any given period can be materially affected by conditions in global financial markets, economic conditions generally and our own activities and positions. For a further discussion of the factors that may affect our future operating results, see “Risk Factors” in Part ~~II, Item 1A in this Quarterly Report on Form 10-Q and Part~~ I, Item 1A of our Annual Report on Form 10-K for the year ended November 30, ~~2019.~~2020.

During March 2020, the global novel coronavirus (“COVID-19”) pandemic and initial actions taken in response wreaked havoc on the global economy and all financial markets, and adversely affected our businesses. In April and May 2020, the unprecedented interventions of the U.S. Federal Reserve Bank, other central banks and various governments drove a sharp rebound in the financial markets and spurred renewed activity in the equity and debt new issue capital markets. As a result, our performance improved considerably in April and May. We experienced strong market volumes and volatility was significantly higher during the quarter ended May 31, 2020 than in the prior year quarter, resulting in increased client activity across our capital markets businesses. Our investment banking net revenues were below normal for the quarter, but our backlog remains solid and our current level of incoming new business is strong.

Our leadership is continuously monitoring circumstances around COVID-19, as well as economic and capital market conditions, and providing frequent communications to both our clients and our employees. Peg Broadbent, our longstanding, esteemed Chief Financial Officer (“CFO”), tragically died from complications of COVID-19 in March. We lost an incredible individual whom we all cherished and miss dearly. In Peg's memory, our clients, employees and firm came together to contribute $9.25 million to over 85 front line charities aiding those most affected by COVID-19 and in the greatest need. Throughout the quarter ended May 31, 2020, we have announced a number of important initiatives to support our employees, our clients and the broader public during this crisis:

We have worked proactively providing our clients with advice, execution and liquidity during the market disruption. In May 2020, Greenwich Associates named us as the top firm in helping clients navigate the markets as COVID-19 significantly impacted equity markets in mid-March, causing volatility and increased trading volumes. These results were based on a survey they had recently conducted of more than 75 buy-side institutions evaluating brokers’ performances in providing clients with liquidity, hedging solutions, market color and insights.

~~We have monitored the health and welfare of our employees and worked actively with many individuals diagnosed with COVID-19.~~

We are working with a newly established public-private consortium combining the U.S. Department of Health and Human Services (through its Office of the Assistant Secretary for Preparedness and Response) and ApiJect Systems America, a public-benefit corporation, to raise up to $1 billion to build sterile manufacturing facilities worldwide.

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~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

~~We have adopted enhanced cleaning practices across our offices and have restricted business travel.~~

We implemented our Business Continuity Planning plan and have largely moved to a remote working environment across all functions without any significant disruptions to our business or control processes.

~~We are working continuously with all of our critical vendors regarding their own pandemic responses to ensure there is minimal impact on our business operations.~~

~~We have honored the full financial commitment to our summer intern class who will have a truncated program.~~

Consolidated Results of Operations

Overview

The following table provides an overview of our consolidated results of operations (dollars in thousands):


	Three Months Ended May 31,						% Change		Six Months Ended May 31,						% Change
	2021			2020					2021			2020
Net revenues	$	1,617,418		$	1,034,367		56.4	%	$	3,746,784		$	2,205,063		69.9	%
Non-interest expenses	1,188,119			861,499			37.9	%	2,646,315			1,796,817			47.3	%
Earnings before income taxes	429,299			172,868			148.3	%	1,100,469			408,246			169.6	%
Income tax expense	110,846			43,972			152.1	%	288,151			107,985			166.8	%
Net earnings	318,453			128,896			147.1	%	812,318			300,261			170.5	%
Net loss attributable to noncontrolling interests	(363)			(1,842)			(80.3)	%	(566)			(3,866)			(85.4)	%
Net earnings attributable to Jefferies Group LLC	318,816			130,738			143.9	%	812,884			304,127			167.3	%

Effective tax rate	25.8		%	25.4		%			26.2		%	26.5		%

Three Months Ended
May 31, % Change Six Months Ended
May 31, % Change
2020 2019 2020 2019
Net revenues $ 1,034,367
$ 901,851
14.7 % $ 2,205,063
$ 1,587,569
38.9 %
Non-interest expenses 861,499
746,713
15.4 % 1,796,817
1,369,846
31.2 %
Earnings before income taxes 172,868
155,138
11.4 % 408,246
217,723
87.5 %
Income tax expense 43,972
45,319
(3.0 )% 107,985
61,539
75.5 %
Net earnings 128,896
109,819
17.4 % 300,261
156,184
92.2 %
Net earnings (loss) attributable to noncontrolling interests (1,842 ) (101 ) N/M
(3,866 ) 283
N/M
Net earnings attributable to Jefferies Group LLC 130,738
109,920
18.9 % 304,127
155,901
95.1 %

Effective tax rate 25.4 % 29.2 % 26.5 % 28.3 %

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~~N/M — Not Meaningful~~JEFFERIES GROUP LLC AND SUBSIDIARIES

Executive Summary

Three Months Ended May 31, ~~2020~~2021 - Record Investment Banking Revenues and a Strong Performance in Capital Markets Led to Our Second Highest Ever Quarterly Net Revenues and the Highest Ever for a Second Quarter

Consolidated Results

•Net revenues for the three months ended May 31, ~~2020~~2021 were ~~$1,034.4 million,~~$1.62 billion, up ~~14.7%~~56.4% compared with ~~$901.9 million~~$1.03 billion for the three months ended May 31, ~~2019.~~2020.

•Earnings before income taxes of $429.3 million were up 148.3% over the prior year comparable quarter and further demonstrating the operating leverage inherent in our business model.

•Net earnings attributable to Jefferies Group LLC of $318.8 million were up 143.9% over the prior year comparable quarter.

•Our second quarter results reflect record quarterly net revenues in investment banking, as well as solid results in ~~the three months ended May 31, 2020 reflect record results in our combined capital markets businesses, with record~~equities, fixed income and asset management.

•Our investment banking results reflect our increased market share, including record net revenues ~~strong equities net revenues,~~in investment banking advisory and debt underwriting, and solid performance in ~~investment banking.~~ equity underwriting.

•Our ~~record~~ combined capital markets results reflected strong net revenues ~~were due to assisting our clients and the rest of the market with advice, execution and liquidity, which drove record volumes and allowed us to extend our client franchise~~ in ~~both the equity~~equities and fixed income ~~markets.~~

~~Table~~against a backdrop of ~~Contents~~reduced secondary trading activity and lower trading market volumes.

~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

Business Results

•Our record investment banking net revenues of ~~$316.3 million~~$1.03 billion for the three months ended May 31, ~~2020 reflect solid performance~~2021 were an increase of 226.8% from the prior year comparable quarter, reflecting record advisory revenues of $390.5 million, as the mergers and acquisitions markets remained strong due to the record low interest rate environment and the surge in ~~mergers, acquisitions~~the stock market, and ~~advisory~~strong underwriting revenues of $610.2 million, up $404.8 million, or 197.1%, over the prior year comparable quarter, as companies continued to take advantage of the record low interest rate environment to access the debt capital markets and clients took advantage of the strong equity ~~underwriting, lower~~environment to raise equity capital in almost all sectors.

•Our investment banking results include record net revenues ~~in debt underwriting and a net loss~~ of ~~$49.7~~$41.7 million from our share of the net earnings of our Jefferies Finance LLC (“Jefferies Finance”) joint venture, ~~reflecting~~compared with a net loss of $49.7 million in the prior year comparable quarter. Strong results in the current year quarter reflect high loan arrangement volumes due to continued strength in the leveraged finance markets. Results in the prior year comparable quarter reflect unrealized losses related to the write-down of commitments and loans held-for-sale, as well as reserves recorded on the loan portfolio, ~~during the current year quarter,~~ primarily due to the impact of ~~COVID-19~~the global novel coronavirus (“COVID-19”) pandemic on the markets and the economy. This compares with net revenues of $25.1 million from our share of the net earnings from our Jefferies Finance joint venture in the prior year quarter. Other investment banking revenues during the three months ended May 31, 2020 also includes a $9.5 million write-down of an investment. Our advisory revenues were $182.1 million, or 2.0% higher than the prior year quarter, and our equity underwriting revenues were 15.1% higher than the prior year quarter. Our results in mergers and acquisitions and equity underwriting were offset by lower revenues in debt underwriting, impacted by less acquisition finance activity and volatile debt markets. Our investment banking net revenues were below normal for the quarter, but our backlog remains solid and our current level of incoming new business is strong.

•Our equities net revenues of $242.9 million increased ~~15.1%~~2.5% compared to the prior year comparable quarter, ~~primarily~~as our global franchise continues to grow and increase market share. Our European and Asian businesses continued to expand. In addition, compared to the prior year comparable quarter, our results include lower losses on certain block positions and lower revenues due to ~~increased trading volumes~~reduced volatility levels and ~~higher levels of volatility in certain of~~ our ~~core equities businesses. We believe we continued to extend our client franchise as we were in a position to provide consistent and strong service to our clients throughout this unprecedented period.~~current year quarter results also include mark-to-market losses from SPAC-related activity.

•Our fixed income net revenues of $257.2 million were ~~a record and improved by 184.6%~~down 47.8% compared to the prior year comparable quarter, ~~primarily due to~~which had extremely strong trading volumes and active market activity for many asset classes due to the onset of COVID-19. The current year quarter trading volumes and client activity across ~~many of our core fixed income businesses,~~products and regions declined, as ~~governments~~market volumes and ~~central banks took intervening actions~~opportunities decreased due to ~~stabilize the markets during the quarter.~~increasing inflation expectations, treasury yield volatility and tightening spreads.

~~Asset~~•Our asset management net revenues of $44.5 million were significantly higher than the $5.5 million ~~for the three months ended May 31, 2020, compared with $42.6 million~~recorded in the prior year comparable quarter, ~~primarily due to~~driven by meaningfully higher investment returns across most platforms and an increase in asset management fees and revenues. Results in the prior year comparable quarter were impacted by lower investment returns infrom certain of our investments in separately managed accounts and funds, as a result of the significant impact of COVID-19 on the markets and ~~economy during~~economy. Results in the current year quarter include $14.6 million in management, performance and similar fees and revenues earned directly or through our strategic affiliates in the current year quarter, as compared with $4.6 million in the prior year comparable quarter.

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JEFFERIES GROUP LLC AND SUBSIDIARIES

•Net ~~losses~~revenues in our other business category in the three months ended May 31, ~~2020~~2021 were ~~$17.7~~$39.1 million, compared with net ~~revenues~~losses of ~~$32.2~~$17.7 million in the prior year comparable quarter. Results in the ~~prior~~current year quarter include net revenues of ~~$25.3~~$30.7 million from our share of the net income of Berkadia Commercial Mortgage Holding LLC (“Berkadia”), due to higher mortgage origination, compared with negligible net revenues from Berkadia in the ~~current~~prior year comparable quarter. ~~The results in the current year quarter also include unrealized net mark-to-market losses related to certain investments, compared with mark-to-market gains~~Results in the prior year ~~quarter.~~comparable quarter are due to the impairment of mortgage servicing rights as a result of lower interest rates, higher loan loss provisions and a decline in loan originations due to the impact of COVID-19.

Expenses

•Non-interest expenses of $1.19 billion for the three months ended May 31, ~~2020~~2021 increased ~~$114.8~~$326.6 million, ~~to $861.5 million,~~or 37.9%, compared with ~~$746.7~~$861.5 million for the prior year ~~quarter,~~comparable quarter. The increase, which is primarily due to ~~$93.6 million of increased Compensation~~higher compensation and benefits expense, ~~consistent with the higher~~is meaningfully lower than our 56.4% increase in net revenues, demonstrating the operating leverage inherent in our ~~core~~business model. As a result, our pre-tax operating ~~businesses.~~margin increased to 26.5% in the current year quarter from 16.7% in the prior year comparable quarter.

•Compensation and benefits expense for the three months ended May 31, ~~2020~~2021 was ~~$571.5~~$789.8 million, an increase of ~~$93.6~~$218.3 million, or ~~19.6%~~38.2%, from the ~~comparable~~ prior year comparable quarter, ~~consistent with higher~~while net revenues increased 56.4%, demonstrating the operating leverage inherent in our ~~core operating businesses.~~business model. Compensation and benefits expense as a percentage of Net revenues was ~~55.3%~~48.8% for the three months ended May 31, ~~2020, compared with 53.0%~~2021, significantly below the ratio of 55.3%, in the prior year quarter, or 2.3% of net revenues higher, due to the change in the mix of our net revenues, with higher revenues in our core operating businesses and lower net revenues from our Jefferies Finance joint venture and our Other businesses, including our investment in Berkadia.comparable quarter.

•Non-compensation expenses for the three months ended May 31, ~~2020~~2021 increased ~~$21.2~~$108.3 million ~~or 7.9%,~~ to ~~$290.0~~$398.3 million, compared with ~~$268.8~~$290.0 million for the ~~three months ended May 31, 2019.~~prior year comparable quarter. This 37.4% increase is again meaningfully lower than our 56.4% increase in net revenues. The increase in non-compensation expenses primarily relates to higher Underwriting costs associated with our record investment banking and equity net revenues. The increase was also due to higher Technology and communication expenses as we continue to invest in our operating platform. In addition, the increase in Other expenses is primarily due to ~~higher Floor brokerage and clearing fees due to the~~an increase in ~~trading volumes across~~bad debt expense mostly related to our ~~equities and fixed income businesses and higher Other expenses, which~~prime brokerage business. Results in the prior year comparable quarter included our charitable donations of $8.6 million, in memory of Peg Broadbent, our longstanding, esteemed Chief ~~CFO~~Financial Officer (“CFO”) who tragically died from complications of COVID-19 in March ~~which was partially offset by lower Business development expenses as business travel and events were curtailed due to COVID-19.~~2020.

Six Months Ended May 31, ~~2020~~2021 - Record Six Months Net Revenues and Net Income

Consolidated Results

•Net revenues for the six months ended May 31, 2021 were an all-time six months record of $3.75 billion, up 69.9% compared with $2.21 billion for the six months ended May 31, 2020, which was then an all-time six months record.

•Earnings before income taxes of $1.10 billion for the six months ended May 31, 2021 were a record for the six months period, up 169.6% over the prior year comparable period.

•Net earnings attributable to Jefferies Group LLC of ~~$2,205.1 million, compared with $1,587.6~~$812.9 million for the six months ended May 31, ~~2019.~~2021 were a record for the six months period, up 167.3% over the prior year comparable period.

•Our results for the six months ended May 31, 2021 reflect record six months net revenues in investment banking, equities and asset management, as well as solid results in fixed income.

•Our investment banking results reflect our increased market share, including record six months net revenues in investment banking advisory and equity and debt underwriting.

•Our record equities net revenues reflect higher trading market volumes throughout most of the current year period and our increased market share in almost all our businesses and across each of our core regions.

•Our lower results in fixed income were primarily due to reduced trading volumes, as the strong trading volumes and active markets seen in 2020 did not continue in the current year period.

Business Results

•Our investment banking net revenues of $2.07 billion for the six months ended May 31, 2021 were an increase of 131.3% from the prior year comparable period, reflecting record underwriting revenues of $1.30 billion, up $848.2 million, or 186.7%, over the prior year comparable period and record advisory revenues of $701.9 million, up $176.7, or 33.6% over the prior year comparable period.

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JEFFERIES GROUP LLC AND SUBSIDIARIES

Our results in the six months ended May 31, 2020 reflect strong performance in investment banking, particularly in the first quarter of the year, and record six months results in equities and fixed income. We believe our record equities and fixed income net revenues were primarily due to extending our client franchise as well as higher trading volumes and increased levels of volatility resulting primarily from the impact of COVID-19 and the policy response on the markets in the second quarter of the current year.

~~Business Results~~

Our net revenues for the six months ended May 31, 2020 increased 38.9% as compared to the prior six months ended May 31, 2019. These results reflect record six months performance in mergers, acquisitions and advisory, record net revenues in equity underwriting and solid performance in debt underwriting, as well as record net revenues in equities and fixed income.

•Our investment banking results were strong during the six months ended May 31, 2020, reflecting record six month performance in mergers and acquisitions, record results in equity underwriting, solid performance in debt underwriting and ainclude net ~~loss~~revenues of ~~$39.3~~$72.3 million ~~in the current year period~~ from our share of the net earnings of our Jefferies Finance joint venture, ~~reflecting~~compared with a net loss of $39.3 million in the prior year comparable period. Strong results in the current year period reflect high loan arrangement volumes in the leveraged finance markets as borrowers took advantage of the low interest rate environment, as well as a reduction in loan loss reserves. Results in the prior year comparable period reflect unrealized losses related to the write-down of commitments and loans held-for-sale, as well as reserves recorded on the loan portfolio, ~~during the current year period,~~ primarily due to the impact of COVID-19 pandemic on the markets and the economy. ~~This compares with net~~Other investment banking revenues ~~of $23.9 million from our share of the net earnings from our Jefferies Finance joint venture in~~during the prior year ~~period. Other~~comparable period also include unrealized write-downs of private equity investments received or acquired in connection with our investment banking results during the six months ended May 31, 2020 also includes a $24.5 million write-down of an investment. Our advisory revenues were a record $525.2 million, an increase of 46.3%, or $166.2 million, compared to the prior six months ended May 31, 2019, while our underwriting revenues for the six months period ended May 31, 2020 were $454.3 million, up $89.6 million, or 24.6%, with broad contribution from our sector teams and regional presence.activities.

•Our ~~record~~ equities net revenues ~~reflect an increase of 26.8%~~increased 60.3% compared to the prior year comparable period, ~~primarily due to strong~~driven by all-time record results in ~~most~~almost all our businesses and across each of our core ~~equities businesses due to increased trading volumes and higher levels of volatility. We believe we increased our market share~~regions, primarily in the first quarter of ~~this~~the current year period. Our equities business continues to gain market share and ~~additionally as we were~~benefited significantly from the continued expansion of our businesses both from a product and geographic perspective and the favorable trading environment and increased SPAC-related activity in ~~a position to provide consistent and strong service to our clients throughout this unprecedented period, we continued to extend our client franchise.~~the U.S., in the first quarter of the current year.

•Our ~~record~~ fixed income net revenues ~~improved by 100.4%~~were down 16.3% compared to the prior year comparable period, ~~primarily due to~~which was an all-time record period. While our net revenues decreased from that of the prior year comparable period, fixed income results produced the second best six month fixed income net revenues period on record. The prior year comparable period significantly benefited from strong trading volumes asdue to extremely active markets ~~were more active,~~ and ~~the fixed income businesses’ results reflect having successfully managed through the markets’~~ high ~~level~~levels of volatility during the ~~period.~~period, as a result of the U.S. Federal Reserve Bank and other government interventions to support the markets.

~~Asset~~•Our asset management net revenues of ~~$27.4~~$214.3 million for the six months ended May 31, ~~2020~~2021, were ~~lower~~significantly higher than the ~~$70.0~~$27.4 million recorded in the prior year comparable period, ~~primarily due to~~driven by meaningfully higher investment returns across most platforms and a substantial increase in asset management fees and revenues. Results in the prior year comparable period were impacted by lower investment returns infrom certain of our investments in separately managed accounts and funds, as a result of the significant impact of COVID-19 on the markets ~~during~~and economy. Results in the ~~second~~current year period include $52.0 million in management, performance and similar fees and revenues earned directly or through our strategic affiliates in the current year period, as compared with $16.3 million in the prior year comparable period. Performance fees and similar revenues are generally realized and recognized once a year in the first quarter of our fiscal year and are attributable to performance realized in respect of the ~~current year.~~calendar year ending during our first fiscal quarter.

