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Note 2. Summary of Significant Accounting Policies

For a detailed discussion about the Company’s 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.~~2020.

During the ~~nine~~six months ended ~~August~~May 31, ~~2020, other than the following,~~2021, there were no significant changes made to the Company’s significant accounting policies. The accounting policy changes are attributable to the adoption of the Financial Accounting Standards Board (“FASB”) Accounting Standards Update (“ASU”) No. 2016-02, Leases (the “new lease standard”) on December 1, 2019. These lease policy updates are applied using a modified retrospective approach. Reported financial information for the historical comparable period was not revised and continues to be reported under the accounting standards in effect during the historical periods.

For leases with an original term longer than one year, lease liabilities are initially recognized on the lease commencement date based on the present value of the future minimum lease payments over the lease term, including non-lease components such as fixed common area maintenance costs and other fixed costs for generally all leases. A corresponding right-of-use (“ROU”) asset is initially recognized equal to the lease liability adjusted for any lease prepayments, initial direct costs and lease incentives. The ROU assets are included in Premises and equipment and the lease liabilities are included in Lease liabilities in our Consolidated Statement of Financial Condition.

The discount rates used in determining the present value of leases represent our collateralized borrowing rate considering each lease’s term and currency of payment. The lease term includes options to extend or terminate the lease when it is reasonably certain that we will exercise that option. Certain leases have renewal options that can be exercised at the discretion of the Company. Lease expense is generally recognized on a straight-line basis over the lease term and included in Occupancy and equipment rental expense in our Consolidated Statement of Earnings.

~~Refer to Note 3, Accounting Developments, and Note 13, Leases, for further information.~~

Note 3. Accounting Developments

Adopted Accounting Standards ~~to be Adopted in Future Periods~~

~~Reference Rate Reform.~~ In March 2020, the FASB issued ASU No. 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting. This guidance provides optional exceptions for applying U.S. GAAP to contracts, hedge accounting relationships or other transactions affected by reference rate reform. The optional exceptions can be elected through December 31, 2022. We are currently evaluating the impact of applying the optional exceptions on our consolidated financial statements.

Income Taxes. In December 2019, the FASB issued ASU No. 2019-12, Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes. The objective of the guidance is to simplify the accounting for income taxes by removing certain exceptions to the general principles in Topic 740 and to provide more consistent application to improve the comparability of financial statements. ~~The~~We adopted the guidance ~~is effective~~ in the first quarter of fiscal ~~2022. We are currently evaluating~~2021 and the adoption did not have a material impact ~~of the new guidance~~ on our consolidated financial statements.

Consolidation. In October 2018, the FASB issued ASU No. 2018-17, Consolidation: Targeted Improvements to Related Party Guidance for Variable Interest Entities. The guidance requires indirect interests held through related parties under common control arrangements be considered on a proportional basis for determining whether fees paid to decision makers and service providers are variable interests. ~~The~~We adopted the guidance ~~is effective~~ in the first quarter of fiscal ~~2021. We are currently evaluating~~2021 and the adoption did not have a material impact ~~of the new guidance~~ on our consolidated financial statements.

Internal-Use Software. In August 2018, the FASB issued ASU No. 2018-15, Intangibles—Goodwill and Other—Internal-Use Software: Customer’s Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That Is a Service Contract. The guidance amends the definition of a hosting arrangement and requires that the customer in a hosting arrangement that is a service contract capitalize certain implementation costs as if the arrangement was an internal-use software project. ~~The~~We adopted the guidance ~~is effective~~ in the first quarter of fiscal ~~2021. We are currently evaluating~~2021 and elected to apply the ~~impact of~~guidance prospectively to implementation costs incurred after the ~~new guidance~~adoption date. The adoption did not have an impact on our consolidated financial ~~statements.~~statements on the adoption date.

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Defined Benefit Plans. In August 2018, the FASB issued ASU No. 2018-14, Compensation—Retirement Benefits—Defined Benefit Plans—General: Disclosure Framework—Changes to the Disclosure Requirements for Defined Benefit Plans. The objective of the guidance is to improve the effectiveness of disclosure requirements on defined benefit pension plans and other postretirement plans. ~~The~~We adopted the guidance ~~is effective~~ in the first quarter of fiscal ~~2021. We do~~2021 and the adoption did not ~~believe the new guidance will~~ have a material impact on our consolidated financial statements.

Goodwill. In January 2017, the FASB issued ASU No. 2017-04, Simplifying the Test for Goodwill Impairment, which simplifies goodwill impairment testing. ~~The~~We adopted the guidance ~~is effective~~ in the first quarter of fiscal ~~2021. We do~~2021 and the adoption did not ~~believe the new guidance will~~ have a material impact on our consolidated financial statements.

Financial Instruments—Credit Losses.In June 2016, the FASB issued ASU No. 2016-13, Measurement of Credit Losses on Financial Instruments. The guidance provides for estimating credit losses on ~~certain types of~~ financial ~~instruments~~assets measured at amortized cost by introducing an approach based on expected ~~losses. The guidance is effective in~~losses over the ~~first quarter of fiscal 2021. We are currently evaluating the impact of the new guidance on our consolidated~~ financial ~~statements.~~

~~Adopted Accounting Standards~~

~~Leases~~.asset's entire life, recorded at inception or purchase. We adopted the new ~~lease standard~~credit loss guidance on December 1, ~~2019 using~~2020 and applied a modified retrospective ~~transition approach. Accordingly, reported financial information for historical comparable periods is not revised and continues~~approach through a cumulative-effect adjustment to be reported under the accounting standards in effect during those historical periods. We elected not to reassess whether existing contracts are or contain leases, or the lease classification and initial direct costs of existing leasesretained earnings upon ~~transition.~~adoption. At transition on December 1, ~~2019,~~2020, the new accounting guidance's adoption resulted in a decrease in the provision for credit losses of $3.6 million with a corresponding increase in retained earnings of $2.7 million, net of tax. The decrease was attributable to applying a revised provisioning methodology based on historical loss experience for our investment banking fee receivables. The impact upon adoption for our secured financing receivables (reverse repurchases agreements, securities borrowing arrangements, and margin loans) was immaterial because of the contractual collateral maintenance provisions that require that the counterparty continually adjust the amount of collateralization securing the credit exposure on these contracts. For the remaining financial instruments within the guidance's scope, the expected credit losses were also determined to be immaterial considering the counterparty's credit quality, an insignificant history of credit losses, or the short-term nature of the credit exposures. The updated accounting policy for estimating credit losses on financial assets measured at amortized cost as a result of this standard resulted in the recognition of operating ROU assets of $519.9 million and operating lease liabilities of $586.3 million reflected in Premises and equipment and Lease liabilities in our Consolidated Statement of Financial Condition, respectively. Finance lease ROU assets and finance lease liabilities were not material and are reflected in Premises and equipment and Lease liabilities in our Consolidated Statement of Financial Condition, respectively.adoption is outlined below.

~~Derivatives and Hedging.~~ In August 2017, the FASB issued ASU No. 2017-12, Derivatives and Hedging: Targeted Improvements to Accounting for Hedging Activities. The objective of the guidance is to improve the financial reporting of hedging relationships to better portray the economic results of an entity’s risk management activities in its financial statements. We adopted the guidance in the first quarter of fiscal 2020 and the adoption did not have a material impact on our consolidated financial statements.

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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 ~~$920.3~~$900.2 million and ~~$570.3~~$956.0 million at ~~August~~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

August 31, 2020
Level 1 Level 2 Level 3
Counterparty and
Cash Collateral
Netting (1)
Total
Assets:
Financial instruments owned:
Corporate equity securities $ 2,446,810
$ 63,256
$ 77,830
$ —
$ 2,587,896
Corporate debt securities 0
2,720,581
23,269
—
2,743,850
Collateralized debt obligations and collateralized loan obligations 0
68,287
27,936
—
96,223
U.S. government and federal agency securities 3,164,472
92,036
0
—
3,256,508
Municipal securities 0
358,292
0
—
358,292
Sovereign obligations 1,686,522
877,334
0
—
2,563,856
Residential mortgage-backed securities 0
975,166
28,317
—
1,003,483
Commercial mortgage-backed securities 0
1,091,406
4,663
—
1,096,069
Other asset-backed securities 0
48,734
63,337
—
112,071
Loans and other receivables 0
2,112,437
105,434
—
2,217,871
Derivatives 2,897
2,060,960
52,195
(1,611,815 ) 504,237
Investments at fair value 0
45,156
49,881
—
95,037
Total financial instruments owned, excluding Investments at fair value based on NAV $ 7,300,701
$ 10,513,645
$ 432,862
$ (1,611,815 ) $ 16,635,393
Securities received as collateral $ 4,413
$ 0
$ 0
$ —
$ 4,413

Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities $ 2,295,391
$ 12,533
$ 4,367
$ —
$ 2,312,291
Corporate debt securities 0
1,448,558
148
—
1,448,706
U.S. government and federal agency securities 2,722,907
0
0
—
2,722,907
Sovereign obligations 1,452,399
1,096,176
0
—
2,548,575
Commercial mortgage-backed securities 0
0
35
—
35
Loans 0
1,432,113
46,594
—
1,478,707
Derivatives 1,031
2,207,254
74,620
(1,799,681 ) 483,224
Total financial instruments sold, not yet purchased $ 6,471,728
$ 6,196,634
$ 125,764
$ (1,799,681 ) $ 10,994,445
Short-term borrowings $ 0
$ 21,829
$ 0
$ —
$ 21,829
Other secured financings $ 0
$ 0
$ 3,402
$ —
$ 3,402
Obligation to return securities received as collateral $ 4,413
$ 0
$ 0
$ —
$ 4,413
Long-term debt $ 0
$ 891,845
$ 630,260
$ —
$ 1,522,105
(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 0
2,472,213
7,490
—
2,479,703
Collateralized debt obligations and collateralized loan obligations 0
124,225
20,081
—
144,306
U.S. government and federal agency securities 2,101,624
158,618
0
—
2,260,242
Municipal securities 0
742,326
0
—
742,326
Sovereign obligations 1,330,026
1,405,827
0
—
2,735,853
Residential mortgage-backed securities 0
1,069,066
17,740
—
1,086,806
Commercial mortgage-backed securities 0
424,060
6,110
—
430,170
Other asset-backed securities 0
303,847
42,563
—
346,410
Loans and other receivables 0
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 0
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 $ 0
$ 0
$ 25,000
$ —
$ 25,000
Securities received as collateral $ 9,500
$ 0
$ 0
$ —
$ 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 0
1,471,142
340
—
1,471,482
U.S. government and federal agency securities 1,851,981
0
0
—
1,851,981
Sovereign obligations 1,363,475
941,065
0
—
2,304,540
Commercial mortgage-backed securities 0
0
35
—
35
Loans 0
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 $ 0
$ 20,981
$ 0
$ —
$ 20,981
Obligation to return securities received as collateral $ 9,500
$ 0
$ 0
$ —
$ 9,500
Long-term debt $ 0
$ 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~~ 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. 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


	August 31, 2020					November 30, 2020
	Fair Value (1)		Unfunded Commitments			Fair Value (1)		Unfunded Commitments
Equity Long/Short Hedge Funds (2)	$	322,020	$	0	Equity Long/Short Hedge Funds (2)	$	328,096	$	0
Equity Funds (3)	23,586		11,442		Equity Funds (3)	23,821		11,242
Commodity Funds (4)	16,204		0		Commodity Funds (4)	17,747		0
Multi-asset Funds (5)	558,452		0		Multi-asset Funds (5)	561,236		0
Other Funds (6)	65		0		Other Funds (6)	25,084		5,000
Total	$	920,327	$	11,442	Total	$	955,984	$	16,242

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

November 30, 2019
Fair Value (1)
Unfunded
Commitments
Equity Long/Short Hedge Funds (2) $ 291,593
$ 0
Equity Funds (3) 27,952
12,108
Commodity Funds (4) 16,025
0
Multi-asset Funds (5) 234,583
0
Other Funds (6) 157
0
Total $ 570,310
$ 12,108
(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, 2021 and November 30, 2020, approximately 94% of the fair value of investments in this category cannot be redeemed because these investments include restrictions that do not allow for redemption before December 31, 2021. At both May 31, 2021 and November 30, 2020, approximately 6% of the fair value of investments in this category are redeemable quarterly with 60 days prior written notice.


~~(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 August 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.

~~(3)~~

At August 31, 2020 and November 30, 2019, the investments in this category include investments in equity funds that invest in the equity of various U.S. and foreign private companies in the energy, technology, internet service and telecommunication service industries. These investments cannot be redeemed; instead, distributions are received through the liquidation of the underlying assets of the funds which are primarily expected to be liquidated in approximately one to eight years.


~~(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.~~

~~(5)~~

This category includes investments in hedge funds that invest, long and short, primarily in multi-asset securities in domestic and international markets in both the public and private sectors. At August 31, 2020 and November 30, 2019, investments representing approximately 58% and 5%, respectively, of the fair value of investments in this category are redeemable monthly with 30 or 60 days prior written notice.

~~(6)~~

This category includes investments in a fund that invests in loans secured by a first trust deed on property, domestic and international public high yield debt, private high yield investments, senior bank loans, public leveraged equities, distressed debt and private equity investments and there are no redemption provisions. This category also includes investments in a fund of funds that invests in various private equity funds that are managed by us and have no redemption provisions. Investments in the fund of funds are gradually being liquidated, however, the timing of when the proceeds will be received is uncertain.

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(3)The investments in this category include investments in equity funds that invest in the equity of various U.S. and foreign private companies in the energy, technology, internet service and telecommunication service industries. These investments cannot be redeemed; instead, distributions are received through the liquidation of the underlying assets of the funds which are primarily expected to be liquidated in approximately one to seven years.

~~Securities Purchased Under Agreements to Resell~~(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.

~~Securities purchased under agreements to resell may include embedded call features. The valuation~~(5)This category includes investments in hedge funds that invest, long and short, primarily in multi-asset securities in domestic and international markets in both the public and private sectors. At May 31, 2021 and November 30, 2020, investments representing approximately 80% and 57%, respectively, of ~~these instruments is based on review of expected future cash flows, interest rates, funding spreads and~~ the fair value of ~~the underlying collateral. Securities purchased under agreements~~investments in this category are redeemable monthly with 60 days prior written notice.

(6)This category includes investments in fund that invests in short-term trade receivables and payables that are expected to ~~resell~~generally be outstanding between 90 to 120 days and short-term credit instruments. This category also includes investments in a fund that invests in distressed and special situations long and short credit strategies across sectors and asset types. Investments in this category are ~~categorized within Level 3 of the fair value hierarchy due to limited observability of the embedded derivative and unobservable credit spreads.~~redeemable quarterly with 90 days prior written notice.

Other Secured Financings

Other secured financings that are accounted for at fair value are classified within Level 3 of the fair value hierarchy. Fair value is based on estimates of future cash flows incorporating assumptions regarding recovery rates.

Securities Received as Collateral / Obligations to Return Securities Received 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. Valuation is based on the price of the underlying security and is categorized within the corresponding leveling guidance above and is specific for each asset type. These financial instruments are typically categorized within Level 1 of the fair value hierarchy.

Short-term Borrowings / Long-term Debt

Short-term borrowings that are accounted for at fair value include equity-linked notes, which are generally categorized within Level 2 of the fair value hierarchy, as the fair value is based on the price of the underlying equity security. Long-term debt includes variable rate, fixed-to-floating rate, equity-linked notes, constant maturity swap, digital and Bermudan structured notes. These are valued using various valuation models that incorporate our own credit spread, market price quotations from external pricing sources referencing the appropriate interest rate curves, volatilities and other inputs as well as prices for transactions in a given note during the period. Long-term debt notes are generally categorized within Level 2 of the fair value hierarchy where market trades have been observed during the ~~quarter,~~period or model pricing is available, otherwise the notes are categorized within Level 3.

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Level 3 Rollforwards

The following is a summary of changes in fair value of our financial assets and liabilities that have been categorized within Level 3 of the fair value hierarchy for the three months ended ~~August~~May 31, ~~2020~~2021 (in thousands):


	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 August 31, 2020
Balance at May 31, 2020 Total gains/losses (realized and unrealized) (1) Purchases Sales Settlements Issuances
Net transfers into/
(out of) Level 3
Balance at August 31, 2020
For instruments still held at
August 31, 2020 changes in
unrealized gains/(losses) included in:
Earnings (1) Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities $ 76,100
$ (588 ) $ 699
$ 0
$ 0
$ 0
$ 1,619
$ 77,830
$ (588 ) $ 0
Corporate debt securities 25,178
(889 ) 4
(394 ) 0
0
(630 ) 23,269
(881 ) 0
CDOs and CLOs 23,139
3,796
39
(7,539 ) (2,075 ) 0
10,576
27,936
385
0
RMBS 22,339
1,240
0
0
(774 ) 0
5,512
28,317
1,262
0
CMBS 4,461
202
0
0
0
0
0
4,663
198
0
Other ABS 86,062
(1,585 ) 3,313
0
(7,442 ) 0
(17,011 ) 63,337
(5,101 ) 0
Loans and other receivables 68,429
8,302
18,492
(13,897 ) (355 ) 0
24,463
105,434
8,633
0
Investments at fair value 63,959
(3,257 ) 2,182
0
(13,003 ) 0
0
49,881
(4,406 ) 0
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities $ 4,190
$ (12 ) $ 0
$ 0
$ 0
$ 0
$ 189
$ 4,367
$ 12
$ 0
Corporate debt securities 163
(15 ) 0
0
0
0
0
148
15
0
CMBS 140
0
(140 ) 35
0
0
0
35
0
0
Loans 10,674
6,636
(23,001 ) 3,558
0
0
48,727
46,594
(6,591 ) 0
Net derivatives (2) 45,131
(12,175 ) (1,404 ) 13,089
(648 ) 0
(21,568 ) 22,425
12,007
0
Other secured financings 0
(617 ) 0
0
0
4,019
0
3,402
617
0
Long-term debt 497,040
130,463
0
0
0
5,749
(2,992 ) 630,260
(42,163 ) (88,300 )
(1)Realized and unrealized gains/losses are primarily reported in Principal transactions revenues in our Consolidated Statements of Earnings. Changes in instrument-specific credit risk related to structured notes within Long-term debt are included in our Consolidated Statement of Comprehensive Income, net of tax.