•Net revenues in our other business category in the six months ended May 31, ~~2020~~2021 were ~~$59.8~~$70.8 million, compared with ~~$41.2~~net revenues of $59.8 million in the prior year comparable period. Results in the current year period include gains of $61.5 million from hedges that were bought and sold in February to offset the anticipated severe drop in the equity markets at the end of the first quarter. Results in the current year period also includehigher net revenues of ~~$21.9~~$60.7 million ~~due to~~from our share of the net income of Berkadia, compared with ~~net revenues of $47.9~~$21.9 million ~~from Berkadia~~ in the prior year comparable period. The results in the prior year comparable period also included gains of $61.5 million from macro hedges that were bought and sold in the prior year period at the onset of COVID-19.

Expenses

•Non-interest expenses for the six months ended May 31, ~~2020~~2021 increased ~~$427.0~~$849.5 million, or 47.3%, to ~~$1,796.8 million,~~$2.65 billion, compared with ~~$1,369.8 million~~$1.80 billion for the prior year ~~period,~~comparable period. This 47.3% increase, which is primarily due to ~~$357.2 million of increased Compensation~~higher compensation and benefits expense, ~~consistent with the higher~~is meaningfully lower than our 69.9% increase in net revenues, demonstrating the operating leverage inherent in our ~~core~~business model. As a result, our pre-tax operating ~~businesses.~~margin increased to 29.4% in the current year from 18.5% in the prior year period.

•Compensation and benefits expense for the six months ended May 31, ~~2020~~2021 was ~~$1,206.8 million,~~$1.91 billion, an increase of ~~$357.2~~$703.0 million, or ~~42.0%~~58.3%, from the ~~comparable~~ prior year comparable period, ~~consistent with~~below the ~~38.9%~~69.9% growth in our net revenues. Compensation and benefits expense as a percentage of Net revenues was ~~54.7%~~51.0% for the six months ended May 31, ~~2020,~~2021, compared with ~~53.5%~~54.7%, in the prior year period, or 1.2% of net revenues higher, due to the change in the mix of our net revenues, with higher revenues in our core operating businesses and lower net revenues from our Jefferies Finance joint venture and our Other businesses, including our investment in Berkadia.comparable period.

•Non-compensation expenses for the six months ended May 31, ~~2020~~2021 increased ~~$69.7~~$146.6 million, or ~~13.4%,~~24.8% to ~~$590.0~~$736.6 million, compared with ~~$520.3~~$590.0 million for the ~~six months ended May 31, 2019.~~prior year comparable period. This 24.8% increase is meaningfully lower than our 69.9% increase in net revenues. The increase in non-compensation expenses was primarily due to higher Floor brokerage and clearing fees due to an increase in trading volumes and higher Underwriting costs due to an increase in the volume of investment banking transactions. These increases correspond with our record equities net revenues and record investment banking net revenues. The increase was also due to higher Technology and communication expenses, higher Professional services expenses and higher Other expenses, with the increase in Other expenses primarily due to an increase in bad debt expense mostly related to our prime brokerage business. Results in the prior year comparable period included our charitable donations of $8.6 million, in memory of Peg Broadbent, our longstanding, esteemed CFO who tragically died from complications of COVID-19 in March 2020.

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JEFFERIES GROUP LLC AND SUBSIDIARIES

Headcount

•At May 31, ~~2020,~~2021, we had ~~3,850~~4,121 employees globally, an increase of ~~194~~271 employees from our headcount of ~~3,656~~3,850 at May 31, ~~2019.~~2020. Our headcount increased ~~by 136 employees in Asia over this period, primarily~~across the regions as a result of ~~our expansion in equities in Asia. We also had~~ continued ~~additions in~~investment to support and drive the growth of our investment banking ~~and asset management businesses,~~business, as well as additions in technology and other corporate services staff to support our growth. The increase was partially offset by a reduction in our asset management business due to ~~continued business growth.~~the wind down of an asset management platform.

Revenues by Source

For presentation purposes, the remainder of ~~“Results~~“Consolidated Results of Operations” is presented on a detailed product and expense basis, rather than on a business segment basis. Net revenues presented for our Investment Banking and Capital Markets businesses include allocations of interest income and interest expense as we assess the profitability of these businesses inclusive of the net interest revenue or expense associated with the respective activities, including the net interest cost of allocated long-term debt, which is a function of the mix of each business’s associated assets and liabilities and the related funding costs.

The composition of our net revenues has varied over time as financial markets and the scope of our operations have changed. The composition of net revenues can also vary from period to period due to fluctuations in economic and market conditions, and our own performance. The following provides a summary of “Net Revenues by Source” (dollars in thousands):


	Three Months Ended May 31,										Six Months Ended May 31,
	2021				2020						2021				2020
	Amount		% of Net Revenues		Amount		% of Net Revenues		% Change		Amount		% of Net Revenues		Amount		% of Net Revenues		% Change
Advisory	$	390,508	24.1	%	$	182,081	17.6	%	114.5	%	$	701,947	18.7	%	$	525,239	23.8	%	33.6	%

Equity underwriting	324,462		20.1		124,383		12.0		160.9	%	819,268		21.9		256,075		11.6		219.9	%
Debt underwriting	285,730		17.7		81,027		7.8		252.6	%	483,147		12.9		198,179		9.0		143.8	%
Total underwriting	610,192		37.8		205,410		19.8		197.1	%	1,302,415		34.8		454,254		20.6		186.7	%
Other investment banking	32,971		2.0		(71,234)		(6.9)		N/M		62,796		1.7		(85,763)		(3.9)		N/M
Total investment banking	1,033,671		63.9		316,257		30.5		226.8	%	2,067,158		55.2		893,730		40.5		131.3	%

Equities	242,949		15.0		237,131		22.9		2.5	%	773,965		20.7		482,772		21.9		60.3	%
Fixed income	257,197		15.9		493,144		47.7		(47.8)	%	620,556		16.6		741,326		33.6		(16.3)	%
Total capital markets	500,146		30.9		730,275		70.6		(31.5)	%	1,394,521		37.3		1,224,098		55.5		13.9	%

Other	39,147		2.5		(17,700)		(1.6)		N/M		70,794		1.8		59,833		2.8		18.3	%

Total Investment Banking and Capital Markets (1)	1,572,964		97.3		1,028,832		99.5		52.9	%	3,532,473		94.3		2,177,661		98.8		62.2	%

Asset management fees and revenues	14,567		0.9		4,576		0.4		218.3	%	51,950		1.4		16,296		0.7		218.8	%
Investment return (2)	41,326		2.6		13,944		1.3		196.4	%	184,199		4.9		34,783		1.6		429.6	%
Allocated net interest (2)	(11,439)		(0.8)		(12,985)		(1.2)		(11.9)	%	(21,838)		(0.6)		(23,677)		(1.1)		(7.8)	%
Total Asset Management	44,454		2.7		5,535		0.5		703.1	%	214,311		5.7		27,402		1.2		682.1	%

Net revenues	$	1,617,418	100.0	%	$	1,034,367	100.0	%	56.4	%	$	3,746,784	100.0	%	$	2,205,063	100.0	%	69.9	%

Three Months Ended May 31, Six Months Ended May 31,
2020 2019 2020 2019
Amount % of Net Revenues Amount % of Net Revenues % Change Amount % of Net Revenues Amount % of Net Revenues % Change
Advisory $ 182,081
17.6 % $ 178,554
19.8 % 2.0 % $ 525,239
23.8 % $ 359,036
22.6 % 46.3 %

Equity underwriting 124,383
12.0
108,022
12.0
15.1 % 256,075
11.6
159,359
10.0
60.7 %
Debt underwriting 81,027
7.8
151,511
16.8
(46.5 )% 198,179
9.0
205,288
12.9
(3.5 )%
Total underwriting 205,410
19.8
259,533
28.8
(20.9 )% 454,254
20.6
364,647
22.9
24.6 %
Other investment banking (71,234 ) (6.9 ) 9,634
1.0
N/M
(85,763 ) (3.9 ) 1,992
0.1
N/M
Total investment banking 316,257
30.5
447,721
49.6
(29.4 )% 893,730
40.5
725,675
45.6
23.2 %

Equities 237,131
22.9
206,083
22.9
15.1 % 482,772
21.9
380,622
24.0
26.8 %
Fixed income 493,144
47.7
173,253
19.2
184.6 % 741,326
33.6
370,012
23.4
100.4 %
Total capital markets 730,275
70.6
379,336
42.1
92.5 % 1,224,098
55.5
750,634
47.4
63.1 %

Other (17,700 ) (1.6 ) 32,218
3.6
N/M
59,833
2.8
41,213
2.6
45.2 %

Total Investment Banking and Capital Markets (1) (2) 1,028,832
99.5
859,275
95.3
19.7 % 2,177,661
98.8
1,517,522
95.6
43.5 %

Asset management fees and revenues 4,576
0.4
5,099
0.6
(10.3 )% 16,296
0.7
12,130
0.8
34.3 %
Investment return (3) (4) 13,944
1.3
47,526
5.2
(70.7 )% 34,783
1.6
79,576
5.0
(56.3 )%
Allocated net interest (3) (5) (12,985 ) (1.2 ) (10,049 ) (1.1 ) 29.2 % (23,677 ) (1.1 ) (21,659 ) (1.4 ) 9.3 %
Total Asset Management 5,535
0.5
42,576
4.7
(87.0 )% 27,402
1.2
70,047
4.4
(60.9 )%

Net revenues $ 1,034,367
100.0 % $ 901,851
100.0 % 14.7 % $ 2,205,063
100.0 % $ 1,587,569
100.0 % 38.9 %
N/M — Not Meaningful

(1)Allocated net interest is not separately disaggregated for Investment Banking and Capital Markets. This presentation is aligned to our Investment Banking and Capital Markets internal performance measurement.

(2)Allocated net interest represents the allocation of our long-term debt interest expense to Asset Management, net of interest income on our Cash and cash equivalents and other sources of liquidity. Allocated net interest has been disaggregated to increase transparency and to make clearer actual Investment return. We believe that aggregating Investment return and Allocated net interest would obscure the Investment return by including an amount that is unique to our credit spreads, debt maturity profile, capital structure, liquidity risks and allocation methods.

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JEFFERIES GROUP LLC AND SUBSIDIARIES


~~(1)~~	Includes net interest revenue (expense) of $(0.8) million and $2.1 million for the three and six months ended May 31, 2020, respectively, and $16.4 million and $21.0 million for the three and six months ended May 31, 2019, respectively.


~~(2)~~	Allocated net interest is not separately disaggregated in presenting our Investment Banking and Capital Markets reportable segment within our Net Revenues by Source. This presentation is aligned to our Investment Banking and Capital Markets internal performance measurement.

~~(3)~~

Net revenues attributed to the Investment return in our Asset Management reportable segment have been disaggregated to separately present Investment return and Allocated net interest (see footnote 5 below). This disaggregation is intended to increase transparency and to make clearer actual Investment return. We believe that aggregating Investment return and Allocated net interest would obscure the Investment return by including an amount that is unique to our credit spreads, debt maturity profile, capital structure, liquidity risks and allocation methods, none of which are pertinent to the Investment returns generated by the performance of the portfolio.


~~(4)~~	Includes net interest expenses of $7.2 million and $13.6 million for the three and six months ended May 31, 2020, respectively, and $0.6 million and $1.7 million for the three and six months ended May 31, 2019, respectively.


~~(5)~~	Allocated net interest represents the allocation of our long-term debt interest expense to our Asset Management reportable segment, net of interest income on our Cash and cash equivalents and other sources of liquidity. For discussion of our sources of liquidity, refer to the “Liquidity, Financial Condition and Capital Resources” section herein.

Investment Banking Revenues

Investment banking is comprised of revenues from:

•advisory services with respect to mergers and acquisitions and restructurings and recapitalizations;

•underwriting services, which include underwriting and placement services related to corporate debt, municipal bonds, mortgage-backed and asset-backed securities and equity and equity-linked securities and loan syndication;

•our 50% share of net earnings from our corporate lending joint venture, Jefferies Finance; and

•securities and loans received or acquired in connection with our investment banking activities.

The following table sets forth our investment banking revenues (dollars in thousands):


	Three Months Ended May 31,				% Change		Six Months Ended May 31,				% Change
	2021		2020				2021		2020

Advisory	$	390,508	$	182,081	114.5	%	$	701,947	$	525,239	33.6	%

Equity underwriting	324,462		124,383		160.9	%	819,268		256,075		219.9	%
Debt underwriting	285,730		81,027		252.6	%	483,147		198,179		143.8	%
Total underwriting	610,192		205,410		197.1	%	1,302,415		454,254		186.7	%
Other investment banking	32,971		(71,234)		N/M		62,796		(85,763)		N/M
Total investment banking	$	1,033,671	$	316,257	226.8	%	$	2,067,158	$	893,730	131.3	%

Three Months Ended
May 31, % Change Six Months Ended
May 31, % Change
2020 2019 2020 2019

Advisory $ 182,081
$ 178,554
2.0 % $ 525,239
$ 359,036
46.3 %

Equity underwriting 124,383
108,022
15.1 % 256,075
159,359
60.7 %
Debt underwriting 81,027
151,511
(46.5 )% 198,179
205,288
(3.5 )%
Total underwriting 205,410
259,533
(20.9 )% 454,254
364,647
24.6 %
Other investment banking (71,234 ) 9,634
N/M
(85,763 ) 1,992
N/M
Total investment banking $ 316,257
$ 447,721
(29.4 )% $ 893,730
$ 725,675
23.2 %
N/M — Not Meaningful

The following table sets forth our investment banking activities (dollars in billions):

Deals Completed Aggregate Value
Three Months Ended
May 31, Six Months Ended
May 31, Three Months Ended
May 31, Six Months Ended
May 31,
2020 2019 2020 2019 2020 2019 2020 2019
Advisory transactions (1) 35
52
101
96
$ 23.3
$ 48.9
$ 81.0
$ 101.1
Public and private debt financings 84
159
236
273
43.6
53.7
113.2
81.0
Public and private equity and convertible offerings (2) 50
49
106
70
25.4
17.4
37.2
20.4


~~(1)~~	The number of advisory deals completed includes seven and ten restructuring and recapitalization transactions during the three and six months ended May 31, 2020, respectively, and five and nine restructuring and recapitalization transactions during the three and six months ended May 31, 2019, respectively.


~~(2)~~	We acted as sole or joint bookrunner on 44 and 100 offerings during the three and six months ended May 31, 2020, respectively, and 47 and 68 offerings during the three and six and May 31, 2019, respectively.

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	Deals Completed				Aggregate Value
	Three Months Ended May 31,		Six Months Ended May 31,		Three Months Ended May 31,				Six Months Ended May 31,
	2021	2020	2021	2020	2021		2020		2021		2020
Advisory transactions	64	35	129	101	$	71.1	$	23.3	$	153.3	$	81.0
Public and private equity and convertible offerings	104	50	220	106	37.9		25.4		81.7		37.2
Public and private debt financings	201	84	364	236	105.9		43.6		182.6		113.2

Three Months Ended May 31, ~~2020~~2021

•Investment banking revenues for the three months ended May 31, ~~2020~~2021 were ~~$316.3 million,~~a record of $1.03 billion, compared with ~~$447.7~~$316.3 million for the three months ended May 31, ~~2019,~~2020, reflecting record revenues in investment banking advisory and debt underwriting and solid performance in ~~mergers, acquisitions and advisory and~~ equity underwriting, ~~offset by lower revenues~~as the global economy continues to improve and market conditions stabilize. Our investment in ~~debt underwriting~~our investment banking franchise and ~~writedowns and reserves from~~ our ~~Jefferies Finance joint venture.~~strategy to lead with our investment banking platform has delivered increased market share as is reflected in global rankings.

•Our advisory revenues were ~~$182.1~~a record $390.5 million, up $208.4 million, or ~~2.0% higher than~~114.5%, compared to the prior year comparable quarter, ~~and~~reflecting record performance in our ~~equity underwriting revenues were 15.1% higher than the prior year quarter. Our results in~~ mergers and acquisitions business as a result of the increased number of transactions and ~~equity~~higher average transaction deal values, as the mergers and acquisitions markets held strong due to the record low interest rate environment.

•Our underwriting ~~were offset by lower~~ revenues in debt underwriting, impacted by less acquisition finance activity and volatile debt markets. From equity and debt underwriting activities, we generated $124.4 million and $81.0 million in revenues, respectively, for the three months ended May 31, ~~2020, compared with $108.0~~2021 were a record $610.2 million, ~~and $151.5~~an increase of 197.1% from $205.4 million ~~in revenues, respectively,~~ in the prior year ~~quarter.~~comparable quarter, with record net revenues of $285.7 million in debt underwriting and strong quarterly net revenues in equity underwriting of $324.5 million, as companies continued to take advantage of the record low interest rate environment to access the debt capital markets and clients took advantage of the strong equity environment to raise equity capital in almost all sectors. In addition, our equity underwriting results in the current year quarter were driven by growth in initial public offerings, including our underwriting activities on 14 Special Purpose Acquisition Companies (“SPACs”) offerings and other SPAC-related transactions.

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•Other investment banking revenues were $33.0 million for the three months ended May 31, 2021, compared with a net loss of $71.2 million for the three months ended May 31, ~~2020, compared with revenues of $9.6 million for the three months ended May 31, 2019.~~2020. Other investment banking revenues during the three months ended May 31, ~~2020~~2021 include arecord net ~~loss~~revenues of ~~$49.7~~$41.7 million from our share of the net earnings of our Jefferies Finance joint venture, ~~reflecting~~compared with a net loss of $49.7 million in the prior year comparable quarter. Strong results in the current year quarter reflect higher loan arrangement volumes due to continued strength in the leveraged finance markets as borrowers took advantage of the low interest rate environment and strong volumes in the mergers and acquisition markets. Results in the prior year comparable quarter reflect unrealized losses related to the write-down of commitments and loans held-for-sale, as well as reserves recorded on the loan portfolio, ~~during the current year quarter,~~ primarily due to the impact of COVID-19 on the markets and the economy. ~~This compares with net revenues of $25.1 million from our share of the net earnings from our Jefferies Finance joint venture in the~~The prior year ~~quarter. Results in the current year~~comparable quarter also ~~includes a $9.5 million write-down~~included unrealized write-downs of a private equity ~~investment. The results~~investments received or acquired in connection with our investment banking activities. Our Other investment banking revenues in both ~~quarters also include~~periods are reduced by allocated interest expense and the amortization of costs ~~and allocated interest expense~~ related to our investment in the Jefferies Finance business.

•At May 31, 2021, our backlog of potential net revenues from future transactions was at a record level. As an indicator of net revenues in a given future period, backlog is subject to limitations. The time frame for the realization of revenues from these expected transactions varies and is influenced by factors we do not control. Transactions not included in the estimate may occur, and expected transactions may also be modified or cancelled.

Six Months Ended May 31, ~~2020~~2021

•

Investment banking revenues for the six months ended May 31, ~~2020~~2021 were a record of $2.07 billion, compared with $893.7 million for the six months ended May 31, 2020, ~~compared with $725.7 million in the prior year period,~~ reflecting record ~~performance~~six months revenues in equity and debt underwriting and in mergers and acquisitions, record results in equity underwriting and solid performance in debt underwriting. The prior year period results were also impacted by the severe market downturn in the early part of the prior year period, which heavily muted issuance activity, which was exacerbated by the five-week shutdown of the U.S. Government in late December and January, which further dampened new issue underwriting transactions.acquisitions.

•Our advisory revenues were a six months record ~~$525.2~~of $701.9 million, up ~~$166.2~~$176.7 million, or ~~46.3%~~33.6% higher than the prior year comparable period, ~~reflecting record performance~~primarily due to a significant increase in ~~our~~the number of deals and higher average transaction deal values, across most sectors, as the mergers and acquisitions ~~business.~~ markets held strong with high levels of activity due to the record low interest rate environment and the surge in the stock market.

•Our underwriting revenues for the six months ended May 31, ~~2020~~2021 were ~~$454.3 million,~~a six months record of $1.30 billion, an increase of ~~$89.6~~186.7% from $454.3 million ~~or 24.6%, from~~in the ~~same~~prior year comparable period, ~~last year, due to~~with record ~~results~~six months net revenues in equity underwriting of $819.3 million and ~~solid performance~~record six months net revenues of $483.1 million in debt underwriting, as clients took advantage of the strong equity environment to raise equity capital in almost all sectors and companies continued to take advantage of the low rate environment to access the debt capital markets with ~~broad contribution~~high levels of activity in the leveraged loan new issuance markets and record levels of high yield bond refinancing activity. In addition, our equity underwriting results in the current year include revenues of $191.9 million generated from our ~~sector teams and regional presence. From equity and debt~~ underwriting activities ~~we generated $256.1~~on 36 SPACs offerings and other SPAC-related transactions.

•Other investment banking revenues were $62.8 million ~~and $198.2 million in revenues, respectively,~~ for the six months ended May 31, ~~2020,~~2021, compared with ~~$159.4 million and $205.3 million in revenues, respectively, in the prior year period.~~

~~Other investment banking revenues were~~ a net loss of $85.8 million for the six months ended May 31, ~~2020, compared with revenues of $2.0 million for the six months ended May 31, 2019.~~2020. Other investment banking revenues during the six months ended May 31, ~~2020~~2021 include a net ~~loss~~revenues of ~~$39.3~~$72.3 million from our share of the net earnings of our Jefferies Finance joint venture, ~~reflecting~~compared with a net loss of $39.3 million in the prior year comparable period. Strong results in the current year period reflect high loan arrangement volumes due to continued strength in the leveraged finance markets as borrowers took advantage of the low interest rate environment, as well as a reduction in loan loss reserves. The results during the prior year comparable period included a higher level of reserves recorded on the loan portfolio and unrealized losses related to the write-down of ~~commitments and loans held-for-sale, as well as reserves recorded on the loan portfolio during the current year period, primarily~~certain equity investments due to the impact of COVID-19 on the markets and the economy. ~~This compares with net revenues of $23.9 million~~Results in the current year period also include revenues from mark-to-market activity on SPAC and SPAC-related transactions. The prior year comparable period ~~from~~also included unrealized write-downs of private equity investments received or acquired in connection with our ~~share of the net earnings from our Jefferies Finance joint venture.~~investment banking activities. Our Other investment banking ~~results during the six months ended May 31, 2020 also includes a $24.5 million write-down of a private equity investment. The results~~revenues in ~~the six months ended May 31, 2020~~both periods are reduced by allocated interest expense and ~~May 31, 2019 also included an aggregate of $39.3 million and $46.5 million, respectively, representing~~ the amortization of costs ~~and allocated interest expense~~ related to our investment in the Jefferies Finance business.

Equities Net Revenues

Equities is comprised of net revenues from:

•services provided to our clients from which we earn commissions or spread revenue by executing, settling and clearing transactions for clients;

•advisory services offered to clients;

•financing, securities lending ~~outsourced trading~~ and other prime brokerage services offered to ~~clients;~~clients, including capital introductions and outsourced trading; and

•wealth management ~~services, which includes providing clients access to all of our institutional execution capabilities.~~services.

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Three Months Ended May 31, ~~2020~~2021

•

In May, Greenwich Associates named us as the top firm in helping clients navigate the markets as COVID-19 significantly impacted equity markets in mid-March, causing volatility and increased trading volumes. These results were based on a survey they had recently conducted of more than 75 buy-side institutions evaluating brokers’ performances in providing clients with liquidity, hedging solutions, market color and insights.

Total equities net revenues ~~were $237.1~~of $242.9 million for the three months ended May 31, ~~2020,~~2021, a record for a second quarter and an increase of ~~15.1%~~2.5%, compared with ~~$206.1~~$237.1 million for the prior year comparable quarter, ~~primarily due to record results in certain of~~as our equities ~~businesses,~~franchise continues to gain market share and perform well in a market environment with a broad decline in market volumes and lower levels of client activity across several segments of the market.

•Our global cash equities business declined in the U.S., as a result of ~~increased volumes and~~lower client activity ~~as well as the continued diversification of~~and changes in market dynamics, while our ~~business both from a product~~international franchise in Europe and ~~geographic perspective. We believe we~~across Asia Pacific continued to ~~extend our~~grow, driven by ongoing momentum, market share gains and increased client ~~franchise as we were~~activity. Our electronic trading businesses in ~~a position to provide consistent and strong service to our clients throughout this unprecedented period.~~

~~Our results include record net revenues in our International cash equities businesses across both~~ Europe and ~~Asia-Pacific, as well as across every region in~~Asia Pacific had continued growth and momentum, while our ~~market-leading global~~U.S. electronic trading ~~franchise. We also~~business had lower revenues, as our results in the prior year comparable quarter reflected record ~~net~~ revenues driven by significantly higher global market volatility. Results in our prime services franchise, consisting of prime brokerage, ~~business.~~

~~Results in our European~~outsourced trading and ~~Asian cash equities businesses~~securities finance, were higher driven by increased client balances and improved trading in our securities finance franchise, as well as continued growth in outsourced trading for hedge fund clients, partially offset by decreased client activity ~~and trading~~in other areas as well as muted money market revenue ~~which is~~as a result of low short-term interest rates. Our equity derivatives business had higher ~~market volumes and the expansion we’ve made in advisory and execution capabilities across Asia-Pacific. The record~~quarterly results ~~in our global electronic trading business were~~ driven by ~~increased global market volumes, volatility,~~an increase in client activity and ~~the continued strength of the global platform. Our prime brokerage business also had record quarterly~~improved trading results ~~as the business benefited from the continued growth and expansion~~due to a strengthening of our ~~outsourced trading business.~~human capital. Our ~~equity options business~~global convertibles franchise had ~~double-digit growth,~~increased revenues both in the U.S. and internationally, driven by improved trading results and ~~higher volatility.~~market conditions.

Our Americas cash equities business posted lower results driven by trading activity and the COVID-19 related market sell-off, partially offset by higher levels of client activity. Our global convertibles business had lower results driven by trading conditions as a result of the COVID-19 market environment. Results in our Securities Finance business were lower due to reduced trading activity and the overall market environment.

•The increase in our global equities net revenues ~~was partially offset by higher~~is also reflective of losses on certain block positions in the prior year quarter that were not repeated in the current year ~~quarter.~~quarter and our current year quarter results also include mark-to-market losses from SPAC-related activity.

Six Months Ended May 31, ~~2020~~2021

•

Total equities net revenues were ~~a record $482.8~~$774.0 million for the six months ended May 31, ~~2020,~~2021, an increase of ~~26.8%~~60.3%, compared with ~~$380.6~~$482.8 million for the prior year comparable period, ~~primarily due to strong~~driven by all-time six months record results in ~~most of~~predominately all our equities businesses ~~as a result of increased market volumes~~ and ~~client activity, higher levels of volatility, and the continued diversification~~across each of our ~~business both~~core regions in the current year period. Our equities franchise continues to gain market share and benefited significantly from ~~a product as well as geographic perspective. We believe we increased our market share~~the favorable trading environment and SPAC-related activity in the U.S., particularly in the first quarter of ~~this~~the current year.

•In the current year, we received recognition from leading third-party market surveys - Our international convertibles franchise was ranked 1st in both European and ~~additionally~~Asian, excluding Japan, convertibles by Greenwich Associates. Bloomberg ranked our electronic trading platform as 2nd in the U.S. Hedgeweek named us as the Best U.S. Prime Broker and we ~~were~~doubled the number of analysts ranked in ~~a position to provide consistent and strong service to our clients throughout this unprecedented period, we continued to extend our client franchise.~~the Japanese Institutional Investor survey.

•Our ~~overall results include record net revenues in our International~~ cash equities ~~businesses~~business had record results globally and across ~~both~~each region in the U.S., Europe and ~~Asia-Pacific, as well as across every region in~~Asia Pacific. Overall, our ~~market-leading global electronic trading franchise.~~

~~Results in our global~~ cash equities ~~businesses~~results were driven by significant client activity, meaningful trading revenue and SPAC-related activity. Record results in our electronic trading business were driven by higher commissions and growth in our European and Asia Pacific businesses. Overall, our international electronic trading franchise continued to benefit from our globalization and expansion strategy. Our prime services franchise, consisting of prime brokerage, outsourced trading and securities finance, had record results driven by higher balances and increased client activity, ~~market volumes and~~ improved trading. While global market volumes and higher volatility drove an increase in commissions, our results in Asia-Pacific were also driven by our expansion and investment in the region across advisory and execution capabilities. Our global electronic trading business achieved record results, which were driven by increased global market volumes, volatility, and the continued strength of the global platform. Our equity options business had double-digit growth, driven by higher volatility and improved trading. Our domestic and international convertibles business also had increased growth, driven by strong secondary trading activity, primarily in the U.S., and exceptional strength in the first quarter, globally.

The increase and record results in our global equities business was partially offset by lower revenues in our prime services businesses, driven by client activity in prime brokerage and reduced trading activity in our securities finance business, ~~due to the impact of COVID-19.~~

~~The increase~~ and continued growth and momentum in our outsourced trading franchise. Our global convertibles franchise had record results driven by strong trading activity and continued market-leading competitive positioning. Results in our ~~global equities net revenues was partially offset~~equity derivatives business were significantly higher at record levels, driven by improved trading results and higher ~~losses on certain block positions in the current year period.~~commission levels.

Fixed Income Net Revenues

Fixed income is comprised of net revenues from:

•executing transactions for clients and making markets in securitized products, investment grade, high-yield, distressed, emerging markets, municipal and sovereign securities and bank loans, as well as foreign exchange execution on behalf of clients;

•interest rate derivatives and credit derivatives; and

•financing services offered to clients.

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~~interest rate derivatives and credit derivatives.~~

Three Months Ended May 31, ~~2020~~2021

•Fixed income ~~record~~ net revenues totaled $257.2 million for the three months ended May 31, 2021, a decrease of 47.8% from net revenues of $493.1 million for the three months ended May 31, 2020, 2020, driven by reduced trading volumes and client activity across most products and regions, as the momentum we experienced in 2020 and the first quarter of 2021 dissipated due to increasing inflation expectations, treasury yield volatility and tightening spreads. The prior year comparable quarter, which was an ~~increase~~all-time record quarter for our fixed income businesses, benefited significantly from increased trading opportunities as a result of ~~184.6% from net~~the U.S. Federal Reserve Bank and other government interventions to support the markets.

•Net revenues ~~of $173.3 million for~~in the ~~three months ended May 31, 2019,~~current year quarter were higher in our U.S. securitized markets group due to strong demand in the securitization markets, as compared with the prior year comparable quarter. Revenues also improved as a result of ongoing investments in our European securitized markets business. In addition, the current year quarter results benefited from trading ~~volumes from~~gains in our municipal securities business compared to the equivalent prior year comparable quarter when markets experienced a significant sell-off due to the impact of COVID-19.

•Our results include lower revenues in our U.S. and International rates businesses due to a decline in trading opportunities, compared with the prior year comparable quarter, which experienced record trading volumes as the effect of COVID-19 onand the associated government support impacted the markets. Lower results across our global credit franchise and emerging markets business were driven by a decline in revenues across ~~many~~most regions and products due to reduced client activity and lower levels of ~~our fixed income businesses. The following highlights~~volatility in the ~~main components~~current year quarter, as these businesses benefited significantly from the government support of the ~~results:~~credit markets in the prior year comparable quarter.


◦	Fixed income record net revenues for the three months ended May 31, 2020 were a record in our U.S. and international rates, leveraged credit, Europe and Asia credit, investment grade corporates and emerging markets businesses.


◦	Our U.S. and international rates businesses delivered record net revenues in the current year quarter, primarily due to increased trading opportunities as a result of the U.S. Federal Reserve Bank and other government interventions to support the markets during the quarter. Our international rates business in the prior year quarter underperformed due to a subdued market environment.

◦

Similarly, our leveraged credit, European and Asian credit and investment grade corporates businesses performed well due to increased client activity, higher levels of volatility and trading opportunities that presented in April and May of the current year quarter as compared with the prior year quarter. Our global emerging markets business similarly benefited in the current year quarter, with government support of the credit markets driving increased trading activity, especially in the latter part of the quarter.

◦

The current year quarter results were partially offset by trading losses in our municipal securities business, which was impacted by the significant sell-off in this business due to the impact of COVID-19. Revenues in our U.S. and international securitized markets groups were also lower in the current year quarter due to a decline in demand in the securitization markets for those product classes and trading losses in certain asset classes as credit spreads widened for structured products.

Six Months Ended May 31, ~~2020~~2021

•Fixed income net revenues totaled $620.6 million for the six months ended May 31, 2021, a ~~record~~decrease of 16.3% from net revenues of $741.3 million for the six months ended May 31, 2020, ~~an increase~~driven by reduced trading volumes across most products and regions in the second quarter of ~~100.4% from net revenues of $370.0 million for~~the current year period. While the six ~~months~~month period revenues decreased from that of the comparable six month period, fixed income results produced the second best six month fixed income revenue period on record with the six month period ended May 31, ~~2019, primarily due to~~2020 representing an all-time record six month results. The prior year comparable period significantly benefited from strong trading volumes asdue to extremely active markets ~~were more active,~~ and ~~the fixed income businesses’ results reflect having successfully managed through the markets’~~ high ~~level~~levels of volatility during the ~~period. The following highlights the main components~~period, as a result of the ~~results:~~U.S. Federal Reserve Bank and other government interventions to support the markets.

◦

Our U.S. and international rates businesses had record net revenues in the current year period, as there were more trading opportunities in the U.S. treasuries trading market in the first half of the period and increased trading opportunities as a result of the U.S. Federal Reserve Bank and other government interventions due to the impact of COVID-19 in the second half of the period. Our international rates business in the prior year period underperformed as concerns over Brexit and economic challenges in other countries limited trading opportunities in the prior year period.

◦

Similarly, our leveraged credit, European and Asian credit and investment grade corporates businesses performed well due to increased client activity and higher levels of volatility throughout most of the current year period. Our global emerging markets business similarly benefited in the current year period, with more favorable market conditions which drove strong investor demand and an increase in new issuance in certain countries in the first half of the period, while government support of the credit markets drove increased trading activity in the second half of the period.

◦

The current year period results were partially offset by trading losses in our municipal securities business, which was impacted by the significant sell-off in this business due to the impact of COVID-19 in the second half of the current year period. Revenues in our U.S. and international securitized markets groups were also lower in the current year period due to a decline in demand in the securitization markets for those product classes and trading losses in certain asset classes as credit spreads widened for structured products.

•Net revenues in the current year period were higher in our U.S. and international securitized markets groups on increased demand for most of these product classes, as compared with the prior year comparable period. Our revenues also benefited from ongoing investments across our European credit franchise. In addition, current year period results benefited from trading gains in our municipal securities business compared to the comparable prior year period when markets experienced a significant sell-off due to the impact of COVID-19.

•Our results include lower revenues in our U.S. and International rates businesses due to a decline in trading opportunities, which were impacted by lower levels of volatility during the current year period, as the prior year comparable period benefited from significant government interventions. Lower results across our Asian credit, investment grade corporates and emerging markets businesses, as well as our high yield and loan trading businesses, resulted from a decline in revenues across most regions and products due to reduced client activity and lower levels of volatility in the current year period, as these businesses benefited significantly from the government support of the credit markets in the prior year comparable period.

Other

Other is comprised of revenues from:

•Berkadia and other investments (other than Jefferies ~~Finance)~~Finance, which is included in Other investment banking);

•principal investments in private equity and hedge funds managed by ~~third parties~~third-parties or related parties and are not part of our Leucadia Asset Management platform; and

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~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

investments held as part of employee benefit plans, including deferred compensation plans (for which we incur an equal and offsetting amount of compensation ~~expenses)~~expense).

Three Months Ended May 31, ~~2020~~2021

~~Net~~•Our other net revenues ~~from our other business category were a~~totaled $39.1 million for the three months ended May 31, 2021, an increase of $56.8 million compared with net ~~loss~~losses of $17.7 million for the three months ended May 31, ~~2020, a decrease~~2020.

Table of ~~$49.9 million compared with net revenues of $32.2 million for the three months ended May 31, 2019.~~Contents

JEFFERIES GROUP LLC AND SUBSIDIARIES

•Results in the ~~prior~~current year quarter include net revenues of ~~$25.3~~$30.7 million due to our share of the net income of Berkadia due to higher mortgage origination, compared with negligible net revenues from Berkadia in the ~~current~~prior year comparable quarter. Results in the prior year comparable quarter are due to the impairment of mortgage servicing rights as a result of lower interest rates, higher loan loss provisions and a decline in loan originations due to the impact of COVID-19.

•The results in the current year quarter also include unrealized net mark-to-market ~~losses~~gains related to certain investments, compared with mark-to-market ~~gains~~losses in the prior year comparable quarter.

Six Months Ended May 31, ~~2020~~2021

~~Net~~•Our other net revenues ~~from our other business category~~ totaled $70.8 million for the six months ended May 31, 2021, an increase of $11.0 million compared with net revenues of $59.8 million for the six months ended May 31, ~~2020, an increase~~2020.

•The results in the prior year period included gains of ~~$18.6~~$61.5 million ~~compared with net revenues~~from macro hedges that were bought and sold in the prior year comparable period at the onset of ~~$41.2 million for~~ the ~~six months ended May 31, 2019.~~COVID-19 pandemic.

•Results in the current year period include ~~gains of $61.5 million from hedges that were bought and sold in February to offset the anticipated severe drop in the equity markets at the end of the first quarter.~~

~~Results in the current year period also include~~ net revenues of ~~$21.9~~$60.7 million due to our share of the net income of Berkadia compared with ~~net revenues of $47.9~~$21.9 million in the prior year comparable period. The lower results in the prior year comparable period ~~as the second half of the current year period includes~~are due to the impairment of mortgage servicing rights as a result of lower interest rates, higher loan loss provisions and a decline in loan originations due to the impact of COVID-19.

Asset Management

Our asset management business is a diversified alternative asset management platform offering institutional clients an innovative range of investment strategies through us and our affiliated asset managers. We provide certain of our affiliated asset managers access to fully integrated global operational infrastructure and support. This may include strategy and product development, daily operations and finance-related activities, compliance, legal and human resources support, as well as all aspects of business development.

Asset management revenue includes the following:

•management and performance fees from funds and accounts managed by us;

•revenue from ~~strategic partners pursuant to agreements~~affiliated asset managers in which we hold interests that entitle us to portions of ~~our partner’~~their revenues and/or profits; and

•investment income from ~~our investments~~capital invested in and managed by us, Jefferies and our affiliated asset ~~management business and other strategic partners.~~managers.

The key components of asset management revenues are the level of assets under management and the performance return, ~~whether~~for the most part on an absolute basis, orand, in certain cases, relative to a benchmark or hurdle. These components can be affected by financial markets, profits and losses in the applicable investment portfolios and client capital activity. Further, asset management fees vary with the nature of investment management services. The terms under which clients may terminate our investment management authority, and the requisite notice period for such termination, varies depending on the nature of the investment vehicle and the liquidity of the portfolio assets. Performance fees and similar revenues are generally recognized once a year, typically in December, atwhen they become fixed and determinable and are not probable of being significantly reversed. As a result, performance fees and similar revenues are generally realized and recognized in the ~~end~~first quarter of our fiscal year creating a timing lag between investment returns generated in a calendar year with the ~~relevant~~associated performance ~~period, to the extent that the benchmark return has been met.~~fees recognized in our following fiscal year.