~~(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.~~

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

Analysis of Level 3 Assets and Liabilities for the ~~three months ended August~~Three Months Ended May 31, ~~2020~~2021

During the three months ended ~~August~~May 31, ~~2020,~~2021, transfers of assets of ~~$64.5~~$57.8 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:

•Loans and other receivables of ~~$31.8~~$20.9 million, CDOs and CLOs of ~~$19.5~~$20.1 million and Other ABS of ~~$5.8 million and RMBS of $5.5~~$13.5 million due to reduced pricing transparency.

During the three months ended ~~August~~May 31, ~~2020,~~2021, transfers of assets of ~~$39.9~~$21.8 million from Level 3 to Level 2 are primarily attributed to:

•RMBS of $15.3 million and Other ABS of ~~$22.9 million, CDOs and CLOs of $8.9 million and Loans and other receivables of $7.4~~$4.4 million due to greater pricing transparency supporting classification into Level 2.

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During the three months ended ~~August~~May 31, ~~2020,~~2021, transfers of liabilities of ~~$54.4~~$78.1 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:

~~Loans of $50.1 million and~~ •Net derivatives of ~~$4.1~~$50.5 million and structured notes within Long-term debt of $27.4 million due to reduced pricing and market transparency.

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~~(Unaudited)~~

During the three months ended ~~August~~May 31, ~~2020,~~2021, transfers of liabilities of ~~$30.0~~$154.7 million from Level 3 to Level 2 of the fair value hierarchy are primarily attributed to:

•Net derivatives of ~~$25.6 million and structured notes of $3.0~~$154.2 million due to greater pricing ~~and market~~ transparency.

Net gains on Level 3 assets were ~~$7.2~~$21.8 million and net losses on Level 3 liabilities were ~~$124.3~~$7.0 million for the three months ended ~~August~~May 31, ~~2020.~~2021. Net gains on Level 3 assets were primarily due to increased market values across ~~Loans and other receivables and~~Corporate equity securities, CDOs and CLOs ~~partially offset by decreased market values across Investments at fair value~~ and Other ABS. Net losses on Level 3 liabilities were primarily due to increased valuations of ~~certain~~ structured notes within Long-term debt, partially offset by ~~decreased market values across~~decreases in certain derivatives.

The following is a summary of changes in fair value of our financial assets and liabilities that have been categorized within Level 3 of the fair value hierarchy for the ~~nine~~six months ended ~~August~~May 31, ~~2020~~2021 (in thousands):


	Six Months Ended May 31, 2021
	Balance at November 30, 2020		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	$	75,797	$	14,329	$	8,288	$	(37,297)	$	0	$	0	$	10,607	$	71,724	$	(653)	$	0
Corporate debt securities	23,146		2,466		4,370		(5,960)		(132)		0		(15,905)		7,985		1,492		0
CDOs and CLOs	10,513		9,695		16,510		(27,251)		(1,142)		0		18,141		26,466		6,808		0


RMBS	21,826		33		799		(784)		(1,126)		0		(14,715)		6,033		88		0
CMBS	2,003		158		1,119		(393)		(1,696)		0		(15)		1,176		(740)		0
Other ABS	79,995		6,373		34,476		(27,647)		(26,465)		0		3,823		70,555		1,158		0
Loans and other receivables	77,042		4,312		37,431		(50,556)		(273)		0		51,594		119,550		878		0
Investments at fair value	67,108		(2,098)		133		(23,575)		(1,183)		0		0		40,385		(3,989)		0
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	4,434	$	64	$	(23)	$	0	$	0	$	0	$	(13)	$	4,462	$	(62)	$	0
Corporate debt securities	141		1,349		(563)		0		0		0		0		927		(414)		0

CMBS	35		0		(35)		35		0		0		0		35		0		0
Loans	16,635		1,441		(6,872)		8,817		0		0		368		20,389		(884)		0
Net derivatives (2)	26,017		16,813		(82)		66,304		506		0		117,500		227,058		(17,358)		0
Other secured financings	1,543		0		0		0		0		950		0		2,493		0		0
Long-term debt	676,028		41,064		0		0		0		50,295		27,711		795,098		20,565		(61,629)

(1)Realized and unrealized gains/losses are primarily reported in Principal transactions revenues in our Consolidated Statements of Earnings. Changes in instrument-specific credit risk related to structured notes within Long-term debt are 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.

Nine Months Ended August 31, 2020
Total gains/losses (realized and unrealized) (1)
Net transfers into/
(out of) Level 3

For instruments still held at
August 31, 2020, changes in unrealized gains/(losses) included in:
Balance at November 30, 2019 Purchases Sales Settlements Issuances Balance at August 31, 2020 Earnings (1) Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities $ 58,301
$ (3,793 ) $ 3,299
$ (13,555 ) $ 0
$ 0
$ 33,578
$ 77,830
$ (654 ) $ 0
Corporate debt securities 7,490
(162 ) 285
(489 ) (602 ) 0
16,747
23,269
(591 ) 0
CDOs and CLOs 20,081
(8,651 ) 10,883
(20,935 ) (5,675 ) 0
32,233
27,936
(20,218 ) 0
RMBS 17,740
(1,347 ) 7,625
0
(496 ) 0
4,795
28,317
(1,811 ) 0
CMBS 6,110
232
0
0
(1,785 ) 0
106
4,663
807
0
Other ABS 42,563
(3,495 ) 29,096
(664 ) (22,125 ) 0
17,962
63,337
(13,012 ) 0
Loans and other receivables 64,240
(7,093 ) 259,982
(208,958 ) (6,979 ) 0
4,242
105,434
(6,216 ) 0
Investments at fair value 75,738
(33,753 ) 21,067
(168 ) (13,003 ) 0
0
49,881
(35,601 ) 0
Securities purchased under agreements to resell 25,000
0
0
0
(25,000 ) 0
0
0
0
0
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities $ 4,487
$ 258
$ (567 ) $ 0
$ 0
$ 0
$ 189
$ 4,367
$ 98
$ 0
Corporate debt securities 340
(261 ) (325 ) 394
0
0
0
148
20
0
CMBS 35
0
(35 ) 35
0
0
0
35
0
0
Loans 9,463
2,986
(5,760 ) 38,531
0
0
1,374
46,594
(3,366 ) 0
Net derivatives (2) 77,168
(63,367 ) (6,732 ) 26,656
(1,567 ) 0
(9,733 ) 22,425
60,257
0
Other secured financings 0
(617 ) 0
0
0
4,019
0
3,402
617
0
Long-term debt 480,069
10,851
0
0
(2,000 ) 202,046
(60,706 ) 630,260
(28,153 ) 17,302

Table of Contents


~~(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 Statements of Comprehensive Income, net of tax.


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

JEFFERIES GROUP LLC AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

Analysis of Level 3 Assets and Liabilities for the ~~Nine~~Six Months Ended ~~August~~May 31, ~~2020~~2021

During the ~~nine~~six months ended ~~August~~May 31, ~~2020,~~2021, transfers of assets of ~~$132.0~~$99.7 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:

~~Corporate equity securities~~•Loans and other receivables of ~~$36.6~~$58.3 million, CDOs and CLOs of ~~$34.1~~$18.2 million, Corporate equity securities of $11.0 million and Other ABS of ~~$23.5 million, Corporate debt securities of $18.6 million and Loans and other receivables of $13.4~~$10.5 million due to reduced pricing transparency.

~~Table of Contents~~

~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED~~

~~(Unaudited)~~

During the ~~nine~~six months ended ~~August~~May 31, ~~2020,~~2021, transfers of assets of ~~$22.3~~$46.1 million from Level 3 to Level 2 are primarily attributed to:

•Corporate debt securities of $17.5 million, RMBS of $14.7 million, Other ABS of $6.7 million and Loans and other receivables of ~~$9.2 million, Other ABS of $5.6 million and Corporate equity securities of $3.1~~$6.7 million due to greater pricing transparency supporting classification into Level 2.

During the ~~nine~~six months ended ~~August~~May 31, ~~2020,~~2021, transfers of liabilities of ~~$37.3~~$162.9 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:

•Net derivatives of ~~$35.2~~$134.8 million and structured notes within Long-term debt of $27.7 million due to reduced pricing and market transparency.

During the ~~nine~~six months ended ~~August~~May 31, ~~2020,~~2021, transfers of liabilities of ~~$106.2~~$17.3 million from Level 3 to Level 2 of the fair value hierarchy are primarily attributed to:

~~Structured notes of $60.7 million and net~~•Net derivatives of ~~$45.0~~$17.3 million due to greater ~~market and~~ pricing transparency.