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The following summarizes the results of our Asset Management businesses by asset class (dollars in thousands):


	Three Months Ended May 31,				% Change		Six Months Ended May 31,				% Change
	2021		2020				2021		2020
Asset management fees:
Equities	$	624	$	1,073	(41.8)	%	$	5,623	$	3,947	42.5	%
Multi-asset	1,691		1,164		45.3	%	3,605		2,694		33.8	%
Total asset management fees	2,315		2,237		3.5	%	9,228		6,641		39.0	%
Revenue from strategic affiliates (1)	12,252		2,339		423.8	%	42,722		9,655		342.5	%
Total asset management fees and revenues	14,567		4,576		218.3	%	51,950		16,296		218.8	%
Investment return	41,326		13,944		196.4	%	184,199		34,783		429.6	%
Allocated net interest	(11,439)		(12,985)		(11.9)	%	(21,838)		(23,677)		(7.8)	%
Total Asset Management	$	44,454	$	5,535	703.1	%	$	214,311	$	27,402	682.1	%

Three Months Ended
May 31, % Change Six Months Ended
May 31, % Change
2020 2019 2020 2019
Asset management fees:
Equities $ 1,073
$ 168
538.7 % $ 3,947
$ 2,712
45.5 %
Multi-asset 1,164
4,382
(73.4 )% 2,694
8,507
(68.3 )%
Total asset management fees 2,237
4,550
(50.8 )% 6,641
11,219
(40.8 )%
Revenue from arrangements with strategic partners (1) 2,339
549
326.0 % 9,655
911
959.8 %
Total asset management fees and revenues 4,576
5,099
(10.3 )% 16,296
12,130
34.3 %
Investment return 13,944
47,526
(70.7 )% 34,783
79,576
(56.3 )%
Allocated net interest (12,985 ) (10,049 ) 29.2 % (23,677 ) (21,659 ) 9.3 %
Total Asset Management $ 5,535
$ 42,576
(87.0 )% $ 27,402
$ 70,047
(60.9 )%

(1)These amounts include our share of fees received by affiliated asset management companies with which we have revenue and profit share arrangements.

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~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~


~~(1)~~	~~These amounts include our share of fees received by third party asset management companies with which we have revenue and profit share arrangements.~~

Three Months Ended May 31, ~~2020~~2021

•Asset management net revenues in the three months ended May 31, ~~2020~~2021 were $44.5 million, significantly higher than the $5.5 million ~~compared with $42.6 million~~recorded in the prior year ~~quarter.~~comparable quarter, driven by investments in new platforms, higher investment returns across many platforms and an increase in asset management fees and revenues. The ~~decrease was primarily due to~~results in the prior year comparable quarter were impacted by lower investment returns infrom certain of our investments in separately managed accounts and funds due to the impact of COVID-19 on the markets and ~~economy during~~economy. Results in the current year quarter include $14.6 million in management, performance and similar fees and revenues earned directly or through our strategic affiliates, as compared with $4.6 million in the prior year comparable quarter.

Six Months Ended May 31, ~~2020~~2021

•Asset management net revenues in the six months ended May 31, ~~2020~~2021 were a six months record of $214.3 million, significantly higher than the $27.4 million ~~compared with $70.0 million~~recorded in the prior year ~~period.~~period, driven by meaningfully higher investment returns across most platforms, investments in new platforms and a substantial increase in asset management fees and revenues. The ~~decrease was due to~~results in the prior year comparable period were impacted by lower investment returns infrom certain of our investments in separately managed accounts and funds due to the impact of COVID-19 on the markets and ~~economy during the second half of~~economy. Results in the current year period ~~partially offset by higher revenues from our share of fees received by third party asset~~include $52.0 million in management, ~~companies with which we have revenue~~performance and ~~profit share arrangements. Asset management~~similar fees and revenues ~~from arrangements~~earned directly or through our strategic affiliates, as compared with ~~strategic partners increased from $12.1~~$16.3 million ~~for~~in the prior year ~~period~~comparable period. Performance fees and similar revenues are generally realized and recognized once a year in the first quarter of our fiscal year and are attributable to ~~$16.3 million for~~performance realized in respect of the ~~six months ended May 31, 2020.~~calendar year ending during our first fiscal quarter.

Assets under Management

~~Assets~~The tables below include only third-party assets under management by us, excluding those of our affiliated asset managers.

Period-end assets under management by predominant asset class were as follows (in millions):


	May 31, 2021		November 30, 2020
Assets under management (1):
Equities	$	326	$	481
Multi-asset	442		173
Total	$	768	$	654

(1)Assets under management include third-party net assets actively managed by us, including hedge funds and certain managed accounts. We may consolidate certain funds and for such consolidated funds, assets under management includes the pro-rata portion of third-party net assets in consolidated funds based on the percentage ownership of third-party investors in the consolidated fund. The above amounts do not include assets under management at non-consolidated strategic partners or investments or Jefferies Financial Group Inc. (“Jefferies”).

May 31, 2020 November 30, 2019
Assets under management (1):
Equities $ 483
$ 110
Multi-asset (2) 396
730
Total $ 879
$ 840

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~~(1)~~

Assets under management include third-party net assets actively managed by us, including hedge funds and certain managed accounts. The amounts at May 31, 2020 and November 30, 2019 also include $149 million and $150 million, respectively, of assets under management in a strategy, which represents a net asset value equivalent of an asset management strategy where we earn performance fees. We may consolidate certain funds and for such consolidated funds, assets under management includes the pro-rata portion of third-party net assets in consolidated funds based on the percentage ownership of third-party investors in the consolidated fund. The above amounts do not include assets under management at non-consolidated strategic partners or investments or Jefferies Financial Group Inc. (“Jefferies”).


~~(2)~~	~~Subsequent to May 31, 2020, these assets under management are in the process of being liquidated and the funds will be returned to the third-party investors.~~

JEFFERIES GROUP LLC AND SUBSIDIARIES

Change in assets under management were as follows (in millions):


	Three Months Ended May 31,				Six Months Ended May 31,
	2021		2020		2021		2020
Asset under management:
Balance, beginning of period	$	773	$	924	$	654	$	840
Net cash flows in (out)	4		(19)		101		120
Net market appreciation (depreciation)	(9)		(26)		13		(81)
Balance, end of period	$	768	$	879	$	768	$	879

Three Months Ended
May 31, Six Months Ended
May 31,
2020 2019 2020 2019
Asset under management:
Balance, beginning of period $ 924
$ 1,110
$ 840
$ 1,463
Net cash flow in (out) (19 ) (152 ) 120
(525 )
Net market appreciation (depreciation) (26 ) (6 ) (81 ) 14
Balance, end of period $ 879
$ 952
$ 879
$ 952

The change in assets under management during the three months ended May 31, 2021 is primarily due to redemptions from certain funds that are in the process of being liquidated and net market depreciation, partially offset by new subscriptions and investments from third-parties. The change in assets under management during the six months ended May 31, 2021 is primarily due to the transfer of third-party net assets from Jefferies to us, new subscriptions and investments from third-parties and net market appreciation, partially offset by redemptions from certain funds that are in the process of being liquidated. The change in assets under management during the three months ended May 31, 2020 is primarily due to redemptions from certain funds and market depreciation due to the impact of COVID-19 on the markets and economy. The change in assets under management during the six months ended May 31, 2020 is primarily due to new subscriptions and investments from third-parties, partially offset by market depreciation due to the impact of COVID-19 on the markets and economy. ~~The change in assets under management during the three and six months ended May 31, 2019 is primarily due to redemptions from certain funds and separately managed accounts.~~

Our definition of assets under management is not based on any definition contained in any of our investment management agreements and differs from the manner in which “Regulatory Assets Under Management” is reported to the SEC on Form ADV.

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Asset Management Investments

~~Our~~In connection with building our business and growing the revenues we participate in via our affiliated managers, our asset management business ~~invests~~makes seed and additional strategic investments directly in ~~hedge funds and~~alternative asset management separately managed accounts and co-mingled funds where we or our Parent ~~acts~~act as the asset ~~manager. Additionally,~~manager or in affiliated asset managers where we ~~make investments~~have strategic relationships and participate in ~~and enter into revenue sharing arrangements with third-party asset managers. Subsequent to May 31, 2020, $78.8 million~~the revenues or profits of the ~~asset management investments included~~affiliated manager. Included in the table below at May 31, ~~2020~~2021 are $21.2 million of asset management investments that are in the process of being liquidated due to the wind down of ~~an asset management platform~~a fund and ~~the liquidation of funds. The following table represents our investments by asset manager (in thousands):~~

May 31, 2020 November 30, 2019
Jefferies Group LLC; as manager:
Fund investments (1) $ 17,652
$ 22,695
Separately managed accounts (2) 300,475
344,549
Total $ 318,127
$ 367,244

Jefferies Financial Group Inc.; as manager:
Fund investments $ 224,166
$ 218,109
Separately managed accounts (2) 46,072
43,153
Total $ 270,238
$ 261,262

Third-party as asset manager:
Fund investments (3) $ 605,415
$ 289,930
Separately managed accounts (2) 232,069
266,484
Total $ 837,484
$ 556,414

Total asset management investments (4) $ 1,425,849
$ 1,184,920

~~(1)~~

Due to the level or nature of an investment in a fund, we may consolidate that fund; and accordingly, the assets and liabilities of the fund are included in the representative line items in our consolidated financial statements. At May 31, 2020 and November 30, 2019, $17.5 million and $22.6 million, respectively, represents net investments in funds that have been consolidated in our financial statements.


~~(2)~~	~~Where we have investments in a separately managed account, the assets and liabilities of such account are presented on our balance sheet within each respective line item.~~


~~(3)~~	~~The increase for the six months ended May 31, 2020 was primarily due to an investment in a new fund in the current year period.~~

~~(4)~~

Of the $1,425.8 million total invested in the funds at May 31, 2020, $1,129.8 million was sourced from the proceeds of long-term and permanent capital. At May 31, 2020 and November 30, 2019, we have borrowed $296.0 million and $135.0 million, respectively, under a credit facility agreement (“Credit Facility”) with JPMorgan Chase Bank, N.A., which is secured by our investment in a fund managed by Jefferies, with a carrying value of $224.2 million and $218.1 million at May 31, 2020 and November 30, 2019, respectively, and our investment in a fund managed by a third-party with a carrying value of $284.7 million at May 31, 2020.

a separately managed account. Our asset management investments generated an investment return of $41.3 million and $184.2 million for the three and six months ended May 31, 2021, respectively, and $13.9 million and $34.8 million for the three and six months ended May 31, 2020, ~~respectively,~~respectively. The following table represents our investments by asset manager (in thousands):


	May 31, 2021		November 30, 2020
Jefferies Group LLC; as manager:
Fund investments (1)(2)	$	145,803	$	25,292
Separately managed accounts (3)	299,924		342,443
Total	$	445,727	$	367,735

Jefferies Financial Group Inc.; as manager:
Fund investments (2)	$	—	$	233,601

Total	$	—	$	233,601

Strategic affiliates; as asset manager:
Fund investments	$	703,961	$	641,185
Separately managed accounts (3)	298,239		261,273

Total	$	1,002,200	$	902,458

Total asset management investments	$	1,447,927	$	1,503,794

(1)Due to the level or nature of an investment in a fund, we may consolidate that fund; and ~~$47.5~~accordingly, the assets and liabilities of the fund are included in the representative line items in our consolidated financial statements. At May 31, 2021 and November 30, 2020, $20.1 million and ~~$79.6~~$0.1 million, ~~for~~respectively, represents net investments in funds that have been consolidated in our financial statements.

(2)In the ~~three and~~ six months ended May 31, ~~2019, respectively.~~2021, certain fund investments, for which Jefferies Financial Group Inc. had acted as the manager, were transferred to us as the manager.

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(3)Where we have investments in a separately managed account, the assets and liabilities of such account are presented in our consolidated financial statements within each respective line item.

We and our affiliated asset managers (including our Jefferies Finance joint venture) have aggregate net asset values or net asset value equivalent assets under management of approximately $22.5 billion and $21.0 billion at May 31, 2021 and November 30, 2020, respectively. Net asset values or net asset value equivalent assets under management are comprised of the fair value of the net assets of a fund, the net capital invested in a separately managed account or the par value of collateralized loan obligations. These include the following:

•Net asset values of investments made by us or by Jefferies in funds or separately managed accounts were $2.4 billion at May 31, 2021 and $2.6 billion at November 30, 2020. We invest in certain strategies using our own capital often before opening investments to outside capital. The net asset values include our capital of $1.4 billion at May 31, 2021 and $1.5 billion at November 30, 2020 plus amounts financed of $1.0 billion at May 31, 2021 and $1.1 billion at November 30, 2020. Revenues related to the investments made by us are presented in Investment return within the results of our Asset Management businesses.

•The assets under management by affiliated asset managers with whom we have an ongoing profit or revenue sharing arrangement were $8.7 billion at May 31, 2021 and $6.9 billion at November 30, 2020. In some instances, due to the timing of payments and crystallization of underlying profits or revenue, the revenue related to these relationships will be realized and recognized once per year at the calendar year-end (during our first fiscal quarter). Revenues from our share of fees received by affiliated asset managers are presented in Revenue from strategic affiliates within the results of our Asset Management businesses.

•Third-party investments actively managed by our wholly-owned managers were $0.8 billion at May 31, 2021 and $0.7 billion at November 30, 2020. We earn asset management fees as a result of the third-party investments, which are presented in Asset management fees and revenues within the results of our Asset Management businesses.

•Asset management activities within Jefferies Finance were $10.6 billion at May 31, 2021 and $10.8 billion at November 30, 2020, which represent the aggregate par value of CLOs managed by Jefferies Finance, including those consolidated by Jefferies Finance. Although our asset management business provides advice and support, including marketing and sales, to Jefferies Finance, our management evaluates segment performance based on the inclusion of our share of the net earnings of our Jefferies Finance joint venture in our Investment Banking and Capital Markets reportable business segment. Those activities are therefore excluded from our Asset Management reportable business segment results. Revenues from our investment in Jefferies Finance are accounted for under the equity method and presented in Other revenues on the Consolidated Statement of Earnings.

Non-interest Expenses

Non-interest expenses were as follows (dollars in thousands):


	Three Months Ended May 31,				% Change			Six Months Ended May 31,							% Change				Three Months Ended May 31,									% Change					Six Months Ended May 31,								% Change
	2020		2019				2020				2019						2021						2020								2021					2020
Compensation and benefits	$	571,547	$	477,885		19.6	%		$	1,206,777			$	849,570			42.0	%	Compensation and benefits		$	789,836				$	571,547			38.2		%			$	1,909,730			$	1,206,777			58.3		%
Non-compensation expenses:																	Non-compensation expenses:
Floor brokerage and clearing fees	77,619		62,474		24.2	%		138,199				114,451			20.7	%	Floor brokerage and clearing fees		76,617					77,619					(1.3)		%			153,197				138,199				10.9		%
Technology and communications	95,594		81,645		17.1	%		184,778				160,815			14.9	%	Technology and communications		107,962					95,594				12.9		%			212,303				184,778				14.9		%
Occupancy and equipment rental	24,395		29,748		(18.0	)%		51,898				58,287			(11.0	)%	Occupancy and equipment rental		32,839					24,395				34.6		%			60,829				51,898				17.2		%
Business development	8,359		36,349		(77.0	)%		38,316				66,904			(42.7	)%	Business development		27,023					8,359				223.3		%			45,004				38,316				17.5		%
Professional services	41,994		38,066		10.3	%		86,659				74,993			15.6	%	Professional services		59,780					41,994				42.4		%			104,068				86,659				20.1		%
Underwriting costs	12,485		12,823		(2.6	)%		30,014				21,398			40.3	%	Underwriting costs		33,031					12,485				164.6		%			69,167				30,014				130.4		%
Other	29,506		7,723		282.1	%		60,176				23,428			156.9	%	Other		61,031					29,506				106.8		%			92,017				60,176				52.9		%
Total non-compensation expenses	289,952		268,828		7.9	%		590,040				520,276			13.4	%	Total non-compensation expenses		398,283					289,952				37.4		%			736,585				590,040				24.8		%
Total non-interest expenses	$	861,499	$	746,713	15.4	%		$	1,796,817			$	1,369,846		31.2	%	Total non-interest expenses		$	1,188,119				$	861,499			37.9		%			$	2,646,315			$	1,796,817			47.3		%

Compensation and Benefits

•Compensation and benefits expense consists of salaries, benefits, commissions, annual cash compensation and share-based awards and the amortization of share-based and cash compensation awards to employees.

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•Cash and share-based awards and a portion of cash awards granted to employees as part of year end compensation generally contain provisions such that employees who terminate their employment or are terminated without cause may continue to vest in their awards, so long as those awards are not forfeited as a result of other forfeiture provisions (primarily non-compete clauses) of those awards. Accordingly, the compensation expense for a portion of awards granted at year end as part of annual compensation is recorded induring the year of the award. Compensation and benefits expense includes amortization expense associated with these awards to the extent ~~there are respective~~vesting is contingent on future ~~service periods.~~service. In addition, the senior executive awards contain market and performance ~~conditions.~~conditions and the awards are amortized over their service periods.

•Compensation and benefits expense was $789.8 million and $1.91 billion for the three and six months ended May 31, 2021, respectively, compared with $571.5 million and ~~$1,206.8 million~~$1.21 billion for the three and six months ended May 31, 2020, respectively, ~~compared with $477.9 million and $849.6 million for the three and six months ended May 31, 2019, respectively,~~ increasing in line with ~~our~~the significant increase in our net revenues. A significant portion of our compensation expense ~~remains~~is highly ~~variable.~~variable with net revenues.

•Compensation and benefits expense as a percentage of Net revenues was 48.8% and 51.0% for the three and six months ended May 31, 2021, respectively, compared with 55.3% and 54.7% for the three and six months ended May 31, 2020, respectively, compared with 53.0% and 53.5% for the three and six months ended May 31, 2019, respectively, or 2.3% and 1.2% of net revenues higher, in the three and six month periods, respectively, due to the change in the mix of our net revenues, with higher revenues in our core operating businesses and lower net revenues from our Jefferies Finance joint venture and Other businesses, including our investment in Berkadia.respectively.

•Compensation expense related to the amortization of share- and cash-based awards amounted to $53.7 million and $95.8 million for the three and six months ended May 31, 2021, respectively, compared with $84.7 million and $168.5 million for the three and six months ended May 31, 2020, ~~respectively, compared with $73.1 million and $145.8 million~~respectively. The decrease is primarily a result of the accelerated amortization recognized in the year ended November 30, 2020 of certain cash-based awards that had been granted during previous years, which were amended to remove any service requirements for vesting in the ~~three and six months ended~~awards.

•Employee headcount was 4,121 at May 31, ~~2019, respectively, reflecting~~2021, an increase of 271 employees from our ~~hiring in recent periods.~~

~~Employee~~ headcount ~~was~~of 3,850 at May 31, ~~2020 and 3,656 at May 31, 2019. Since May 31, 2019, our~~2020. Our headcount increased ~~by 136 employees in Asia over this period, primarily~~across the regions as a result of ~~our expansion in equities in Asia. We also had~~ continued ~~additions in~~investment to support and drive the growth of our investment banking ~~and asset management businesses,~~business, as well as additions in technology and other corporate services staff to support our growth. The increase was partially offset by a reduction in our asset management business due to ~~continued business growth.~~the wind down of an asset management platform.

•Refer to Note ~~15,~~14, Compensation Plans, in our consolidated financial statements included in this Quarterly Report on Form 10-Q, for further details on compensation and benefits.

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Non-Compensation Expenses

Three Months Ended May 31, ~~2020~~2021

•Non-compensation expenses were ~~$290.0~~$398.3 million for the three months ended May 31, ~~2020,~~2021, an increase of ~~$21.2~~$108.3 million, or ~~7.9%~~37.4%, compared with ~~$268.8~~$290.0 million in the three months ended May 31, ~~2019.~~ 2020.

•The increase in non-compensation expenses was primarily due to higher ~~Floor brokerage and clearing fees~~Underwriting costs, primarily due to record investment banking net revenues resulting from an increase in ~~trading volumes across~~ the ~~equities~~volume of investment banking transactions and ~~fixed income businesses. The increase was also due to~~ higher Technology and communication expenses, primarily related to ~~increased market data and connectivity usage and~~ costs associated with the development of various trading systems and increased market data costs associated with ~~our move to a largely remote working environment. The increase in~~business growth. Technology and communication expenses in the prior year comparable quarter also included the acceleration of certain costs related to the wind down of an asset management business. Non-compensation expense also increased due to higher Other expenses, which included our charitable donations of $8.6 million, in memory of Peg Broadbent, our longstanding, esteemed CFO who tragically died from complications of COVID-19 in March. The increase ~~in Other expenses~~ also included ~~a write-off of goodwill and intangible assets related to the wind down of the same asset management platform. The increase in non-compensation expenses was partially offset by lower~~higher Business development expenses as ~~business travel and hosted events were curtailed due to COVID-19.~~

~~Non-compensation expenses as~~ a ~~percentage~~result of ~~Net revenues was 28.0% and 29.8% for the three months ended May 31, 2020 and May 31, 2019, respectively, demonstrating the operating leverage inherent in our business.~~

~~Six Months Ended May 31, 2020~~

Non-compensation expenses were $590.0 million for the six months ended May 31, 2020, an increase of $69.7 million, or 13.4%, compared with $520.3 million in the six months ended May 31, 2019. The increase in non-compensation expenses was primarily due to higher Floor brokerage and clearing fees due to an increase in trading volumes primarily across our equities businesses, as well as in the fixed income businesses. The increase was also due to higher Technology and communication expenses primarily related to costs associated with the ~~development of various trading systems, increased market data~~increase in investment banking activity and ~~connectivity usage and costs associated with our move to a largely remote working environment. The increase also included~~ higher Professional services expenses primarily due to an increase in legal and consulting fees ~~and~~due to the increase in activity in certain of our businesses.

•The increase is also due to higher ~~Underwriting costs~~Other expenses, primarily due to an increase in ~~investment banking engagements~~bad debt expense mostly related to our prime brokerage business. Results in the ~~first~~prior year comparable quarter ~~of the period. Non-compensation expense also increased due to higher Other expenses, which~~ included our charitable donations of $8.6 million, in memory of Peg Broadbent, our longstanding, esteemed CFO who tragically died from complications of COVID-19 in March 2020 and ~~our donation made to various charities in support of the Australian wildfire relief effort. The increase in Other expenses also included~~ a write-off of goodwill and intangible assets related to the wind down of ~~the same~~an asset management platform. ~~The increase in non-compensation expenses was partially offset by lower Business development expenses as business travel and hosted events were curtailed due to COVID-19.~~

•Non-compensation expenses as a percentage of Net revenues was ~~26.8%~~24.6% and ~~32.8%~~28.0% for the ~~six~~three months ended May 31, ~~2020~~2021 and May 31, ~~2019,~~2020, respectively, demonstrating the operating leverage inherent in our business.

Six Months Ended May 31, 2021

•Non-compensation expenses were $736.6 million for the six months ended May 31, 2021, an increase of $146.6 million, or 24.8%, compared with $590.0 million in the six months ended May 31, 2020.

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•The increase in non-compensation expenses was primarily due to higher Floor brokerage and clearing fees due to record net revenues in equities and strong net revenues in fixed income resulting from an increase in trading volumes and growth in certain asset management funds and resultant trading activity. The increase was also due to higher Underwriting costs, primarily due to record investment banking net revenues resulting from an increase in the volume of investment banking transactions. The increase also included higher Technology and communication expenses, primarily related to costs associated with the development of various trading systems and increased market data costs due to business growth and higher Professional services expenses primarily due to an increase in legal and consulting fees due to the increase in activity in certain of our businesses.

•Results in the current year period also included higher Other expenses, with the increase in Other expenses primarily due to an increase in bad debt expense mostly related to our prime brokerage business. Non-compensation expenses in the current year also included our charitable donations of $7.7 million to approximately 130 charities around our planet that promote diversity and inclusion, support COVID-19 relief efforts, help Texas relief and support, protect and sustain our environment and strive to help humanity in other meaningful ways. The prior year comparable period included our charitable donations of $8.6 million, in memory of Peg Broadbent, our longstanding, esteemed CFO who tragically died from complications of COVID-19 in March 2020, our $2.4 million donation made to various charities in support of the Australian wildfire relief effort and a write-off of goodwill and intangible assets related to the wind down of an asset management platform.

•Non-compensation expenses as a percentage of Net revenues was 19.7% and 26.8% for the six months ended May 31, 2021 and May 31, 2020, respectively, demonstrating the operating leverage inherent in our business.

Income Taxes

•For the three and six months ended May 31, 2021, the provision for income taxes was $110.8 million and $288.2 million, respectively, equating to an effective tax rate of 25.8% and 26.2%, respectively. For the three and six months ended May 31, 2020, the provision for income taxes was $44.0 million and $108.0 million, respectively, equating to an effective tax rate of 25.4% and 26.5%, respectively. ~~For the three and six months ended May 31, 2019, the provision for income taxes was $45.3 million and $61.5 million, respectively, equating to an effective tax rate of 29.2% and 28.3%, respectively.~~

•The ~~decrease~~change in the effective tax rate for the three ~~and six~~ months ended May 31, ~~2020,~~2021, as compared to the prior year ~~periods, is primarily related~~comparable quarter, and the change in the effective tax rate for the six months ended May 31, 2021, as compared to ~~benefits for revaluing our U.K. deferred tax asset that were recorded during~~ the ~~current~~prior year ~~quarter.~~comparable period, are largely unchanged.

•Refer to Note ~~16,~~15, Income Taxes, in our consolidated financial statements included in this Quarterly Report on Form 10-Q, for further details on income taxes.

Accounting Developments

For a discussion of recently issued accounting developments and their impact on our consolidated financial statements, see Note 3, Accounting Developments, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

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Critical Accounting Policies

Our consolidated financial statements are prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which requires management to make estimates and assumptions that affect the amounts reported in our consolidated financial statements and related notes. Actual results can and may differ from estimates. These differences could be material to our consolidated financial statements.

We believe our application of U.S. GAAP and the associated estimates are reasonable. Our accounting estimates are reevaluated, and adjustments are made when facts and circumstances dictate a change. Historically, we have found our application of accounting policies to be appropriate, and actual results have not differed materially from those determined using necessary estimates.

We believe our critical accounting policies (policies that are both material to the financial condition and results of operations and require our most subjective or complex judgments) are our valuation of certain financial instruments and assessment of goodwill.

For further discussions of the following significant accounting policies and other significant accounting policies, see Note 2, Summary of Significant Accounting Policies, in our consolidated financial statements included in Part II, Item 8 of our Annual Report on Form 10-K for the year ended November 30, ~~2019 and Note 2, Summary~~2020.

Table of ~~Significant Accounting Policies, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.~~Contents

JEFFERIES GROUP LLC AND SUBSIDIARIES

Valuation of Financial Instruments

Financial instruments owned and Financial instruments sold, not yet purchased are recorded at fair value. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price). Unrealized gains or losses are generally recognized in Principal transactions revenues in our Consolidated Statements of Earnings.

For information on the composition of our Financial instruments owned and Financial instruments sold, not yet purchased recorded at fair value, see Note 4, Fair Value Disclosures, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

Fair Value Hierarchy – In determining fair value, we maximize the use of observable inputs and minimize the use of unobservable inputs by requiring that observable inputs be used when available. Observable inputs are inputs that market participants would use in pricing the asset or liability based on market data obtained from independent sources. Unobservable inputs reflect our assumptions that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. We apply a hierarchy to categorize our fair value measurements broken down into three levels based on the transparency of inputs, where Level 1 uses observable prices in active markets and Level 3 uses valuation techniques that incorporate significant unobservable inputs. Greater use of management judgment is required in determining fair value when inputs are less observable or unobservable in the marketplace, such as when the volume or level of trading activity for a financial instrument has decreased and when certain factors suggest that observed transactions may not be reflective of orderly market transactions. Judgment must be applied in determining the appropriateness of available prices, particularly in assessing whether available data reflects current prices and/or reflects the results of recent market transactions. Prices or quotes are weighed when estimating fair value with greater reliability placed on information from transactions that are considered to be representative of orderly market transactions.

Fair value is a market based measure; therefore, when market observable inputs are not available, our judgment is applied to reflect those judgments that a market participant would use in valuing the same asset or liability. The availability of observable inputs can vary for different products. We use prices and inputs that are current as of the measurement date even in periods of market disruption or illiquidity. The valuation of financial instruments categorized within Level 3 of the fair value hierarchy involves the greatest extent of management judgment. (See Note 2, Summary of Significant Accounting Policies, in our consolidated financial statements included in Part II, Item 8 of our Annual Report on Form 10-K for the year ended November 30, ~~2019~~2020 and Note 4, Fair Value Disclosures, in our consolidated financial statements included in this Quarterly Report on Form 10-Q for further information on the definitions of fair value, Level 1, Level 2 and Level 3 and related valuation techniques.)

Level 3 Assets and Liabilities – For information on the composition and activity of our Level 3 assets and Level 3 liabilities, see Note 4, Fair Value Disclosures, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

Controls Over the Valuation Process for Financial Instruments – Our Independent Price Verification Group, independent of the trading function, plays an important role in determining that our financial instruments are appropriately valued and that fair value measurements are reliable. This is particularly important where prices or valuations that require inputs are less observable. In the event that observable inputs are not available, the control processes are designed to assure that the valuation approach utilized is appropriate and consistently applied and that the assumptions are reasonable. Where a pricing model is used to determine fair value, these control processes include reviews of the pricing model’s theoretical soundness and appropriateness by risk management personnel with relevant expertise who are independent from the trading desks. In addition, recently executed comparable transactions and other observable market data are considered for purposes of validating assumptions underlying the model.

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Goodwill

At May 31, ~~2020,~~2021, Goodwill recorded in our Consolidated Statement of Financial Condition is ~~$1,637.1~~$1,651.7 million ~~(3.6%~~(3.2% of total assets). The nature and accounting for goodwill is discussed in Note 2, Summary of Significant Accounting Policies, in our consolidated financial statements included in Part II, Item 8 of our Annual Report on Form 10-K for the year ended November 30, ~~2019~~2020 and Note 10, Goodwill and Intangible Assets, in our consolidated financial statements included in this Quarterly Report on Form 10-Q. Goodwill must be allocated to reporting units and tested for impairment at least annually, or when circumstances or events make it more likely than not that an impairment occurred. Goodwill is tested by comparing the estimated fair value of each reporting unit with its carrying value. Our annual goodwill impairment testing date is August 1, which did not indicate any goodwill impairment in any of our reporting units at August 1, ~~2019.~~2020.

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We use allocated tangible equity plus allocated goodwill and intangible assets for the carrying amount of each reporting unit. The amount of tangible equity allocated to a reporting unit is based on our cash capital model deployed in managing our businesses, which seeks to approximate the capital a business would require if it were operating independently. For further information on our Cash Capital Policy, refer to the Liquidity, Financial Condition and Capital Resources section herein. Intangible assets are allocated to a reporting unit based on either specifically identifying a particular intangible asset as pertaining to a reporting unit or, if shared among reporting units, based on an assessment of the reporting unit’s benefit from the intangible asset in order to generate results.

Estimating the fair value of a reporting unit requires management judgment and often involves the use of estimates and assumptions that could have a significant effect on whether or not an impairment charge is recorded and the magnitude of such a charge. Estimated fair values for our reporting units utilize market valuation methods that incorporate price-to-earnings and price-to-book multiples of comparable public companies. Under the market valuation approach, the key assumptions are the selected multiples and our internally developed ~~forecasts~~projections of future profitability, growth and return on equity for each reporting unit. The weight assigned to the multiples requires judgment in qualitatively and quantitatively evaluating the size, profitability and the nature of the business activities of the reporting units as compared to the comparable publicly-traded companies. In addition, as the fair values determined under the market valuation approach represent a noncontrolling interest, we apply a control premium to arrive at the estimate fair value of each reporting unit on a controlling basis.

The carrying values of goodwill by reporting unit at May 31, ~~2020~~2021 are as follows: ~~$562.9~~$568.0 million in Investment Banking, ~~$159.8~~$161.3 million in Equities and Wealth Management, ~~$914.0~~$922.4 million in Fixed Income and $0.4 million in Asset Management. Refer to Note 10, Goodwill and Intangible Assets, in our consolidated financial statements included in this Quarterly Report on Form 10-Q, for details on the write-off of certain goodwill and intangible assets related to the wind down of an asset management platform.Income.

During the three months ended May 31, 2020, COVID-19 broadly impacted the global operating environment, including a contraction in economic activity and significant volatility in the financial markets. Given the significance of this event and its adverse impact on the global economic outlook and market valuations, particularly in March 2020, we performed an interim test of goodwill for impairment at May 31, 2020. The results of our assessment ~~at May 31,~~on August 1, 2020 indicated that all our reporting units had a fair value in excess of their ~~respective~~ carrying amounts based on current projections. ~~Additionally, the interim test indicated that the fair values of our Fixed Income and Equities and Wealth Management reporting units exceeded their carrying values by 15% or more.~~ The valuation methodology for our reporting units are sensitive to management’s forecasts of future profitability, which are a significant ~~components~~component of the valuation and come with a level of uncertainty regarding trading volumes and capital market transaction levels and the expected growth prospects for certain business lines. The impact of COVID-19 also remains uncertain and increases the subjectivity involved in our forecasts and other assumptions used in evaluating our goodwill for potential impairment. At May 31, 2020, our Investment Banking reporting unit is the most sensitive to the forecast assumptions used in our market approach valuation. Declines from our estimated level of client transaction activity and variability in the timing of such activity assumed in our forecasts, both of which are affected by our economic outlook, could cause a decline in the estimated fair value of our Investment Banking reporting unit, which could result in an impairment of a portion of our goodwill.levels.

Refer to Note 10, Goodwill and Intangible Assets, in our consolidated financial statements included in this Quarterly Report on Form 10-Q, for further details on goodwill.

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Liquidity, Financial Condition and Capital Resources

Our ~~Interim~~ CFO and Global Treasurer are responsible for developing and implementing our liquidity, funding and capital management strategies. These policies are determined by the nature and needs of our day to day business operations, business opportunities, regulatory obligations, and liquidity requirements.

Our actual levels of capital, total assets and financial leverage are a function of a number of factors, including asset composition, business initiatives and opportunities, regulatory requirements and cost and availability of both long term and short term funding. We have historically maintained a balance sheet consisting of a large portion of our total assets in cash and liquid marketable securities, arising principally from traditional securities brokerage and trading activity. The liquid nature of these assets provides us with flexibility in financing and managing our business.

We maintain modest leverage to support our investment grade ratings. The growth of our balance sheet is supported by our equity and we have quantitative metrics in place to monitor leverage and double leverage. Our capital plan is robust, in order to sustain our operating model through stressed conditions. We maintain adequate financial resources to support business activities in both normal and stressed market conditions, including a buffer in excess of our regulatory, or other internal or external, requirements. Our access to funding and liquidity is stable and efficient to ensure that there is sufficient liquidity to meet our financial obligations in normal and stressed market conditions.

During the three months ended May 31, 2020, the global capital markets experienced a higher level of stress due to the COVID-19 pandemic. Higher volumes and price volatility led to increased margin requirements at clearing corporations and exchanges, along with increased levels of fails due to operational friction in the financial system. Margin requirements moderated as the quarter progressed, but remain elevated relative to pre-COVID-19 markets. Operational friction has been reduced, as the counterparties have adapted to a work from home environment.

During the second quarter, we increased the frequency and timing of our daily reporting for excess liquidity, cash and capital usage and excess secured funding capacity. We worked closely with the business units and management to closely monitor fails, exchange margin requirements and all changes to secured funding arrangements. During the quarter, our business units generally operated within defined balance sheet and capital limits. These limits and results were reported to senior management on a daily basis during the height of the stress period.

We were in regular dialogue during the quarter with all regulatory bodies and all three rating agencies. On April 14, 2020, Standard and Poor’s (“S&P”) affirmed our rating of BBB, but revised our rating outlook and the rating outlooks of our principal operating broker-dealers from stable to negative. On April 15, 2020, Moody’s Investors Service (“Moody’s”) affirmed our rating of Baa3 and our rating outlook of stable.

In general, the liquidity outflows experienced during the peak of the market stress were well within the assumptions of our liquidity stress model, or Maximum Liquidity Outflow (“MLO”). Due to increased volumes and heightened volatility in March, we experienced outsized margin requirements on some exchanges. Based on that experience, we increased the stress liquidity buffer during the quarter for the affected exchanges on a go forward basis.

Our secured funding model operated efficiently during this stress period. Some counterparties exited secured funding trades and were replaced with new counterparties or with excess capacity from existing lenders. We have tracked all changes in secured funding haircuts by product and have adjusted capital assumptions as needed. During this time, we extended the term of our secured funding arrangements and created additional funding capacity for various product groups. The weighted average maturity of our secured funding at May 31, 2020 increased by approximately 35 days as compared to the weighted average maturity at February 29, 2020. Our U.S. broker-dealer, Jefferies LLC, as a primary dealer, has access to the Federal Reserve’s Primary Dealer Credit Facility (“PDCF”). During the three months ended May 31, 2020, Jefferies LLC accessed the PDCF for up to $50.0 million. The amount drawn under the facility at May 31, 2020 was $8.0 million.

Our Balance Sheet

A business unit level balance sheet and cash capital analysis isare prepared and reviewed with senior management on a weekly basis. As a part of this balance sheet review process, capital is allocated to all assets and gross balance sheet limits are adjusted, as necessary. This process ensures that the allocation of capital and costs of capital are incorporated into business decisions. The goals of this process are to protect the firm’s platform, enable our businesses to remain competitive, maintain the ability to manage capital proactively and hold businesses accountable for both balance sheet and capital usage.

We actively monitor and evaluate our financial condition and the composition of our assets and liabilities. We continually monitor our overall securities inventory, including the inventory turnover rate, which confirms the liquidity of our overall assets. Substantially all of our financial instruments are valued on a daily basis and we monitor and employ balance sheet limits for our various businesses.