Net ~~losses~~gains on Level 3 assets were ~~$58.1~~$35.3 million and net ~~gains~~losses on Level 3 liabilities were ~~$50.1~~$60.7 million for the ~~nine~~six months ended ~~August~~May 31, ~~2020.~~2021. Net ~~losses~~gains on Level 3 assets were primarily due to ~~decreased~~increased market values across ~~Investments at fair value,~~Corporate equity securities, CDOs and CLOs, Other ABS, Loans and other receivables and Corporate ~~equity~~debt securities. Net ~~gains~~losses on Level 3 liabilities were primarily due to ~~decreased market values across derivatives, partially offset by~~ increased valuations of structured notes within Long-term debt and certain ~~structured notes.~~derivatives.

Table of Contents

JEFFERIES GROUP LLC AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)


	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

Three Months Ended August 31, 2019
Balance at
May 31, 2019 Total gains/losses (realized and unrealized) (1) Purchases Sales Settlements Issuances
Net transfers into/
(out of) Level 3
Balance at August 31, 2019
For instruments still held at
August 31, 2019, changes in unrealized gains/(losses) included in:
Earnings (1) Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities $ 59,307
$ 12,542
$ 16,508
$ (17,502 ) $ 0
$ 0
$ (20,255 ) $ 50,600
$ 12,062
$ 0
Corporate debt securities 7,429
(3,072 ) 1,175
(1,942 ) (85 ) 0
5,783
9,288
(3,047 ) 0
CDOs and CLOs 16,195
(1,514 ) 0
0
0
0
6,454
21,135
(1,503 ) 0
RMBS 17,266
(1,917 ) 0
(65 ) (22 ) 0
2,667
17,929
(1,435 ) 0
CMBS 12,530
(2,003 ) 0
(1,703 ) (3,362 ) 0
0
5,462
(3,143 ) 0
Other ABS 43,185
(1,689 ) 13,497
(6,975 ) (5,500 ) 0
(7,920 ) 34,598
(1,068 ) 0
Loans and other receivables 98,484
(2,847 ) 26,921
(33,409 ) (1,287 ) 0
(12,299 ) 75,563
(2,392 ) 0
Investments at fair value 103,833
(6,407 ) 240
(296 ) 0
0
35,135
132,505
(6,407 ) 0
Securities purchased under agreements to resell 25,000
0
0
0
0
0
0
25,000
0
0
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities $ 221
$ 401
$ (221 ) $ 0
$ (190 ) $ 0
$ 0
$ 211
$ (35 ) $ 0
Corporate debt securities 669
(650 ) (34 ) 0
(369 ) 0
1,586
1,202
649
0
CMBS 0
0
0
35
0
0
0
35
0
0
Loans 9,428
(520 ) (10,281 ) 5,384
0
0
12,619
16,630
531
0
Net derivatives (2) 47,449
(19,519 ) 0
6,766
(14 ) 0
16,081
50,763
18,507
0
Long-term debt 236,562
7,455
0
0
0
114,641
(10,595 ) 348,063
(8,162 ) 706
(1)Realized and unrealized gains/losses are primarily reported in Principal transactions revenues in our Consolidated Statements of Earnings. Changes in instrument-specific credit risk related to structured notes within Long-term debt are 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.

~~Table of Contents~~

~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED~~

~~(Unaudited)~~


~~(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.~~

Analysis of Level 3 Assets and Liabilities for the ~~three months ended August~~Three Months Ended May 31, ~~2019~~2020

During the three months ended ~~August~~May 31, ~~2019,~~2020, transfers of assets of ~~$79.0~~$127.5 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:

~~Investments at fair value~~•Other ABS of ~~$35.1~~$44.5 million, CDOs and CLOs of $29.6 million, Loans and other receivables of ~~$23.7~~$20.7 million and Investment at fair value of $19.2 million due to reduced pricing transparency.

During the three months ended ~~August~~May 31, ~~2019,~~2020, transfers of assets of ~~$69.4~~$33.7 million from Level 3 to Level 2 are primarily attributed to:

~~Loans and other receivables of $36.0 million and~~ •Corporate equity securities of ~~$22.1~~$26.2 million and CDOs and CLOs of $4.4 million due to greater pricing transparency supporting classification into Level 2.

Table of Contents

JEFFERIES GROUP LLC AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

During the three months ended ~~August~~May 31, ~~2019,~~2020, transfers of liabilities of ~~$43.5~~$23.7 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:

•Net derivatives of ~~$17.6 million, Loans of $13.3~~$11.4 million and structured notes within Long-term debt of ~~$11.0~~$11.1 million due to reduced market and pricing transparency.

During the three months ended ~~August~~May 31, ~~2019,~~2020, transfers of liabilities of ~~$23.8~~$98.6 million from Level 3 to Level 2 of the fair value hierarchy are primarily attributed to:

~~Structured~~•Net derivatives of $66.1 million and structured notes within Long-term debt of ~~$21.6~~$31.9 million due to greater market transparency.

Net losses on Level 3 assets were ~~$6.9~~$39.5 million and net gains on Level 3 liabilities were ~~$12.8~~$124.3 million for the three months ended ~~August~~May 31, ~~2019.~~2020. Net losses on Level 3 assets were primarily due to decreased market values across CDOs and CLOs, Investments at fair value, Corporate ~~debt~~equity securities ~~loans~~and Loans and other ~~receivables and CMBS, partially offset by increased market values across Corporate equity securities.~~receivables. Net gains on Level 3 liabilities were primarily due to decreased valuations of certain structured notes within Long-term debt and market values across certain derivatives.

2223

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JEFFERIES GROUP LLC AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)


	Nine Months Ended August 31, 2019																											Six Months Ended May 31, 2020
	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 August 31, 2019		For instruments still held at August 31, 2019, 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:
																						Earnings (1)			Other comprehensive income (1)																			Earnings (1)		Other comprehensive income (1)
Assets:																											Assets:
Financial instruments owned:																											Financial instruments owned:
Corporate equity securities	$	51,040	$	16,381		$	23,172		$	(25,431	)	$	(669	)	$	0	$	(13,893	)	$	50,600	$	14,953		$	0	Corporate equity securities	$	58,301	$	(12,860)	$	2,989	$	(2,017)	$	0	$	0	$	29,687	$	76,100	$	(12,787)	$	0
Corporate debt securities	9,484		(4,904		)	6,080			(10,544		)	(553		)	0		9,725			9,288		(5,325		)	0		Corporate debt securities	7,490		1,560		766		(479)		(602)		0		16,443		25,178		1,190		0
CDOs and CLOs	25,815		(5,892		)	48,112			(43,230		)	(275		)	0		(3,395		)	21,135		(5,614		)	0		CDOs and CLOs	20,081		(14,223)		9,426		(11,849)		(3,193)		0		22,897		23,139		(17,115)		0

RMBS	19,603		(2,573		)	2,166			(2,022		)	(171		)	0		926			17,929		(2,166		)	0		RMBS	17,740		(2,248)		2,062		0		(10)		0		4,795		22,339		(2,195)		0
CMBS	10,886		(2,196		)	11			(2,023		)	(6,638		)	0		5,422			5,462		(4,326		)	0		CMBS	6,110		(95)		0		0		(1,660)		0		106		4,461		(680)		0
Other ABS	53,175		(929		)	14,698			(2,494		)	(30,623		)	0		771			34,598		(961		)	0		Other ABS	42,563		(2,848)		33,917		(664)		(17,361)		0		30,455		86,062		(7,226)		0
Loans and other receivables	46,985		3,933			178,069			(166,496		)	(8,379		)	0		21,451			75,563		682			0		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	113,831		(3,971		)	31,583			(296		)	0			0		(8,642		)	132,505		(3,971		)	0		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	0		0			0			0			0			25,000		0			25,000		0			0		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	$	0	$	401		$	0		$	0		$	(190	)	$	0	$	0		$	211	$	(35	)	$	0	Corporate equity securities	$	4,487	$	216	$	(513)	$	0	$	0	$	0	$	0	$	4,190	$	140	$	0
Corporate debt securities	522		(867		)	0			0			(524		)	0		2,071			1,202		867			0		Corporate debt securities	340		(27)		(150)		0		0		0		0		163		5		0

CMBS	—		—			—			35			—			—		—			35		—			—		CMBS	35		0		(35)		140		0		0		0		140		0		0
Loans	6,376		(1,342		)	(8,553		)	9,929			0			0		10,220			16,630		1,583			0		Loans	9,463		1,072		(12,958)		3,290		0		0		9,807		10,674		(1,075)		0
Net derivatives (2)	21,614		(48,746		)	(2,829		)	16,313			1,609			0		62,802			50,763		40,052			0		Net derivatives (2)	77,168		(44,729)		(11,088)		38,823		(1,010)		0		(14,033)		45,131		32,211		0
Long-term debt	200,745		(5,286		)	0			0			(11,250		)	204,710		(40,856		)	348,063		(4,517		)	9,804		Long-term debt	480,069		(101,267)		0		0		0		175,498		(57,260)		497,040		(4,802)		106,069

Table of Contents

JEFFERIES GROUP LLC AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

During the ~~nine~~six months ended ~~August~~May 31, ~~2019,~~2020, transfers of liabilities of ~~$98.3~~$37.0 million from Level 2 to Level 3 of the fair value

hierarchy are primarily attributed to:

•Net derivatives of ~~$64.5~~$26.2 million and ~~structured notes~~Loans and other receivables of ~~$20.8~~$10.8 million due to reduced ~~market and~~ pricing transparency.