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The following table provides detail on ~~key~~selected balance sheet ~~asset and liability~~ items (dollars in millions):


	May 31, 2020		November 30, 2019		% Change			May 31, 2021		November 30, 2020		% Change
Total assets	$	45,084.4	$	43,516.1	3.6	%	Total assets	$	52,171.1	$	47,752.0	9.3	%

Cash and cash equivalents	5,251.9		5,567.9		(5.7	)%	Cash and cash equivalents	6,220.9		7,111.9		(12.5)	%
Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations	668.9		796.8		(16.1	)%	Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations	901.4		604.3		49.2	%

Financial instruments owned	18,124.9		16,363.4		10.8	%	Financial instruments owned	19,411.7		17,686.1		9.8	%
Financial instruments sold, not yet purchased	9,645.8		10,532.5		(8.4	)%	Financial instruments sold, not yet purchased	11,957.6		10,017.5		19.4	%
Total Level 3 assets	412.8		332.2		24.3	%	Total Level 3 assets	399.3		379.1		5.3	%

Securities borrowed	$	6,457.0	$	7,624.6	(15.3	)%	Securities borrowed	$	6,720.7	$	6,934.8	(3.1)	%
Securities purchased under agreements to resell	4,284.1		4,299.6		(0.4	)%	Securities purchased under agreements to resell	6,917.2		5,096.8		35.7	%
Total securities borrowed and securities purchased under agreements to resell	$	10,741.1	$	11,924.2	(9.9	)%	Total securities borrowed and securities purchased under agreements to resell	$	13,637.9	$	12,031.6	13.4	%

Securities loaned	$	1,941.5	$	1,525.1	27.3	%	Securities loaned	$	2,277.4	$	1,810.7	25.8	%
Securities sold under agreements to repurchase	8,631.1		7,504.7		15.0	%	Securities sold under agreements to repurchase	7,079.3		8,316.3		(14.9)	%
Total securities loaned and securities sold under agreements to repurchase	$	10,572.6	$	9,029.8	17.1	%	Total securities loaned and securities sold under agreements to repurchase	$	9,356.7	$	10,127.0	(7.6)	%

Total assets at May 31, ~~2020~~2021 and November 30, ~~2019~~2020 were ~~$45.1~~$52.2 billion and ~~$43.5~~$47.8 billion, respectively, an increase of ~~3.6%~~9.3%. During the three and six months ended May 31, ~~2020,~~2021, average total assets were approximately ~~25.3%~~14.7% and ~~24.1%~~14.6% higher, respectively, than total assets at May 31, ~~2020.~~2021.

Our total Financial instruments owned inventory was ~~$18.1~~$19.4 billion at May 31, ~~2020,~~2021, an increase of ~~10.8%~~9.8%, from ~~$16.4~~$17.7 billion at November 30, ~~2019, respectively.~~2020. During the six months ended May 31, ~~2020,~~2021, our total Financial instruments owned inventory increased primarily due to an increase in ~~sovereign obligations, mortgage-backed and other asset-backed securities,~~ corporate debt ~~securities~~ and ~~investments at fair value, partially offset by decreases in~~equity securities, government and federal agency ~~obligations~~securities and ~~municipal securities.~~loans and other receivables, partially offset by a decrease in sovereign obligations. Financial instruments sold, not yet purchased inventory was ~~$9.6~~$12.0 billion at May 31, ~~2020, a decrease~~2021, an increase of ~~8.4%~~19.4% from ~~$10.5~~$10.0 billion at November 30, ~~2019,~~2020, with the increase primarily driven by increases in corporate debt and equity securities, loans, sovereign obligations and derivative contracts, partially offset by a decrease in government and federal agency securities. Our overall net inventory position was $7.5 billion and $7.7 billion at May 31, 2021 and November 30, 2020, respectively, with the decrease primarily ~~driven by~~due to decreases in ~~corporate equity securities~~sovereign obligations, loans and ~~sovereign obligations,~~derivative contracts, partially offset by increases in government and federal agency ~~obligations. Our overall net inventory position was $8.5 billion~~securities and ~~$5.8 billion at May 31, 2020 and November 30, 2019, respectively, with the increases primarily in~~ corporate equity ~~and corporate debt securities, sovereign obligations and mortgage-backed and other asset-backed securities, partially offset by decreases in government and federal agency obligations.~~securities. Our Level 3 Financial instruments owned as a percentage of total Financial instruments owned was ~~2.3% and 1.9%~~2.1% at both May 31, ~~2020~~2021 and November 30, 2019, respectively. The increase in our total Level 3 Financial instruments owned at May 31, 2020 as compared to November 30, 2019 is reflective of the reduced pricing transparency experienced for certain financial assets during the quarter given the disruptive market impact of COVID-19.2020.

Securities financing assets and liabilities include financing for our financial instruments trading activity, matched book transactions and mortgage finance transactions. Matched book transactions accommodate customers, as well as obtain securities for the settlement and financing of inventory positions. The aggregate outstanding balance of our securities borrowed and securities purchased under agreements to resell ~~decreased~~increased by ~~9.9%~~13.4% from November 30, ~~2019~~2020 to May 31, ~~2020, primarily~~2021, due to ~~decreases~~increases in our matched book transactions and firm financing of our ~~inventory.~~inventory, partially offset by an increase in the netting benefit for our collateralized financing transactions. The outstanding balance of our securities loaned and securities sold under agreement to repurchase ~~increased~~decreased by ~~17.1%~~7.6% from November 30, ~~2019~~2020 to May 31, ~~2020, primarily~~2021, due to ~~an increase~~a decrease in the firm financing of our inventory and an increase in the netting benefit for our collateralized financing transactions, partially offset by ~~a decrease~~an increase in our matched book transactions. Our average month end ~~balance~~balances of total reverse repos and stock borrows during the three and six months ended May 31, ~~2020~~2021 were ~~47.8%~~38.0% and ~~58.2%~~36.6% higher, respectively, than the May 31, ~~2020~~2021 balance. Our average month end ~~balance~~balances of total repos and stock loans during the three and six months ended May 31, ~~2020~~2021 were ~~53.0%~~51.5% and ~~57.5%~~59.6% higher, respectively, than the May 31, ~~2020~~2021 balance.

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The following table presents our period end balance, average balance and maximum balance at any month end within the periods presented for Securities purchased under agreements to resell and Securities sold under agreements to repurchase (dollars in millions):


	Six Months Ended May 31, 2020		Year Ended November 30, 2019			Six Months Ended May 31, 2021		Year Ended November 30, 2020
Securities Purchased Under Agreements to Resell:					Securities Purchased Under Agreements to Resell:
Period end	$	4,284	$	4,300	Period end	$	6,917	$	5,097
Month end average	8,488		7,762		Month end average	9,190		8,040
Maximum month end	12,061		11,589		Maximum month end	12,321		12,061
Securities Sold Under Agreements to Repurchase:					Securities Sold Under Agreements to Repurchase:
Period end	$	8,631	$	7,505	Period end	$	7,079	$	8,316
Month end average	14,631		14,686		Month end average	12,142		13,501
Maximum month end	18,979		19,654		Maximum month end	19,207		18,979

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Country Risk Exposure

Country risk is the risk that events or developments that occur in the general environment of a country or countries due to economic, political, social, regulatory, legal or other factors, will affect the ability of obligors of the country to honor their obligations. We define the country of risk as the country of jurisdiction or domicile of the obligor and monitor country risk resulting from both trading positions and counterparty ~~exposure.~~exposure, which may not include the offsetting benefit of any financial instruments utilized to manage market risk. The following tables reflect our top exposure at May 31, ~~2020~~2021 and November 30, ~~2019~~2020 to the sovereign governments, corporations and financial institutions in those non- U.S. countries in which we have a net long issuer and counterparty exposure (in millions):


	May 31, 2021
	Issuer Risk						Counterparty Risk								Issuer and Counterparty Risk
	Fair Value of Long Debt Securities		Fair Value of Short Debt Securities		Net Derivative Notional Exposure		Loans and Lending		Securities and Margin Finance		OTC Derivatives		Cash and Cash Equivalents		Excluding Cash and Cash Equivalents		Including Cash and Cash Equivalents
United Kingdom	$	484.1	$	(246.1)	$	(86.0)	$	0.2	$	68.4	$	2.1	$	194.5	$	222.7	$	417.2
Germany	493.3		(321.1)		122.0		—		61.0		13.5		42.5		368.7		411.2
Canada	148.7		(94.5)		1.1		—		48.0		142.5		6.8		245.8		252.6
Hong Kong	37.8		(16.3)		—		—		1.1		—		173.0		22.6		195.6
China	522.0		(339.9)		(27.2)		—		—		—		—		154.9		154.9
Ireland	140.6		(6.3)		(0.3)		—		—		—		—		134.0		134.0
Switzerland	135.1		(58.6)		2.3		—		33.0		7.6		1.8		119.4		121.2
Austria	171.3		(56.4)		—		—		—		—		—		114.9		114.9
Netherlands	393.9		(337.5)		—		—		4.1		0.3		0.1		60.8		60.9
Italy	1,009.6		(813.0)		(137.5)		—		—		0.1		0.7		59.2		59.9
Total	$	3,536.4	$	(2,289.7)	$	(125.6)	$	0.2	$	215.6	$	166.1	$	419.4	$	1,503.0	$	1,922.4

May 31, 2020
Issuer Risk Counterparty Risk Issuer and Counterparty Risk

Fair Value of
Long Debt
Securities

Fair Value of
Short Debt
Securities

Net Derivative
Notional
Exposure

Loans and
Lending

Securities and
Margin Finance

OTC
Derivatives

Cash and
Cash
Equivalents

Excluding Cash
and Cash
Equivalents

Including Cash
and Cash
Equivalents
Italy $ 1,676.3
$ (882.6 ) $ (303.9 ) $ —
$ —
$ 0.4
$ —
$ 490.2
$ 490.2
Netherlands 576.3
(199.6 ) 1.0
—
4.2
0.1
—
382.0
382.0
United Kingdom 351.0
(179.2 ) (36.0 ) 0.1
76.9
12.0
107.1
224.8
331.9
Germany 352.3
(268.2 ) 112.0
—
66.8
8.2
13.5
271.1
284.6
Japan 150.6
(127.3 ) 168.1
—
21.4
—
15.4
212.8
228.2
Canada 155.1
(94.3 ) 8.6
—
38.6
22.7
1.1
130.7
131.8
Hong Kong 19.3
(15.5 ) —
—
0.2
0.1
104.0
4.1
108.1
Switzerland 97.9
(57.5 ) —
—
37.2
2.6
4.5
80.2
84.7
China 354.7
(267.9 ) (22.3 ) —
—
—
—
64.5
64.5
Luxembourg 94.4
(49.3 ) —
—
0.7
—
—
45.8
45.8
Total $ 3,827.9
$ (2,141.4 ) $ (72.5 ) $ 0.1
$ 246.0
$ 46.1
$ 245.6
$ 1,906.2
$ 2,151.8

November 30, 2019
Issuer Risk Counterparty Risk Issuer and Counterparty Risk
Fair Value of Long Debt Securities Fair Value of Short Debt Securities Net Derivative Notional Exposure Loans and Lending Securities and Margin Finance OTC Derivatives Cash and Cash Equivalents Excluding Cash and Cash Equivalents Including Cash and Cash Equivalents
Netherlands $ 946.0
$ (329.7 ) $ (100.1 ) $ —
$ 42.6
$ 0.5
$ —
$ 559.3
$ 559.3
United Kingdom 416.1
(199.9 ) (124.4 ) —
60.7
37.6
54.1
190.1
244.2
Italy 1,262.3
(1,192.4 ) 105.4
—
—
0.4
—
175.7
175.7
France 423.4
(296.2 ) (93.1 ) —
94.2
40.9
—
169.2
169.2
Canada 380.4
(362.2 ) 7.4
—
0.3
81.2
1.9
107.1
109.0
Spain 249.2
(137.3 ) (25.7 ) —
3.3
—
—
89.5
89.5
Japan 76.0
(171.6 ) 133.8
—
24.7
—
13.2
62.9
76.1
China 283.3
(236.9 ) 25.6
—
—
—
—
72.0
72.0
Mexico 112.0
(68.3 ) 13.0
—
—
—
—
56.7
56.7
Germany 238.2
(321.3 ) 19.3
—
88.3
14.4
13.6
38.9
52.5
Total $ 4,386.9
$ (3,315.8 ) $ (38.8 ) $ —
$ 314.1
$ 175.0
$ 82.8
$ 1,521.4
$ 1,604.2


	November 30, 2020
	Issuer Risk						Counterparty Risk								Issuer and Counterparty Risk
	Fair Value of Long Debt Securities		Fair Value of Short Debt Securities		Net Derivative Notional Exposure		Loans and Lending		Securities and Margin Finance		OTC Derivatives		Cash and Cash Equivalents		Excluding Cash and Cash Equivalents		Including Cash and Cash Equivalents
Italy	$	1,929.5	$	(921.6)	$	(618.9)	$	—	$	—	$	0.1	$	—	$	389.1	$	389.1
United Kingdom	464.0		(235.8)		(46.7)		0.1		67.4		5.2		64.8		254.2		319.0
France	357.3		(290.9)		48.3		—		140.8		24.3		—		279.8		279.8
Germany	470.7		(352.7)		40.2		—		63.1		11.3		26.7		232.6		259.3
Australia	32.7		(17.8)		173.9		—		24.9		—		12.8		213.7		226.5
Hong Kong	35.2		(11.8)		0.7		—		0.1		—		157.4		24.2		181.6
Canada	417.3		(326.8)		1.3		—		20.4		64.3		2.1		176.5		178.6
Austria	151.2		(73.6)		—		—		—		—		—		77.6		77.6
India	50.9		(6.7)		—		—		—		—		24.3		44.2		68.5
Switzerland	104.0		(72.2)		2.9		—		31.6		1.3		0.4		67.6		68.0
Total	$	4,012.8	$	(2,309.9)	$	(398.3)	$	0.1	$	348.3	$	106.5	$	288.5	$	1,759.5	$	2,048.0

We have no material exposure to countries where either sovereign or non-sovereign sectors pose potential default risk as the result of liquidity concerns.

Operational Risk

Operational risk refers to the risk of loss resulting from our operations, including, but not limited to, improper or unauthorized execution and processing of transactions, deficiencies in our operating systems, business disruptions and inadequacies or breaches in our internal control processes. Our businesses are highly dependent on our ability to process, on a daily basis, a large number of transactions across numerous and diverse markets in many currencies. In addition, the transactions we process have become increasingly complex. If our financial, accounting or other data processing systems do not operate properly or are disabled or if there are other shortcomings or failures in our internal processes, people or systems, we could suffer an impairment to our liquidity, financial loss, a disruption of our businesses, liability to clients, regulatory intervention or reputational damage.

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These systems may fail to operate properly or become disabled as a result of events that are wholly or partially beyond our control, including a disruption of electrical or communications services or our inability to occupy one or more of our buildings. The inability of our systems to accommodate an increasing volume of transactions could also constrain our ability to expand our businesses.

We also face the risk of operational failure or termination of any of the clearing agents, exchanges, clearing houses or other financial intermediaries we use to facilitate our securities transactions. Any such failure or termination could adversely affect our ability to effect transactions and manage our exposure to risk. In addition, despite the contingency plans we have in place, our ability to conduct business may be adversely impacted by a disruption in the infrastructure that supports our businesses and the communities in which they are located. This may include a disruption involving electrical, communications, transportation or other services used by us or ~~third parties~~third-parties with which we conduct business.

Our operations rely on the secure processing, storage and transmission of confidential and other information in our computer systems and networks. Although we take protective measures and endeavor to modify them as circumstances warrant, our computer systems, software and networks may be vulnerable to unauthorized access, computer viruses or other malicious code, and other events that could have a security impact. If one or more of such events occur, this potentially could jeopardize our or our clients’ or counterparties’ confidential and other information processed and stored in, and transmitted through, our computer systems and networks, or otherwise cause interruptions or malfunctions in our, our clients’, our counterparties’ or ~~third parties’~~third-parties’ operations. We may be required to expend significant additional resources to modify our protective measures or to investigate and remediate vulnerabilities or other exposures, and we may be subject to litigation and financial losses that are either not insured against or not fully covered through any insurance maintained by us.

Our Operational Risk framework includes governance, collection of operational risk incidents, proactive operational risk management, and periodic review and analysis of business metrics to identify and recommend controls and process-related enhancements. Each revenue producing and support department is responsible for the management and reporting of operational risks and the implementation of the Operational Risk policy and processes within the department. Operational Risk policy, framework, infrastructure, methodology, processes, guidance and oversight of the operational risk processes are centralized and consistent firm wide and also subject to regional operational risk governance.

Our leadership is continuously monitoring circumstances around COVID-19, as well as economic and capital market conditions, and providing frequent communications to both our clients and our employees. We have adopted enhanced cleaning practices across our offices, have ~~restricted business~~established protocols for office access, travel, meetings and ~~have monitored~~entertainment to ensure the ~~health and welfare~~safety of our ~~employees~~people and ~~worked~~clients, and continue to work actively with ~~many individuals diagnosed with COVID-19. We implemented~~ our employees to navigate the changing environment. Our Business Continuity ~~Planning plan and have~~Plan is operating effectively across a largely ~~moved to a~~ remote working environment across all functions without any significant disruptions to our business or control processes. Additionally, we are working continuously with all of our critical vendors regarding their own pandemic responses to ensure there is minimal impact on our business operations.

Model Risk

Model risk refers to the risk of losses resulting from decisions that are based on the output of models, due to errors or weaknesses in the design and development, implementation, or improper use of models. We use quantitative models primarily to value certain financial assets and liabilities and to monitor and manage our risk. Model risk is a function of the model materiality, frequency of use, complexity and uncertainty around inputs and assumptions used in a given model. Robust model risk management is a core part of our risk management approach and is overseen through our risk governance structure and risk management controls.

Legal and Compliance Risk

Legal and compliance risk includes the risk of noncompliance with applicable legal and regulatory requirements. We are subject to extensive regulation in the different jurisdictions in which we conduct our business. We have various procedures addressing issues such as regulatory capital requirements, sales and trading practices, use of and safekeeping of customer funds, credit granting, collection activities, anti-money laundering and record keeping. These risks also reflect the potential impact that changes in local and international laws and tax statutes have on the economics and viability of current or future transactions. In an effort to mitigate these risks, we continuously review new and pending regulations and legislation and participate in various industry interest groups. We also maintain an anonymous hotline for employees or others to report suspected inappropriate actions by us or by our employees or agents.

New Business Risk

New business risk refers to the risks of entering into a new line of business or offering a new product. By entering a new line of business or offering a new product, we may face risks that we are unaccustomed to dealing with and may increase the magnitude of the risks we currently face. The New Business Committee reviews proposals for new businesses and new products to determine if we are prepared to handle the additional or increased risks associated with entering into such activities.

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Reputational Risk

We recognize that maintaining our reputation among clients, investors, regulators and the general public is an important aspect of minimizing legal and operational risks. Maintaining our reputation depends on a large number of factors, including the selection of our clients and the conduct of our business activities. We seek to maintain our reputation by screening potential clients and by conducting our business activities in accordance with high ethical standards. Our reputation and business activity can be affected by statements and actions of ~~third parties,~~third-parties, even false or misleading statements by them. We actively monitor public comment concerning us and are vigilant in seeking to assure accurate information and perception prevails.

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Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative and qualitative disclosures about market risk are set forth under “Management’s Discussion and Analysis of Financial Condition and Results of Operations —Risk Management” in Part I, Item 2 of this Form 10-Q.

Item 4. Controls and Procedures.

Our Management, under the direction of our Chief Executive Officer and ~~Interim~~ Chief Financial Officer, evaluated the effectiveness of our disclosure controls and procedures as of the end of the period covered by this report. Based on that evaluation, our Chief Executive Officer and ~~Interim~~ Chief Financial Officer concluded that our disclosure controls and procedures are functioning effectively to provide reasonable assurance that the information required to be disclosed by us in reports filed under the Securities Exchange Act of 1934 is (i) recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms and (ii) accumulated and communicated to our management, including our Chief Executive Officer and ~~Interim~~ Chief Financial Officer, as appropriate, to allow timely decisions regarding disclosure. A controls system cannot provide absolute assurance that the objectives of the controls system are met, and no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, within a company have been detected.

No change in our internal control over financial reporting occurred during the quarter ended May 31, ~~2020~~2021 that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting.

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JEFFERIES GROUP LLC AND SUBSIDIARIES

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

Many aspects of our business involve substantial risks of legal and regulatory liability. In the normal course of business, we have been named as defendants or co-defendants in lawsuits involving primarily claims for damages. We are also involved in a number of judicial and regulatory matters, including exams, investigations and similar reviews, arising out of the conduct of our business. Based on currently available information, we do not believe that any matter will have a material adverse effect on our consolidated financial statements.