During the ~~nine~~six months ended ~~August~~May 31, ~~2019,~~2020, transfers of liabilities of ~~$64.1~~$98.5 million from Level 3 to Level 2 of the fair value

hierarchy are primarily attributed to:

•Structured notes within Long-term debt of ~~$61.7~~$57.3 million and net derivatives of $40.2 million due to greater ~~market~~pricing transparency.

Net losses on Level 3 assets were ~~$0.2~~$69.8 million and net gains on Level 3 liabilities were ~~$55.8~~$144.7 million for the ~~nine~~six months ended ~~August~~May 31, ~~2019.~~2020. Net losses on Level 3 assets were primarily due to decreased market values across ~~Corporate debt securities, CDOs and CLOs and~~ Investments at fair value, ~~partially offset by increased market values across~~CDOs and CLOs, Corporate equity ~~securities.~~securities and Loans and other receivables. Net gains on Level 3 liabilities were primarily due to decreased ~~market values across derivatives and~~ valuations of certain structured ~~notes.~~notes within Long-term debt and market values across certain derivatives.

Quantitative Information about Significant Unobservable Inputs used in Level 3 Fair Value Measurements at ~~August~~May 31, ~~2020~~2021 and November 30, ~~2019~~2020

The tables below present information on the valuation techniques, significant unobservable inputs and their ranges for our financial assets and liabilities, subject to threshold levels related to the market value of the positions held, measured at fair value on a recurring basis with a significant Level 3 balance. The range of unobservable inputs could differ significantly across different firms given the range of products across different firms in the financial services sector. The inputs are not representative of the inputs that could have been used in the valuation of any one financial instrument (i.e., the input used for valuing one financial instrument within a particular class of financial instruments may not be appropriate for valuing other financial instruments within that given class). Additionally, the ranges of inputs presented below should not be construed to represent uncertainty regarding the fair values of our financial instruments; rather, the range of inputs is reflective of the differences in the underlying characteristics of the financial instruments in each category.

For certain categories, we have provided a weighted average of the inputs allocated based on the fair values of the financial instruments comprising the category. We do not believe that the range or weighted average of the inputs is indicative of the reasonableness of uncertainty of our Level 3 fair values. The range and weighted average are driven by the individual financial instruments within each category and their relative distribution in the population. The disclosed inputs when compared with the inputs as disclosed in other periods should not be expected to necessarily be indicative of changes in our estimates of unobservable inputs for a particular financial instrument as the population of financial instruments comprising the category will vary from period to period based on purchases and sales of financial instruments during the period as well as transfers into and out of Level 3 each period.

2425

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JEFFERIES GROUP LLC AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)


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

August 31, 2020
Financial Instruments Owned:
Fair Value
(in thousands)
Valuation Technique Significant Unobservable Input(s) Input / Range
Weighted
Average
Corporate equity securities $ 77,442

Non-exchange traded securities Market approach Price $1 - $213 $84
EBITDA multiple $3 - $4 $3
Corporate debt securities $ 23,269
Market approach Price $69 —
Scenario analysis Estimated recovery percentage 22% —
CDOs and CLOs $ 27,936
Discounted cash flows Constant prepayment rate 2 % - 20% 19%
Constant default rate 1 % - 2% 2%
Loss severity 25 % - 50% 28%
Discount rate/yield 6 % - 26% 17%
RMBS $ 28,317
Discounted cash flows Cumulative loss rate 2 % - 32% 5%
Duration (years) 1.0
- 13.0 9.7
Discount rate/yield 4 % - 14% 5%
CMBS $ 4,663
Scenario analysis Estimated recovery percentage 44% —
Other ABS $ 63,337
Discounted cash flows Cumulative loss rate 7 % - 72% 18%
Duration (years) 0.3
- 4.2 1.8
Discount rate/yield 4 % - 15% 10%
Market approach Price $100 —
Loans and other receivables $ 104,212
Market approach Price $6 - $100 $76
Scenario analysis Estimated recovery percentage 2 % - 100% 62%
Derivatives $ 50,637

Loans total return swaps Market approach Price $97 - $99 $98
Interest rate swaps Market approach Basis points upfront 3
- 20 9
Investments at fair value $ 49,881

Private equity securities Market approach Price $6 - $169 $50
Scenario analysis Estimated recovery percentage 33% —
Financial Instruments Sold, Not Yet Purchased:
Corporate equity securities $ 4,367
Market approach Transaction level $1 —
Corporate debt securities $ 148
Scenario analysis Estimated recovery percentage 22% —
Loans $ 46,594
Market approach Price $31 - $97 $70
Scenario analysis Estimated recovery percentage 2% —
Derivatives $ 69,615

Equity options Volatility benchmarking Volatility 32 % - 46% 39%
Interest rate swaps Market approach Basis points upfront 3
- 20 9
Unfunded commitments Price $97 - $99 $98
Other secured financings $ 3,402
Scenario analysis Estimated recovery percentage 60 % - 100% 79%
Long-term debt
Structured notes $ 630,260
Market approach Price $77 - $105 $99
Price €69 - €107 €91

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November 30, 2019
Financial Instruments Owned Fair Value
(in thousands) Valuation Technique Significant Unobservable Input(s) Input / Range Weighted
Average
Corporate equity securities $29,017
Non-exchange-traded securities Market approach Price $1 - $140 $55
Underlying stock price $3 - $5 $4
Corporate debt securities $7,490 Scenario analysis Estimated recovery percentage 23 % - 85% 46%
Volatility 44% —
Credit spread 750 —
Underlying stock price £0.4 —
CDOs and CLOs $20,081 Discounted cash flows Constant prepayment rate 20% —
Constant default rate 1 % - 2% 2%
Loss severity 25 % - 37% 29%
Discount rate/yield 12 % - 21% 15%
RMBS $17,740 Discounted cash flows Cumulative loss rate 2% —
Duration (years) 6.3 —
Discount rate/yield 3% —
CMBS $6,110 Discounted cash flows Cumulative loss rate 7.3% —
Duration (years) 0.2 —
Discount rate/yield 85% —
Scenario analysis Estimated recovery percentage 44% —
Other ABS $42,563 Discounted cash flows Cumulative loss rate 7 % - 31% 16%
Duration (years) 0.5
- 3.0 1.5
Discount rate/yield 7 % - 15% 11%
Loans and other receivables $62,734 Market approach Price $36 - $100 $90
Scenario analysis Estimated recovery percentage 87 % - 104% 99%
Derivatives $13,826
Interest rate swaps Market approach Basis points upfront 0
- 16 6
Unfunded commitments Price $88 —
Equity options Volatility benchmarking Volatility 45% —
Investments at fair value $75,736
Private equity securities Market approach Price $8 - $250 $125
Securities purchased under agreements to resell $25,000
Market approach Spread to 6 month LIBOR 500 —
Duration (years) 1.5 —

Financial Instruments Sold, Not Yet Purchased:
Corporate equity securities $4,487 Market approach Transaction level $1 —
Loans $9,463 Market approach Price $50 - $100 $88
Scenario analysis Estimated recovery percentage 1% —
Derivatives $92,057
Equity options Volatility benchmarking Volatility 21 % - 61% 43%
Interest rate swaps Market approach Basis points upfront 0
- 22 13
Cross currency swaps Basis points upfront 2 —
Unfunded commitments Price $88 —
Long-term debt
Structured notes $480,069 Market approach Price $84 - $108 $96
Price €74 - €103 €91


November 30, 2020
Financial Instruments Owned	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input / Range				Weighted Average
Corporate equity securities	$	75,409
Non-exchange-traded securities			Market approach	Price	$1		-	$213	$86
				EBITDA multiple	4.0		-	8.0	5.7
Corporate debt securities	$	23,146	Market approach	Price	$69				—
			Scenario analysis	Estimated recovery percentage	20	%	-	44%	30%
CDOs and CLOs	$	10,513	Discounted cash flows	Constant prepayment rate	20%				—
				Constant default rate	2%				—
				Loss severity	25	%	-	30%	26%
				Discount rate/yield	14	%	-	28%	20%
RMBS	$	21,826	Discounted cash flows	Cumulative loss rate	2	%	-	3%	3%
				Loss severity	35	%	-	50%	36%
				Duration (years)	2.0		-	12.9	5.1
				Discount rate/yield	3	%	-	12%	4%
Other ABS	$	67,816	Discounted cash flows	Cumulative loss rate	1	%	-	28%	11%
				Loss severity	50	%	-	85%	54%
				Duration (years)	0.2		-	2.1	1.3
				Discount rate/yield	1	%	-	16%	9%
			Market approach	Price	$100				—
Loans and other receivables	$	76,046	Market approach	Price	$31		-	$100	$84
			Scenario analysis	Estimated recovery percentage	19	%	-	100%	52%
Derivatives	$	19,951
Equity options			Volatility benchmarking	Volatility	47%				—
Interest rate swaps			Market approach	Basis points upfront	1.2		-	8.0	4.8
Investments at fair value	$	67,108
Private equity securities			Market approach	Price	$1		-	$169	$34
			Scenario analysis	Estimated recovery percentage	17%				—
Financial Instruments Sold, Not Yet Purchased:
Corporate equity securities	$	4,434
Non-exchange-traded securities			Market approach	Price	$1				—
Corporate debt securities	$	141	Scenario analysis	Estimated recovery percentage	20%				—
Loans	$	16,635	Market approach	Price	$31		-	$99	$55
Derivatives	$	46,971
Equity options			Volatility benchmarking	Volatility	33	%	-	50%	42%
Interest rate swaps			Market approach	Basis points upfront	1.2		-	8.0	5.4
Other secured financings	$	1,543	Scenario analysis	Estimated recovery percentage	19	%	-	55%	45%
Long-term debt
Structured notes	$	676,028	Market approach	Price	$100				—
				Price	€76		-	€113	€99