Item 1A. Risk Factors

Information regarding our risk factors appears in Item 1A. of our Annual Report on Form 10-K for the fiscal year ended November 30, ~~2019~~2020 filed with the SEC on January 29, ~~2020.~~2021. These risk factors describe some of the assumptions, risks, uncertainties and other factors that could adversely affect our business or that could otherwise result in changes that differ materially from our expectations. ~~In addition, the following risk factors have occurred since previously reporting our risk factors in Item 1A. of our Annual Report on Form 10-K for the fiscal year ended November 30, 2019.~~

The effects of the outbreak of the novel coronavirus (“COVID-19”) have negatively affected the global economy, the United States economy and the global financial markets, and may disrupt our operations and our clients’ operations, which could have an adverse effect on our business, financial condition and results of operations.

The ongoing COVID-19 global and national health emergency has caused significant disruption in the international and United States economies and financial markets. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic. The spread of COVID-19 has caused illness, quarantines, cancellation of events and travel, business and school shutdowns, reduction in business activity and financial transactions, labor shortages, supply chain interruptions and overall economic and financial market instability. The United States now has the world’s most reported COVID-19 cases, and all 50 states and the District of Columbia have reported cases of infected individuals. Several states, including New York, where we are headquartered, have declared states of emergency. Similar impacts have been experienced in every country in which we do business. Impacts to our business could be widespread and global, and material impacts may be possible, including the following:

~~Employees contracting COVID-19~~

~~Reductions in our operating effectiveness as our employees work from home or disaster-recovery locations~~

~~Unavailability of key personnel necessary to conduct our business activities~~

~~Unprecedented volatility in global financial markets~~

~~Reductions in revenue across our operating businesses~~

~~Delay in planned entry into, or expansion of, investments or projects in China and surrounding areas~~

~~Closure of our offices or the offices of our clients~~

~~De-globalization~~

We are taking precautions to protect the safety and well-being of our employees and customers. However, no assurance can be given that the steps being taken will be deemed to be adequate or appropriate, nor can we predict the level of disruption which will occur to our employee’s ability to provide customer support and service.

The ongoing COVID-19 pandemic has resulted in meaningfully lower stock prices for many companies, as well as the trading prices for our own securities. The further spread of the COVID-19 outbreak may materially disrupt banking and other financial activity generally and in the areas in which we operate. This would likely result in a decline in demand for our products and services, which would negatively impact our liquidity position and our growth strategy. Any one or more of these developments could have a material adverse effect on our and our consolidated subsidiaries’ business, operations, consolidated financial condition, and consolidated results of operations.

~~We may incur losses as a result of unforeseen or catastrophic events, including the emergence of a pandemic, terrorist attacks, extreme weather events or other natural disasters.~~

The occurrence of unforeseen or catastrophic events, including the emergence of a pandemic, such as COVID-19, or other widespread health emergency (or concerns over the possibility of such an emergency), terrorist attacks, extreme terrestrial or solar weather events or other natural disasters, could create economic and financial disruptions, and could lead to operational difficulties (including travel limitations) that could impair our ability to manage our businesses.

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Abrupt changes in market and general economic conditions have in the past adversely affected, and may in the future adversely affect, our business and profitability and cause volatility in our results of operations.

Economic and market conditions have had, and will continue to have, a direct and material impact on our results of operations and financial condition because performance in the financial services industry is heavily influenced by the overall strength of general economic conditions and financial market activity.

Our investment banking revenue, in the form of advisory services and underwriting, is directly related to general economic conditions and corresponding financial market activity. When the outlook for such economic conditions is uncertain or negative, financial market activity generally tends to decrease, which reduces our investment banking revenues. Reduced expectations of U.S. economic growth or a decline in the global economic outlook could cause financial market activity to decrease and negatively affect our investment banking revenues.

A sustained and continuing market downturn could lead to or exacerbate declines in the number of securities transactions executed for customers and, therefore, to a decline in the revenues we receive from commissions and spreads. Correspondingly, a reduction of prices of the securities we hold in inventory or as investments would lead to reduced revenues.

Revenues from our asset management businesses have been and may continue to be negatively impacted by declining securities prices, as well as widely fluctuating securities prices. Because our asset management businesses hold long and short positions in equity and debt securities, changes in the prices of these securities, as well as any decrease in the liquidity of these securities, may materially and adversely affect our revenues from asset management.

In addition, global economic conditions and global financial markets remain vulnerable to the potential risks posed by certain events, which could include, among other things, political and financial uncertainty in the United States and the European Union, renewed concern about China's economy, complications involving terrorism and armed conflicts around the world, or other challenges to global trade or travel, such as might occur in the event of a wider pandemic involving COVID-19. More generally, because our business is closely correlated to the general economic outlook, a significant deterioration in that outlook or realization of certain events would likely have an immediate and significant negative impact on our business and overall results of operations.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

None.

Item 6. Exhibits



Exhibit No.			Description
3.1			Certificate of Formation of Jefferies Group LLC effective as of March 1, 2013 is incorporated herein by reference to Exhibit 3.2 of Registrant’s Form 8-K filed on March 1, 2013.
3.2			Certificate of Conversion of Jefferies Group LLC effective as of March 1, 2013 is incorporated herein by reference to Exhibit 3.1 of Registrant’s Form 8-K filed on March 1, 2013.
3.3			Limited Liability Company Agreement of Jefferies Group LLC dated as of March 1, 2013 (with Schedule A supplemented effective May 23, 2018) is incorporated herein by reference to Exhibit 3.3 of Registrant’s Form 10-K filed on January 29, 2019.
4			Instruments defining the rights of holders of long-term debt securities of the Registrant and its subsidiaries are omitted pursuant to Item 601(b)(4)(iii) of Regulation S-K. Registrant hereby agrees to furnish copies of these instruments to the Commission upon request.
31.1*			Rule 13a-14(a)/15d-14(a) Certification by Chief Financial Officer.
31.2*			Rule 13a-14(a)/15d-14(a) Certification by Chief Executive Officer.
32*			Rule 13a-14(b)/15d-14(b) and Section 1350 of Title 18 U.S.C. Certification by the Chief Executive Officer and Chief Financial Officer.
101*			Interactive data files pursuant to Rule 405 of Regulation S-T, formatted in Inline Extensible Business Reporting Language (iXBRL): (i) the Consolidated Statements of Financial Condition as of May 31, ~~2020~~2021 and November 30, ~~2019;~~2020; (ii) the Consolidated Statements of Earnings for the three and six months ended May 31, ~~2020~~2021 and ~~2019;~~2020; (iii) the Consolidated Statements of Comprehensive Income for the three and six months ended May 31, ~~2020~~2021 and ~~2019;~~2020; (iv) the Consolidated Statements of Changes in Equity for the three and six months ended May 31, ~~2020~~2021 and ~~2019;~~2020; (v) the Consolidated Statements of Cash Flows for the six months ended May 31, ~~2020~~2021 and ~~2019~~2020 and (vi) the Notes to Consolidated Financial Statements.
104			Cover page interactive data file pursuant to Rule 406 of Regulation S-T, formatted in iXBRL (included in Exhibit 101)


*	~~Filed herewith.~~

*Filed herewith.

Table of Contents

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.



			JEFFERIES GROUP LLC (Registrant)

Date:	July 9, ~~2020~~2021	By:	/s/ ~~Teresa S. Gendron~~Matt Larson
			~~Teresa S. Gendron Interim~~ Matt Larson Chief Financial Officer (duly authorized officer)

~~100~~



Title of each class	Trading Symbol(s)	Name of each exchange on which registered
4.850% Senior Notes Due 2027	JEF/27A	New York Stock Exchange
5.125% Senior Notes Due 2023	JEF/23	New York Stock Exchange



PART I. FINANCIAL INFORMATION
			Page
Item 1. Financial Statements			2
Consolidated Statements of Financial Condition (Unaudited)			2
Consolidated Statements of Earnings (Unaudited)			3
Consolidated Statements of Comprehensive Income (Unaudited)			4
Consolidated Statements of Changes in Equity (Unaudited)			5
Consolidated Statements of Cash Flows (Unaudited)			6
Notes to Consolidated Financial Statements (Unaudited)			8
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations			61
Item 3. Quantitative and Qualitative Disclosures About Market Risk			9796
Item 4. Controls and Procedures			9796

PART II. OTHER INFORMATION

Item 1. Legal Proceedings			9897
Item 1A. Risk Factors			9897
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds			9997
Item 6. Exhibits			9997


	May 31, 2020			November 30, 2019				May 31, 2021		November 30, 2020
ASSETS							ASSETS
Cash and cash equivalents ($616 and $1,154 at May 31, 2020 and November 30, 2019, respectively, related to consolidated VIEs)	$	5,251,869		$	5,567,903
Cash and cash equivalents (includes $34 and $468 at May 31, 2021 and November 30, 2020, respectively, related to consolidated VIEs)							Cash and cash equivalents (includes $34 and $468 at May 31, 2021 and November 30, 2020, respectively, related to consolidated VIEs)	$	6,220,892	$	7,111,929
Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations	668,925			796,797			Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations	901,381		604,321
Financial instruments owned, at fair value (including securities pledged of $12,843,162 and $12,058,522 at May 31, 2020 and November 30, 2019, respectively; and $3,443 and $339 at May 31, 2020 and November 30, 2019, respectively, related to consolidated VIEs)	18,124,883			16,363,374
Financial instruments owned, at fair value (includes securities pledged of $13,000,756 and $13,065,585 at May 31, 2021 and November 30, 2020, respectively; and $0 and $5,238 at May 31, 2021 and November 30, 2020, respectively, related to consolidated VIEs)							Financial instruments owned, at fair value (includes securities pledged of $13,000,756 and $13,065,585 at May 31, 2021 and November 30, 2020, respectively; and $0 and $5,238 at May 31, 2021 and November 30, 2020, respectively, related to consolidated VIEs)	19,411,677		17,686,052
Loans to and investments in related parties	909,781			944,509			Loans to and investments in related parties	1,102,091		1,000,730
Securities borrowed	6,457,035			7,624,642			Securities borrowed	6,720,683		6,934,762
Securities purchased under agreements to resell (includes $0 and $25,000 at fair value at May 31, 2020 and November 30, 2019, respectively)	4,284,062			4,299,598
Securities purchased under agreements to resell							Securities purchased under agreements to resell	6,917,225		5,096,769
Securities received as collateral, at fair value	9,909			9,500			Securities received as collateral, at fair value	0		7,517
Receivables:							Receivables:
Brokers, dealers and clearing organizations ($17,783 and $0 at May 31, 2020 and November 30, 2019, respectively, related to consolidated VIEs)	4,205,256			3,007,949
Brokers, dealers and clearing organizations ($22,529 and $12,919 at May 31, 2021 and November 30, 2020, respectively, related to consolidated VIEs)							Brokers, dealers and clearing organizations ($22,529 and $12,919 at May 31, 2021 and November 30, 2020, respectively, related to consolidated VIEs)	4,730,467		4,158,823
Customers	1,077,355			1,490,876			Customers	2,121,816		1,286,925
Fees, interest and other	334,897			323,067			Fees, interest and other	458,032		397,630
Premises and equipment	862,060			350,433			Premises and equipment	858,531		847,127
Goodwill	1,637,111			1,643,599			Goodwill	1,651,725		1,646,933
Other assets ($163 and $0 at May 31, 2020 and November 30, 2019, respectively, related to consolidated VIEs)	1,261,274			1,093,868
Other assets ($195 and $131 at May 31, 2021 and November 30, 2020, respectively, related to consolidated VIEs)							Other assets ($195 and $131 at May 31, 2021 and November 30, 2020, respectively, related to consolidated VIEs)	1,076,553		972,479
Total assets	$	45,084,417		$	43,516,115		Total assets	$	52,171,073	$	47,751,997
LIABILITIES AND EQUITY							LIABILITIES AND EQUITY
Short-term borrowings (includes $15,671 and $20,981 at fair value at May 31, 2020 and November 30, 2019, respectively)	$	656,855		$	548,490
Financial instruments sold, not yet purchased, at fair value ($5,296 and $0 at May 31, 2020 and November 30, 2019, respectively, related to consolidated VIEs)	9,645,826			10,532,460
Short-term borrowings (includes $0 and $5,067 at fair value at May 31, 2021 and November 30, 2020, respectively)							Short-term borrowings (includes $0 and $5,067 at fair value at May 31, 2021 and November 30, 2020, respectively)	$	475,834	$	764,715
Financial instruments sold, not yet purchased, at fair value ($0 and $2,466 at May 31, 2021 and November 30, 2020, respectively, related to consolidated VIEs)							Financial instruments sold, not yet purchased, at fair value ($0 and $2,466 at May 31, 2021 and November 30, 2020, respectively, related to consolidated VIEs)	11,957,633		10,017,522
Collateralized financings:							Collateralized financings:
Securities loaned	1,941,468			1,525,140			Securities loaned	2,277,423		1,810,748
Securities sold under agreements to repurchase	8,631,143			7,504,670			Securities sold under agreements to repurchase	7,079,322		8,316,269
Other secured financings (includes $2,096,732 and $2,465,800 at May 31, 2020 and November 30, 2019, respectively, related to consolidated VIEs)	2,098,134			2,467,819
Other secured financings (includes $2,493 and $1,543 at fair value at May 31, 2021 and November 30, 2020, respectively; and $3,533,845 and $2,769,674 at May 31, 2021 and November 30, 2020, respectively, related to consolidated VIEs)							Other secured financings (includes $2,493 and $1,543 at fair value at May 31, 2021 and November 30, 2020, respectively; and $3,533,845 and $2,769,674 at May 31, 2021 and November 30, 2020, respectively, related to consolidated VIEs)	3,536,338		2,771,217
Obligation to return securities received as collateral, at fair value	9,909			9,500			Obligation to return securities received as collateral, at fair value	0		7,517
Payables:							Payables:
Brokers, dealers and clearing organizations	3,006,522			2,555,178			Brokers, dealers and clearing organizations	5,350,380		3,325,753
Customers	3,655,467			3,808,609
Customers (includes $267 and $0 at May 31, 2021 and November 30, 2020, respectively, related to consolidated VIEs)							Customers (includes $267 and $0 at May 31, 2021 and November 30, 2020, respectively, related to consolidated VIEs)	4,190,813		4,251,556
Lease liabilities	571,282			—			Lease liabilities	550,234		561,249
Accrued expenses and other liabilities (includes $898 and $1,546 at May 31, 2020 and November 30, 2019, respectively, related to consolidated VIEs)	1,760,781			1,431,144
Long-term debt (includes $1,245,486 and $1,215,285 at fair value at May 31, 2020 and November 30, 2019, respectively)	6,677,252			7,003,358
Accrued expenses and other liabilities (includes $1,475 and $1,202 at May 31, 2021 and November 30, 2020, respectively, related to consolidated VIEs)							Accrued expenses and other liabilities (includes $1,475 and $1,202 at May 31, 2021 and November 30, 2020, respectively, related to consolidated VIEs)	2,673,452		2,663,639
Long-term debt (includes $1,819,975 and $1,712,245 at fair value at May 31, 2021 and November 30, 2020, respectively)							Long-term debt (includes $1,819,975 and $1,712,245 at fair value at May 31, 2021 and November 30, 2020, respectively)	7,392,296		6,895,680
Total liabilities	38,654,639			37,386,368			Total liabilities	45,483,725		41,385,865
EQUITY							EQUITY
Member’s paid-in capital	6,481,740			6,329,677			Member’s paid-in capital	6,978,468		6,569,328
Accumulated other comprehensive income (loss):							Accumulated other comprehensive income (loss):
Currency translation adjustments	(216,993		)	(179,378		)
Currency translation and other adjustments							Currency translation and other adjustments	(127,612)		(141,843)
Changes in instrument specific credit risk	152,845			(18,889		)	Changes in instrument specific credit risk	(162,172)		(71,151)

Additional minimum pension liability	(5,986		)	(6,079		)	Additional minimum pension liability	(7,914)		(8,104)
Available-for-sale securities	574			141			Available-for-sale securities	426		513
Total accumulated other comprehensive loss	(69,560		)	(204,205		)	Total accumulated other comprehensive loss	(297,272)		(220,585)
Total Jefferies Group LLC member’s equity	6,412,180			6,125,472			Total Jefferies Group LLC member’s equity	6,681,196		6,348,743
Noncontrolling interests	17,598			4,275			Noncontrolling interests	6,152		17,389
Total equity	6,429,778			6,129,747			Total equity	6,687,348		6,366,132
Total liabilities and equity	$	45,084,417		$	43,516,115		Total liabilities and equity	$	52,171,073	$	47,751,997


	Three Months Ended May 31,				Six Months Ended May 31,
	2021		2020		2021		2020
Net earnings	$	318,453	$	128,896	$	812,318	$	300,261
Other comprehensive income (loss), net of tax:
Currency translation adjustments and other (1)	3,482		(28,526)		14,421		(37,522)
Changes in instrument specific credit risk (2)	(21,585)		148,738		(91,021)		171,734
Unrealized gains (losses) on available-for-sale securities	(27)		196		(87)		433
Total other comprehensive income (loss), net of tax (3)	(18,130)		120,408		(76,687)		134,645
Comprehensive income	300,323		249,304		735,631		434,906
Net losses attributable to noncontrolling interests	(363)		(1,842)		(566)		(3,866)
Comprehensive income attributable to Jefferies Group LLC	$	300,686	$	251,146	$	736,197	$	438,772



	Three Months Ended May 31,						Six Months Ended May 31,
	2020			2019			2020			2019
Net earnings	$	128,896		$	109,819		$	300,261		$	156,184
Other comprehensive income (loss), net of tax:
Currency translation adjustments and other (1)	(28,526		)	(36,245		)	(37,522		)	(6,185		)
Changes in instrument specific credit risk (2)	148,738			2,815			171,734			20,644
Cash flow hedges (3)	—			(219		)	—			(470		)
Unrealized gain on available-for-sale securities (4)	196			233			433			379
Total other comprehensive income (loss), net of tax (5)	120,408			(33,416		)	134,645			14,368
Comprehensive income	249,304			76,403			434,906			170,552
Net earnings (loss) attributable to noncontrolling interests	(1,842		)	(101		)	(3,866		)	283
Comprehensive income attributable to Jefferies Group LLC	$	251,146		$	76,504		$	438,772		$	170,269



☒			QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934



☐			TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934


~~(1)~~	The amounts include income tax benefits of approximately $8.8 million and $11.9 million during the three and six months ended May 31, 2020, respectively, and income tax benefits of $9.1 million and $1.7 million during the three and six months ended May 31, 2019, respectively.


~~(4)~~	The amounts include income tax expenses of $0.1 million and $0.2 million during the three and six months ended May 31, 2020, respectively, and income tax expenses of $0.1 million and $0.2 million during the three and six months ended May 31, 2019, respectively.


~~(5)~~	~~None of the components of other comprehensive income (loss) are attributable to noncontrolling interests.~~



Note		Page
Note 1. Organization and Basis of Presentation		9
Note 2. Summary of Significant Accounting Policies		10
Note 3. Accounting Developments		10
Note 4. Fair Value Disclosures		12
Note 5. Derivative Financial Instruments		2830
Note 6. Collateralized Transactions		3336
Note 7. Securitization Activities		3639
Note 8. Variable Interest Entities		3841
Note 9. Investments		4144
Note 10. Goodwill and Intangible Assets		4447
Note 11. Short-Term Borrowings		4648
Note 12. Long-Term Debt		4749
Note 13. ~~Leases~~		48
~~Note 14.~~ Revenues from Contracts with Customers	50
Note ~~15.~~14. Compensation Plans		5354
Note ~~16.~~15. Income Taxes		54
Note ~~17.~~16. Commitments, Contingencies and Guarantees		55
Note ~~18.~~17. Net Capital Requirements		57
Note ~~19.~~18. Segment Reporting		57
Note ~~20.~~19. Related Party Transactions		59


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


~~(2)~~	This category includes investments in hedge funds that invest, long and short, primarily in both public and private equity securities in domestic and international markets. At both May 31, 2020 and November 30, 2019, approximately 6% of the fair value of investments in this category are redeemable quarterly with 60 days prior written notice.