The fair values of certain Level 3 assets and liabilities that were determined based on third-party pricing information, unadjusted past transaction prices or a percentage of the reported enterprise fair value are excluded from the above tables. At ~~August~~May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, asset exclusions consisted of ~~$3.2~~$2.5 million and ~~$31.9~~$17.3 million, respectively, primarily comprised of other ABS, CMBS, certain derivatives, loans and other receivables and corporate equity securities. At ~~August 31, 2020 and~~ November 30, ~~2019,~~2020, liability exclusions consisted of ~~$5.0~~$0.8 million ~~and $0.4 million, respectively,~~ primarily comprised of certain derivatives and CMBS.

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Uncertainty of Fair Value Measurement from Use of Significant Unobservable Inputs

For recurring fair value measurements categorized within Level 3 of the fair value hierarchy, the uncertainty of the fair value measurement due to the use of significant unobservable inputs and interrelationships between those unobservable inputs (if any) are described below:

~~Corporate equity~~•Non-exchange-traded securities, corporate debt securities, CDOs and CLOs, loans and other receivables, ~~certain derivatives,~~ other ABS, private equity securities, ~~securities purchased under agreements to resell~~certain derivatives and structured notes using a market approach valuation technique. A significant increase (decrease) in the ~~transaction level of corporate equity securities would result in a significantly higher (lower) fair value measurement. A significant increase (decrease) in the~~ price of the private equity securities, non-exchange-traded securities ~~unfunded commitments,~~and corporate debt securities, other ABS, loans and other receivables, total return swaps or structured notes would result in a significantly higher (lower) fair value measurement. A significant increase (decrease) in the ~~EBITDA multiple related to corporate equity~~transaction level of non-exchange-traded securities, CDOs and CLOs and loans and other receivables would result in a significantly higher (lower) fair value measurement. A significant increase (decrease) in the ~~underlying stock price of corporate equity~~EBITDA multiple related to non-exchange-traded securities would result in a significantly higher (lower) ~~fair value measurement. A significant increase (decrease) in the yield or duration, in isolation, of securities purchased under agreements to resell would result in a significantly lower (higher)~~ fair value measurement. Depending on whether we are a receiver or (payer) of basis points upfront, a significant increase in basis points would result in a significant increase (decrease) in the fair value measurement of ~~cross currency and~~ interest rate swaps.

•Loans and other receivables, corporate debt securities, private equity securities and other secured financings using scenario analysis. A significant increase (decrease) in the possible recovery rates of the cash flow outcomes underlying the financial instrument would result in a significantly higher (lower) fair value measurement for the financial instrument.

•

~~Loans and other receivables, CMBS~~, corporate debt securities, private equity securities and other secured financings using scenario analysis. A significant increase (decrease) in the possible recovery rates of the cash flow outcomes underlying the financial instrument would result in a significantly higher (lower) fair value measurement for the financial instrument. A significant increase (decrease) in the price of the underlying assets of the financial instrumentwould result in a significantly higher (lower) fair value measurement. A significant increase (decrease) in the volatility of the underlying stock price would result in a significantly higher (lower) fair value measurement. A significant increase (decrease) in the credit spread of the financial instrument would result in a significantly lower (higher) fair value measurement.

CDOs and CLOs, RMBS ~~CMBS~~ and other ABS using a discounted cash flow valuation technique. A significant increase (decrease) in isolation in the constant default rate, loss severity or cumulative loss rate would result in a significantly lower (higher) fair value measurement. The impact of changes in the constant prepayment rate and duration would have differing impacts depending on the capital structure and type of security. A significant increase (decrease) in the discount rate/security yield would result in a significantly lower (higher) fair value measurement.

•Derivative equity options using volatility benchmarking. A significant increase (decrease) in volatility would result in a significantly higher (lower) fair value measurement.

Fair Value Option Election

We have elected the fair value option for all loans and loan commitments made by our investment banking and capital markets businesses. These loans and loan commitments include loans entered into by our investment banking division in connection with client bridge financing and loan syndications, loans purchased by our leveraged credit trading desk as part of its bank loan trading activities and mortgage and consumer loan commitments, purchases and fundings in connection with mortgage-backed and other asset-backed securitization activities. Loans and loan commitments originated or purchased by our leveraged credit and mortgage-backed businesses are managed on a fair value basis. Loans are included in Financial instruments owned and loan commitments are included in Financial instruments owned and Financial instruments sold, not yet purchased in our Consolidated Statements of Financial Condition. The fair value option election is not applied to loans made to affiliate entities as such loans are entered into as part of ongoing, strategic business ventures. Loans to affiliate entities are included in Loans to and investments in related parties in our Consolidated Statements of Financial Condition and are accounted for on an amortized cost basis. We have also elected the fair value option for certain of our structured notes which are managed by our investment banking and capital markets businesses and are included in Long-term debt and Short-term borrowings in our Consolidated Statements of Financial Condition. We have elected the fair value option for certain financial instruments held by subsidiaries as the investments are risk managed by us on a fair value basis. The fair value option has been elected for certain other secured financings that arise in connection with our securitization activities and other structured financings. Other secured financings, Receivables – Brokers, dealers and clearing organizations, Receivables – Customers, Receivables – Fees, interest and other, Payables – Brokers, dealers and clearing organizations and Payables – Customers, are accounted for at cost plus accrued interest rather than at fair value; however, the recorded amounts approximate fair value due to their liquid or short-term nature.

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The following is a summary of gains (losses) due to changes in instrument specific credit risk on loans, other receivables and debt instruments and gains (losses) due to other changes in fair value on Short-term ~~borrowing,~~borrowings and Long-term debt measured at fair value under the fair value option (in thousands):


	Three Months Ended May 31,				Six Months Ended May 31,
	2021		2020		2021		2020
Financial instruments owned:
Loans and other receivables	$	15,520	$	(13,926)	$	23,259	$	(10,830)
Financial instruments sold, not yet purchased:
Loans	$	(363)	$	127	$	(363)	$	127
Loan commitments	0		1,750		0		1,089
Short-term borrowings:
Changes in instrument specific credit risk (1)	$	0	$	35	$	0	$	91
Other changes in fair value (2)	0		(644)		0		(881)


Long-term debt:
Changes in instrument specific credit risk (1)	$	(32,247)	$	197,737	$	(122,898)	$	227,169
Other changes in fair value (2)	6,846		(30,982)		86,113		(68,624)

(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.

The following is a summary of the amounts by which contractual principal is greater than (less than) fair value for loans and other receivables, short-term borrowings, Other secured financings and Long-term debt measured at fair value under the fair value option (in thousands):


	May 31, 2021		November 30, 2020
Financial instruments owned:
Loans and other receivables (1)	$	5,809,031	$	1,662,647
Loans and other receivables on nonaccrual status and/or 90 days or greater past due (1) (2)	135,054		287,889
Long-term debt and short-term borrowings	(75,025)		(42,819)
Other secured financings	2,782		2,782

Three Months Ended
August 31, Nine Months Ended
August 31,
2020 2019 2020 2019
Financial instruments owned:
Loans and other receivables $ 1,704
$ 2,040
$ (11,256 ) $ (5,458 )
Financial instruments sold, not yet purchased:
Loans $ 367
$ 0
$ (610 ) $ 0
Loan commitments 1,875
(443 ) 464
(1,200 )
Short-term borrowings:
Changes in instrument specific credit risk (1) $ (23 ) $ 0
$ (92 ) $ 0
Other changes in fair value (2) (1,115 ) 0
(959 ) 0
Other secured financings
Other changes in fair value (2) $ 617
$ 0
$ 617
$ 0
Long-term debt:
Changes in instrument specific credit risk (1) $ (177,801 ) $ 6,922
$ 49,369
$ 34,414
Other changes in fair value (2) (9,943 ) (46,003 ) (78,567 ) (93,311 )


~~(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.~~

~~The following~~(1)Interest income is ~~a summary~~recognized separately from other changes in fair value and is included in Interest revenues in our Consolidated Statements of ~~the amount~~Earnings.

(2)Amounts include loans and other receivables 90 days or greater past due by which contractual principal exceeds fair value ~~for loans~~of $36.5 million and ~~other receivables, short-term borrowings, other secured financings~~$30.0 million at May 31, 2021 and ~~long-term debt measured at fair value under the fair value option (in thousands):~~November 30, 2020, respectively.

August 31, 2020 November 30, 2019
Financial instruments owned:
Loans and other receivables (1) $ 1,839,249
$ 1,546,516
Loans and other receivables on nonaccrual status and/or 90 days or greater past due (1) (2) 334,504
197,215
Long-term debt and short-term borrowings 74,197
74,408
Other secured financings 923
0


~~(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 $29.0 million and $22.2 million at August 31, 2020 and November 30, 2019, respectively.

The aggregate fair value of loans and other receivables on nonaccrual status and/or 90 days or greater past due was ~~$162.6~~$67.4 million and ~~$127.0~~$69.7 million at ~~August~~May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, respectively, which includes loans and other receivables 90 days or greater past due of ~~$13.3~~$26.2 million and ~~$24.8~~$3.8 million at ~~August~~May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, respectively.

Financial Instruments Not Measured at Fair Value

Certain of our financial instruments are not carried at fair value but are recorded at amounts that approximate fair value due to their liquid or short-term nature and generally negligible credit risk. These financial assets include Cash and cash equivalents and Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations and would generally be presented within Level 1 of the fair value hierarchy. Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations includes U.S. Treasury securities with a fair value of ~~$55.9~~$58.0 million and ~~$35.0~~$34.2 million at ~~August~~May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, respectively.

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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: (1) an 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, 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 ~~August~~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.

August 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 $ 70,159
1
$ 0
0
Foreign exchange contracts:
Bilateral OTC 0
0
393
2
Total derivatives designated as accounting hedges 70,159
393

Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded 781
48,453
73
69,918
Cleared OTC 75,125
3,894
168,467
4,199
Bilateral OTC 689,581
1,480
316,196
621
Foreign exchange contracts:
Exchange-traded 0
0
0
245
Bilateral OTC 416,298
13,561
391,431
13,449
Equity contracts:
Exchange-traded 507,083
906,465
517,384
775,309
Bilateral OTC 351,744
1,939
879,876
1,945
Commodity contracts:
Exchange-traded 0
2,073
0
1,503
Bilateral OTC 0
1
0
0
Credit contracts:
Cleared OTC 3,165
15
5,567
13
Bilateral OTC 2,116
11
3,518
10
Total derivatives not designated as accounting hedges 2,045,893
2,282,512

Total gross derivative assets/ liabilities:
Exchange-traded 507,864
517,457

Cleared OTC 148,449
174,034

Bilateral OTC 1,459,739
1,591,414

Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded (504,400 ) (504,400 )
Cleared OTC (144,200 ) (145,706 )
Bilateral OTC (963,215 ) (1,149,575 )
Net amounts per Consolidated Statements of Financial Condition (4) $ 504,237
$ 483,224


~~(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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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)


	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
$ 0
0
Total derivatives designated as accounting hedges 28,663
0

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 0
256
0
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 0
5,524
0
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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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

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 August 31,					Nine Months Ended August 31,							Three Months Ended May 31,				Six Months Ended May 31,
Gains (Losses)	2020		2019			2020			2019			Gains (Losses)	2021		2020		2021		2020
Interest rate swaps	$	834	$	28,052		$	47,303		$	69,843		Interest rate swaps	$	(1,671)	$	22,004	$	(45,462)	$	46,469
Long-term debt	1,634		(28,519		)	(45,539		)	(72,288		)	Long-term debt	5,215		(22,306)		52,026		(47,173)
Total	$	2,468	$	(467	)	$	1,764		$	(2,445	)	Total	$	3,544	$	(302)	$	6,564	$	(704)

The following table provides information related to gains (losses) on our net investment hedges recognized in Currency translation ~~adjustments~~ and other adjustments, a component of Other comprehensive income (loss), in our Consolidated Statements of Comprehensive Income (in thousands):


	Three Months Ended August 31,					Nine Months Ended August 31,						Three Months Ended May 31,				Six Months Ended May 31,
Gains (Losses)	2020			2019		2020			2019		Gains (Losses)	2021		2020		2021		2020
Foreign exchange contracts	$	(393	)	$	0	$	(393	)	$	0	Foreign exchange contracts	$	(21,906)	$	0	$	(63,406)	$	0

Total	$	(393	)	$	0	$	(393	)	$	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
August 31, Nine Months Ended
August 31,
Gains (Losses) 2020 2019 2020 2019
Interest rate contracts $ (35,462 ) $ (89,864 ) $ (40,630 ) $ (193,715 )
Foreign exchange contracts 4,973
(3,022 ) 4,126
(1,604 )
Equity contracts (32,782 ) 2,236
113,253
(118,354 )
Commodity contracts (2,064 ) 3,400
(2,845 ) 4,775
Credit contracts (179 ) 2,687
14,205
11,600
Total $ (65,514 ) $ (84,563 ) $ 88,109
$ (297,298 )




	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.

3233

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

OTC Derivatives. The following tables set forth by remaining contract maturity the fair value of OTC derivative assets and liabilities at ~~August~~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 options and forwards $ 21,437
$ 44,672
$ 15,160
$ (25,445 ) $ 55,824
Total return swaps 74,923
19,764
2,872
(14,666 ) 82,893
Foreign currency forwards, swaps and options 63,570
28,993
0
(4,477 ) 88,086
Interest rate swaps, options and forwards 94,956
204,309
222,482
(45,025 ) 476,722
Total $ 254,886
$ 297,738
$ 240,514
$ (89,613 ) 703,525
Cross product counterparty netting (22,759 )
Total OTC derivative assets included in Financial instruments owned $ 680,766


~~(1)~~	~~At August 31, 2020, we held net exchange-traded derivative assets and other credit agreements with a fair value of $25.1 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 August 31, 2020, cash collateral received was $201.6 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.~~

(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.

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 $ 15,474
$ 370,915
$ 156,839
$ (25,445 ) $ 517,783
Credit default swaps 12
1,108
0
0
1,120
Total return swaps 58,888
103,567
0
(14,666 ) 147,789
Foreign currency forwards, swaps and options 55,430
11,792
34
(4,477 ) 62,779
Fixed income forwards 1,404
0
0
0
1,404
Interest rate swaps, options and forwards 42,132
80,469
72,462
(45,025 ) 150,038
Total $ 173,340
$ 567,851
$ 229,335
$ (89,613 ) 880,913
Cross product counterparty netting (22,759 )
Total OTC derivative liabilities included in Financial instruments sold, not yet purchased $ 858,154
(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.


~~(1)~~	~~At August 31, 2020, we held net exchange-traded derivative liabilities and other credit agreements with a fair value of $14.5 million, which are not included in this table.~~


~~(2)~~	OTC derivative liabilities in the table above are gross of collateral pledged. OTC derivative liabilities are recorded net of collateral pledged in our Consolidated Statements of Financial Condition. At August 31, 2020, cash collateral pledged was $389.5 million.


~~(3)~~	~~Derivative fair values include counterparty netting within product category.~~


~~(4)~~	~~Amounts represent the netting of receivable balances with payable balances for the same counterparty within product category across maturity categories.~~

(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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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

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

Counterparty credit quality (1):
A- or higher $ 113,989
BBB- to BBB+ 15,949
BB+ or lower 353,564
Unrated 197,264
Total $ 680,766


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


	August 31, 2020									November 30, 2020
	External Credit Rating									External Credit Rating
	Investment Grade		Non-investment Grade		Unrated		Total Notional			Investment Grade		Non-investment Grade		Unrated		Total Notional
Credit protection sold:									Credit protection sold:
Index credit default swaps	$	2.0	$	45.9	$	0	$	47.9	Index credit default swaps	$	62.0	$	262.8	$	0	$	324.8
Single name credit default swaps	0		6.2		0.2		6.4		Single name credit default swaps	0		6.2		0.2		6.4

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
$ 0
$ 35.0
Single name credit default swaps 3.4
29.0
1.5
33.9

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

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

August 31, 2020 November 30, 2019
Derivative instrument liabilities with credit-risk-related contingent features $ 191.4
$ 42.9
Collateral posted (120.6 ) (3.1 )
Collateral received 64.5
114.1
Return of and additional collateral required in the event of a credit rating downgrade below investment grade (1) 135.3
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.