~~(4)~~	~~This category includes investments in a hedge fund that invests, long and short, primarily in commodities. Investments in this category are redeemable quarterly with 60 days prior written notice.~~


~~(6)~~	This category includes investments in a fund that trades and invests in structured finance securities. At May 31, 2020 and November 30, 2019, investments in this category representing approximately 99% and 0%, respectively, are redeemable quarterly with 12 months prior written notice.


	Three Months Ended May 31, 2021
	Balance at February 28, 2021		Total gains/losses (realized and unrealized) (1)		Purchases		Sales		Settlements		Issuances		Net transfers into/ (out of) Level 3		Balance at May 31, 2021		For instruments still held at May 31, 2021 changes in unrealized gains/(losses) included in:
																	Earnings (1)		Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	83,278	$	12,057	$	448	$	(24,561)	$	0	$	0	$	502	$	71,724	$	(911)	$	0
Corporate debt securities	6,811		1,292		4,116		(5,870)		(132)		0		1,768		7,985		963		0
CDOs and CLOs	25,894		6,557		4,287		(29,324)		(1,072)		0		20,124		26,466		2,888		0


RMBS	21,692		205		0		0		(612)		0		(15,252)		6,033		(36)		0
CMBS	2,671		201		0		0		(1,696)		0		0		1,176		(824)		0
Other ABS	60,594		3,575		12,835		(1,099)		(14,408)		0		9,058		70,555		819		0
Loans and other receivables	79,055		1,981		26,948		(8,070)		(156)		0		19,792		119,550		(127)		0
Investments at fair value	45,472		(4,037)		133		0		(1,183)		0		0		40,385		(4,037)		0
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	4,443	$	42	$	(23)	$	0	$	0	$	0	$	0	$	4,462	$	(40)	$	0
Corporate debt securities	1,571		(22)		(665)		27		0		0		16		927		(38)		0

CMBS	35		0		(35)		35		0		0		0		35		0		0
Loans	14,916		(7)		(637)		6,330		44		0		(257)		20,389		(167)		0
Net derivatives (2)	305,506		(8,965)		(36)		33,715		593		0		(103,755)		227,058		8,372		0
Other secured financings	2,168		0		0		0		0		325		0		2,493		0		0
Long-term debt	723,115		15,986		0		0		0		28,565		27,432		795,098		3,057		(19,043)


	Three Months Ended May 31, 2020
	Balance at February 29, 2020		Total gains/losses (realized and unrealized) (1)		Purchases		Sales		Settlements		Issuances		Net transfers into/ (out of) Level 3		Balance at May 31, 2020		For instruments still held at May 31, 2020, changes in unrealized gains/(losses) included in:
																	Earnings (1)		Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	103,643	$	(5,319)	$	36	$	(68)	$	0	$	0	$	(22,192)	$	76,100	$	(5,220)	$	0
Corporate debt securities	25,090		(1,480)		328		(365)		(1)		0		1,606		25,178		(1,464)		0
CDOs and CLOs	20,952		(12,879)		0		(8,471)		(1,673)		0		25,210		23,139		(16,031)		0


RMBS	16,970		(1,773)		1,380		0		(7)		0		5,769		22,339		(1,733)		0
CMBS	4,264		53		0		0		0		0		144		4,461		53		0
Other ABS	41,903		(2,380)		11,038		0		(8,490)		0		43,991		86,062		(5,087)		0
Loans and other receivables	54,321		(4,891)		45,984		(46,939)		(128)		0		20,082		68,429		(4,847)		0
Investments at fair value	55,270		(10,805)		400		(91)		0		0		19,185		63,959		(10,805)		0

Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	4,275	$	(60)	$	0	$	0	$	0	$	0	$	(25)	$	4,190	$	60	$	0
Corporate debt securities	767		(23)		(20)		0		0		0		(561)		163		0		0

CMBS	35		0		0		105		0		0		0		140		0		0
Loans	7,859		1,015		(2,785)		3,290		0		0		1,295		10,674		(1,015)		0
Net derivatives (2)	110,843		(32,744)		(10,810)		33,196		(603)		0		(54,751)		45,131		32,259		0
Long-term debt	543,463		(92,480)		0		0		0		66,916		(20,859)		497,040		664		91,816


~~(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 are included in our Consolidated Statement of Comprehensive Income, net of tax.


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


	Six Months Ended May 31, 2020																																			Six Months Ended May 31, 2020
			Total gains/losses (realized and unrealized) (1)																		Net transfers into/ (out of) Level 3							For instruments still held at May 31, 2020, changes in unrealized gains/(losses) included in:								Balance at November 30, 2019		Total gains/losses (realized and unrealized) (1)		Purchases		Sales		Settlements		Issuances		Net transfers into/ (out of) Level 3		Balance at May 31, 2020			For instruments still held at May 31, 2020 changes in unrealized gains/(losses) included in:
	Balance at November 30, 2019					Purchases				Sales				Settlements				Issuances						Balance at May 31, 2020			Earnings (1)				Other comprehensive income (1)																					Earnings (1)			Other comprehensive income (1)
Assets:																																				Assets:
Financial instruments owned:																																			Financial instruments owned:
Corporate equity securities	$	58,301	$	(12,860	)		$	2,989			$	(2,017	)		$	—			$	—	$	29,687			$	76,100		$	(12,787	)		$	—	Corporate equity securities		$	58,301	$	(12,860)	$	2,989	$	(2,017)	$	0	$	0	$	29,687	$	76,100		$	(12,787)		$	0
Corporate debt securities	7,490		1,560				766				(479		)		(602		)		—		16,443				25,178			1,190				—		Corporate debt securities		7,490		1,560		766		(479)		(602)		0		16,443		25,178			1,190			0
CDOs and CLOs	20,081		(14,223		)		9,426				(11,849		)		(3,193		)		—		22,897				23,139			(17,115		)		—		CDOs and CLOs		20,081		(14,223)		9,426		(11,849)		(3,193)		0		22,897		23,139			(17,115)			0

RMBS	17,740		(2,248		)		2,062				—				(10		)		—		4,795				22,339			(2,195		)		—		RMBS		17,740		(2,248)		2,062		0		(10)		0		4,795		22,339			(2,195)			0
CMBS	6,110		(95		)		—				—				(1,660		)		—		106				4,461			(680		)		—		CMBS		6,110		(95)		0		0		(1,660)		0		106		4,461			(680)			0
Other ABS	42,563		(2,848		)		33,917				(664		)		(17,361		)		—		30,455				86,062			(7,226		)		—		Other ABS		42,563		(2,848)		33,917		(664)		(17,361)		0		30,455		86,062			(7,226)			0
Loans and other receivables	64,240		(8,600		)		66,047				(76,227		)		(6,606		)		—		29,575				68,429			(11,689		)		—		Loans and other receivables		64,240		(8,600)		66,047		(76,227)		(6,606)		0		29,575		68,429			(11,689)			0
Investments at fair value	75,738		(30,496		)		18,885				(168		)		—				—		—				63,959			(30,496		)		—		Investments at fair value		75,738		(30,496)		18,885		(168)		0		0		0		63,959			(30,496)			0
Securities purchased under agreements to resell	25,000		—				—				—				(25,000		)		—		—				—			—				—		Securities purchased under agreements to resell		25,000		0		0		0		(25,000)		0		0		0			0			0
Liabilities:																																		Liabilities:
Financial instruments sold, not yet purchased:																																		Financial instruments sold, not yet purchased:
Corporate equity securities	$	4,487	$	216			$	(513	)		$	—			$	—			$	—	$	—			$	4,190		$	140			$	—	Corporate equity securities		$	4,487	$	216	$	(513)	$	0	$	0	$	0	$	0	$	4,190		$	140		$	0
Corporate debt securities	340		(27		)		(150		)		—				—				—		—				163			5				—		Corporate debt securities		340		(27)		(150)		0		0		0		0		163			5			0

CMBS	35		—				(35		)		140				—				—		—				140			—				—		CMBS		35		0		(35)		140		0		0		0		140			0			0
Loans	9,463		1,072				(12,958		)		3,290				—				—		9,807				10,674			(1,075		)		—		Loans		9,463		1,072		(12,958)		3,290		0		0		9,807		10,674			(1,075)			0
Net derivatives (2)	77,168		(44,729		)		(11,088		)		38,823				(1,010		)		—		(14,033		)		45,131			32,211				—		Net derivatives (2)		77,168		(44,729)		(11,088)		38,823		(1,010)		0		(14,033)		45,131			32,211			0
Long-term debt	480,069		(101,267		)		—				—				—				175,498		(57,260		)		497,040			(4,802		)		106,069		Long-term debt		480,069		(101,267)		0		0		0		175,498		(57,260)		497,040			(4,802)			106,069



	Three Months Ended May 31, 2019
	Balance at February 28, 2019		Total gains/losses (realized and unrealized) (1)				Purchases			Sales			Settlements			Issuances		Net transfers into/ (out of) Level 3			Balance at May 31, 2019		For instruments still held at May 31, 2019, changes in unrealized gains/(losses) included in:
																							Earnings (1)			Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	54,766	$	2,353			$	221		$	(179	)	$	(551	)	$	—	$	2,697		$	59,307	$	2,454		$	—
Corporate debt securities	10,930		(587		)		180			—			(325		)	—		(2,769		)	7,429		(588		)	—
CDOs and CLOs	32,566		(1,793		)		—			—			—			—		(14,578		)	16,195		(1,795		)	—
RMBS	20,963		(802		)		—			—			(18		)	—		(2,877		)	17,266		(759		)	—
CMBS	12,820		(357		)		—			(331		)	(3,238		)	—		3,636			12,530		(1,292		)	—
Other ABS	35,886		3,070				16,531			(8,868		)	(8,549		)	—		5,115			43,185		3,563			—
Loans and other receivables	78,051		(2,753		)		38,780			(13,898		)	(2,438		)	—		742			98,484		(1,277		)	—
Investments at fair value	140,812		2,841				—			—			—			—		(39,820		)	103,833		2,841			—
Securities purchased under agreements to resell	—		—				—			—			—			25,000		—			25,000		—			—
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	78	$	(74	)		$	(1,520	)	$	1,737		$	—		$	—	$	—		$	221	$	—		$	—
Corporate debt securities	730		(148		)	��	(7		)	1			22			—		71			669		90			—
CMBS	70		(70		)		—			—			—			—		—			—		—			—
Loans	3,420		(191		)		(1,678		)	1,537			—			—		6,340			9,428		364			—
Net derivatives (2)	28,975		(14,760		)		(25		)	4,175			1,974			—		27,110			47,449		7,565			—
Long-term debt	283,139		1,163				—			—			(5,585		)	39,385		(81,540		)	236,562		(813		)	(350		)


~~(1)~~	~~Realized~~Long-term debt 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 are included in our Consolidated Statement of Comprehensive Income, net of tax.



	Six Months Ended May 31, 2019
	Balance at November 30, 2018		Total gains/losses (realized and unrealized) (1)			Purchases			Sales			Settlements			Issuances		Net transfers into/ (out of) Level 3			Balance at May 31, 2019		For instruments still held at May 31, 2019, changes in unrealized gains/(losses) included in:
																						Earnings (1)			Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	51,040	$	6,126		$	785		$	(2,031	)	$	(720	)	$	—	$	4,107		$	59,307	$	7,972		$	—
Corporate debt securities	9,484		(389		)	1,545			(2,130		)	(1,177		)	—		96			7,429		(334		)	—
CDOs and CLOs	25,815		(2,790		)	4,782			—			—			—		(11,612		)	16,195		(2,554		)	—
RMBS	19,603		(316		)	39			—			(45		)	—		(2,015		)	17,266		(271		)	—
CMBS	10,886		(180		)	11			(331		)	(3,278		)	—		5,422			12,530		(1,183		)	—
Other ABS	53,175		(1,014		)	25,316			(13,247		)	(9,529		)	—		(11,516		)	43,185		(522		)	—
Loans and other receivables	46,985		2,434			77,004			(33,549		)	(3,378		)	—		8,988			98,484		844			—
Investments at fair value	113,831		(1,162		)	31,343			—			—			—		(40,179		)	103,833		(1,162		)	—
Securities purchased under agreements to resell	—		—			—			—			—			25,000		—			25,000		—			—
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	—	$	(76	)	$	(1,546	)	$	1,843		$	—		$	—	$	—		$	221	$	—		$	—
Corporate debt securities	522		(382		)	(73		)	93			22			—		487			669		305			—
Loans	6,376		(401		)	(3,946		)	7,963			—			—		(564		)	9,428		579			—
Net derivatives (2)	21,614		(29,079		)	(2,829		)	7,259			2,031			—		48,453			47,449		19,607			—
Long-term debt	200,745		(12,854		)	—			—			(11,250		)	101,872		(41,951		)	236,562		3,827			9,027


May 31, 2021
Financial Instruments Owned:	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input / Range				Weighted Average
Corporate equity securities	$	71,724
Non-exchange traded securities			Market approach	Price	$1		-	$213	$89
				Transaction level	$1				—
				EBITDA multiple	7.4				—
Corporate debt securities	$	7,985	Scenario analysis	Estimated recovery percentage	20	%	-	44%	30%
CDOs and CLOs	$	26,466	Discounted cash flows	Constant prepayment rate	2	%	-	20%	19%
				Constant default rate	1	%	-	2%	2%
				Loss severity	25	%	-	55%	27%
				Discount rate/yield	6	%	-	37%	19%
			Market approach	Transaction level	$100				—
RMBS	$	6,033	Discounted cash flows	Discount rate/yield	3%				—
				Cumulative loss rate	2%				—
				Duration (years)	2.4				—





Other ABS	$	70,555	Discounted cash flows	Discount rate/yield	3	%	-	13%	10%
				Cumulative loss rate	8	%	-	79%	16%
				Duration (years)	0.7		-	2.3	1.5
			Market approach	Price	$100				—
Loans and other receivables	$	119,550	Market approach	Price	$31		-	$101	$72
				Transaction level	$98				—
			Scenario analysis	Estimated recovery percentage	0	%	-	100%	52%
Derivatives	$	54,085
Equity options			Volatility benchmarking	Volatility	41	%	-	88%	54%
Interest rate swaps			Market approach	Basis points upfront	1.0		-	10.7	5.0
Investments at fair value	$	40,385
Private equity securities			Market approach	Price	$5		-	$169	$58
			Scenario analysis	Estimated recovery percentage	11%				—
Financial Instruments Sold, Not Yet Purchased:
Corporate equity securities	$	4,462
Non-exchange traded securities			Market approach	Price	$1				—
Corporate debt securities	$	927	Scenario analysis	Estimated recovery percentage	20%				—
Loans	$	20,389	Market approach	Price	$31		-	$92	$46
			Scenario analysis	Estimated recovery percentage	5	%	-	87%	37%
Derivatives	$	282,452
Equity options			Volatility benchmarking	Volatility	26	%	-	61%	45%
Loans total return swaps			Market approach	Price	$0.2				—
Interest rate swaps			Market approach	Basis points upfront	1.0		-	19.5	7.5
Other secured financings	$	2,493	Scenario analysis	Estimated recovery percentage	19	%	-	100%	66%
Long-term debt
Structured notes	$	795,098	Market approach	Price	$88		-	$110	$103
				Price	€82		-	€111	€102


~~(1)~~	~~Changes in instrument specific credit risk related to structured notes are included in our Consolidated Statements of Comprehensive Income, net of tax.~~


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


~~(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 $27.2 million and $22.2 million at May 31, 2020 and November 30, 2019, respectively.



	May 31, 2020 (1)
	Assets				Liabilities
	Fair Value			Number of Contracts (2)	Fair Value			Number of Contracts (2)
Derivatives designated as accounting hedges:
Interest rate contracts:
Cleared OTC	$	74,227		1	$	—		—
Total derivatives designated as accounting hedges	74,227				—

Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	515			43,775	277			56,844
Cleared OTC	226,248			4,332	326,475			4,585
Bilateral OTC	732,046			1,244	315,023			601
Foreign exchange contracts:
Exchange-traded	—			—	—			139
Bilateral OTC	324,486			12,874	341,814			12,669
Equity contracts:
Exchange-traded	422,377			986,001	501,975			872,216
Bilateral OTC	330,034			1,398	610,146			1,574
Commodity contracts:
Exchange-traded	—			3,251	—			4,572
Credit contracts:
Cleared OTC	190			14	915			6
Bilateral OTC	3,697			11	3,961			7
Total derivatives not designated as accounting hedges	2,039,593				2,100,586
Total gross derivative assets/ liabilities:
Exchange-traded	422,892				502,252
Cleared OTC	300,665				327,390
Bilateral OTC	1,390,263				1,270,944
Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	(409,622		)		(409,622		)
Cleared OTC	(286,069		)		(287,244		)
Bilateral OTC	(832,649		)		(986,017		)
Net amounts per Consolidated Statements of Financial Condition (4)	$	585,480			$	417,703



	November 30, 2019 (1)
	Assets				Liabilities
	Fair Value			Number of Contracts (2)	Fair Value			Number of Contracts (2)
Derivatives designated as accounting hedges:
Interest rate contracts:
Cleared OTC	$	28,663		1	$	—		—
Total derivatives designated as accounting hedges	28,663				—

Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	1,191			65,226	103			38,464
Cleared OTC	213,224			3,329	284,433			3,443
Bilateral OTC	421,700			1,325	258,857			738
Foreign exchange contracts:
Exchange-traded	—			256	—			199
Bilateral OTC	190,570			9,255	187,836			9,187
Equity contracts:
Exchange-traded	717,494			1,714,538	962,535			1,481,388
Bilateral OTC	248,720			4,731	445,241			4,271
Commodity contracts:
Exchange-traded	—			5,524	—			4,646
Credit contracts:
Cleared OTC	2,514			13	5,768			12
Bilateral OTC	6,281			25	14,219			28
Total derivatives not designated as accounting hedges	1,801,694				2,158,992
Total gross derivative assets/liabilities:
Exchange-traded	718,685				962,638
Cleared OTC	244,401				290,201
Bilateral OTC	867,271				906,153
Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	(688,871		)		(688,871		)
Cleared OTC	(222,869		)		(266,900		)
Bilateral OTC	(521,066		)		(676,016		)
Net amounts per Consolidated Statements of Financial Condition (4)	$	397,551			$	527,205



Counterparty credit quality (1):
A- or higher	$	133,783
BBB- to BBB+	32,975
BB+ or lower	336,290
Unrated	240,873
Total	$	743,921



	Three Months Ended
	March 31, 2020 (1)			December 31, 2019 (1)			March 31, 2019 (1)			December 31, 2018 (1)
Net decrease in net assets resulting from operations	$	(19,893	)	$	(1,397	)	$	(1,169	)	$	(8,412	)



Balance at November 30, 2019	$	1,643,599
Translation adjustments	(3,488		)
Impairment losses (1)	(3,000		)
Balance at May 31, 2020	$	1,637,111



Remainder of fiscal 2020	$	6,091
Year ending November 30, 2021	12,181
Year ending November 30, 2022	9,239
Year ending November 30, 2023	8,258
Year ending November 30, 2024	8,258



Premises and equipment - ROU assets	$	500,830

Weighted average:
Remaining lease term (in years)	11.1
Discount rate	2.9		%