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~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED~~

~~(Unaudited)~~

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):

August 31, 2020
Securities Lending Arrangements Repurchase Agreements Obligation To Return Securities Received As Collateral, at fair value Total
Collateral Pledged:
Corporate equity securities $ 1,317,023
$ 176,221
$ 4,413
$ 1,497,657
Corporate debt securities 605,527
1,661,854
0
2,267,381
Mortgage-backed and asset-backed securities 0
1,680,052
0
1,680,052
U.S. government and federal agency securities 7,187
12,187,529
0
12,194,716
Municipal securities 0
180,837
0
180,837
Sovereign obligations 0
2,636,878
0
2,636,878
Loans and other receivables 0
1,313,667
0
1,313,667
Total $ 1,929,737
$ 19,837,038
$ 4,413
$ 21,771,188

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)


	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


	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	$	0	$	1,443,953	Corporate equity securities	$	1,371,978	$	157,912	$	7,517	$	1,537,407
Corporate debt securities	191,311		1,730,526		0		1,921,837		Corporate debt securities	369,218		1,869,844		0		2,239,062
Mortgage-backed and asset-backed securities	0		1,745,145		0		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	0		498,202		0		498,202		Municipal securities	0		278,470		0		278,470
Sovereign obligations	0		3,016,563		0		3,016,563		Sovereign obligations	54,763		2,763,032		0		2,817,795
Loans and other receivables	0		772,926		0		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


	August 31, 2020											November 30, 2020
	Overnight and Continuous		Up to 30 Days		31-90 Days		Greater than 90 Days		Total			Overnight and Continuous		Up to 30 Days		31-90 Days		Greater than 90 Days		Total
Securities lending arrangements	$	630,163	$	0	$	553,062	$	746,512	$	1,929,737	Securities lending arrangements	$	636,256	$	59,735	$	459,455	$	655,302	$	1,810,748
Repurchase agreements	10,606,433		1,695,229		4,243,474		3,291,902		19,837,038		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	4,413		0		0		0		4,413		Obligation to return securities received as collateral, at fair value	7,517		0		0		0		7,517
Total	$	11,241,009	$	1,695,229	$	4,796,536	$	4,038,414	$	21,771,188	Total	$	6,154,249	$	1,807,261	$	5,479,340	$	3,536,688	$	16,977,538

Table of Contents

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. Subsequently, with various government actions and more clarity from the U.S. Federal Reserve Bank on future interest rate policy, the equity markets have experienced a strong rebound and a supportive trading environment for investors has emerged along with renewed activity in the equity and debt new issue capital markets. We have experienced strong market volumes and increased client activity across our capital markets business with considerably improved performance. Our investment banking 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.~~

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~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

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
August 31, % Change Nine Months Ended
August 31, % Change
2020 2019 2020 2019
Net revenues $ 1,383,444
$ 777,159
78.0 % $ 3,588,507
$ 2,364,728
51.8 %
Non-interest expenses 1,020,043
694,084
47.0 % 2,816,860
2,063,930
36.5 %
Earnings before income taxes 363,401
83,075
337.4 % 771,647
300,798
156.5 %
Income tax expense 95,870
18,250
425.3 % 203,855
79,789
155.5 %
Net earnings 267,531
64,825
312.7 % 567,792
221,009
156.9 %
Net earnings (loss) attributable to noncontrolling interests (531 ) (143 ) 271.3 % (4,397 ) 140
N/M
Net earnings attributable to Jefferies Group LLC 268,062
64,968
312.6 % 572,189
220,869
159.1 %

Effective tax rate 26.4 % 22.0 % 26.4 % 26.5 %

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

Executive Summary

Three Months Ended ~~August~~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 ~~August~~May 31, ~~2020~~2021 were ~~a record of $1,383.4 million,~~$1.62 billion, up ~~78.0%~~56.4% compared with ~~$777.2 million~~$1.03 billion for the three months ended ~~August~~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 August 31, 2020 reflect record results in our~~equities, fixed income and asset management.

•Our investment banking ~~business, record equities net revenues, strong fixed income net revenues, and record performance in asset management. Our record~~ results reflect our ~~increasing~~increased market share, asincluding record net revenues in investment banking advisory and debt underwriting, and solid performance in equity underwriting.

•Our combined capital markets results reflected strong net revenues in equities and fixed income against a ~~result~~backdrop of ~~our continual investment in expanding~~reduced secondary trading activity and strengthening our business, which includes our longstanding and significant position in the U.S., our meaningfully strengthened effort in Europe and our growing presence across Asia, as well as a stronglower trading ~~backdrop as our clients continued to navigate the COVID-19 pandemic.~~market volumes.

Business Results

•Our record investment banking net revenues of ~~$588.8 million~~$1.03 billion for the three months ended ~~August~~May 31, ~~2020~~2021 were an increase of ~~46.0%~~226.8% from the prior year comparable quarter, reflecting record advisory revenues ~~in equity underwriting and solid performance in debt underwriting, partially offset by lower revenues in~~of $390.5 million, as the mergers and ~~acquisitions. Our~~acquisitions markets remained strong due to the record ~~results~~low interest rate environment and the surge in ~~equity~~the stock market, and strong underwriting ~~and our solid performance in debt underwriting was a result~~revenues of ~~clients taking advantage of both a strong rebound in equity valuations, and in loan and bond prices to raise capital. Our advisory revenues were lower than~~$610.2 million, up $404.8 million, or 197.1%, over the prior year comparable quarter, ~~due~~as companies continued to ~~the impact~~take advantage of the ~~uncertainty created by COVID-19 on initiating~~record low interest rate environment to access the debt capital markets and ~~completing merger and acquisition transactions. Our investment banking backlog remains solid across~~clients took advantage of the strong equity environment to raise equity capital in almost all ~~products.~~ sectors.

•Our investment banking results ~~also~~ include arecord net ~~loss~~revenues of ~~$11.8~~$41.7 million from our share of the net earnings of our Jefferies Finance LLC (“Jefferies Finance”) joint venture, compared with a net loss of ~~$8.2 million from our share of the net earnings from our Jefferies Finance joint venture in the prior year quarter, which included $12.5 million in costs from refinancing its debt.~~

Our record equities net revenues increased 65.0% compared to the prior year quarter, primarily due to the continued expansion of our business both from a product and geographic perspective, as well as increased market volumes.

~~Our fixed income net revenues were solid and improved by 126.7% compared to the prior year quarter, driven by continued strong client activity across products and geographies.~~

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Record asset management net revenues of $109.3 million for the three months ended August 31, 2020, were meaningfully higher than the $19.8 million recorded in the prior year quarter, primarily as a result of higher investment returns. Since the prior year quarter, we made capital investments in several new separately managed accounts and funds. In addition, our results reflect improved performance across most of our historical platforms.

~~Net revenues in our other business category in the three months ended August 31, 2020 were $30.1 million, compared with net revenues of $12.4~~$49.7 million in the prior year comparable quarter. Results in the current year quarter include net revenues of $18.5 million due to our share of the net income of Berkadia Commercial Mortgage Holding LLC (“Berkadia”) compared with $24.3 million in the prior year quarter. TheStrong results in the current year quarter ~~also include unrealized net mark-to-market gains related~~reflect high loan arrangement volumes due to ~~certain investments, compared with mark-to-market losses~~continued strength in the leveraged finance markets. Results in the prior year ~~quarter.~~

~~Expenses~~

~~Non-interest expenses for the three months ended August 31, 2020 increased $325.9 million to $1,020.0 million, compared with $694.1 million for the prior year~~comparable quarter ~~consistent with the higher net revenues in our core operating businesses.~~

Compensation and benefits expense for the three months ended August 31, 2020 was $725.6 million, an increase of $313.7 million, or 76.1%, from the comparable prior year quarter, consistent with higher net revenues. Compensation and benefits expense as a percentage of Net revenues was 52.4% for the three months ended August 31, 2020, compared with 53.0%, in the prior year quarter.

Non-compensation expenses for the three months ended August 31, 2020 increased $12.4 million, or 4.4%, to $294.5 million, compared with $282.1 million for the three months ended August 31, 2019. The increase in non-compensation expenses was primarily due to increased Underwriting costs and Floor brokerage and clearing fees on increased volumes, as well as higher Technology and communication expenses, partially offset by lower Business development expenses.

~~Nine Months Ended August 31, 2020~~

~~Consolidated Results~~

~~Net revenues for the nine months ended August 31, 2020 were a record of $3,588.5 million, compared with $2,364.7 million for the nine months ended August 31, 2019.~~

~~Our record results in the nine months ended August 31, 2020~~ reflect record net revenues in all of investment banking, equities, fixed income and asset management for the period. We believe our record equities and fixed income net revenues were primarily due to increasing market share, higher trading volumes and increased levels of volatility resulting primarily from the impact of COVID-19, and the effect of governments’ policy response on the markets in the second and third quarter of the current year.

~~Business Results~~

Our net revenues for the nine months ended August 31, 2020 increased 51.8% as compared to the prior nine months ended August 31, 2019. These results reflect record nine months performance in mergers and acquisitions, record net revenues in equity underwriting and solid performance in debt underwriting, as well as record net revenues in all of equities, fixed income and asset management.

Our investment banking results were strong during the nine months ended August 31, 2020, reflecting record nine month performance in mergers and acquisitions, record results in equity underwriting and solid performance in debt underwriting. Our advisory revenues were a record $696.7 million, an increase of 21.7%, or $124.3 million, compared to the prior nine months ended August 31, 2019, while our underwriting revenues for the nine months ended August 31, 2020 were $898.7 million, up $334.8 million, or 59.4%, with broad contribution across sectors.

~~Our investment banking results also include a net loss of $51.1 million from our share of the net earnings of our Jefferies Finance joint venture, reflecting~~ unrealized losses related to the write-down of commitments and loans held-for-sale, as well as reserves recorded on the loan portfolio, primarily due to the impact of ~~COVID-19~~the global novel coronavirus (“COVID-19”) pandemic on the markets and the economy. ~~This compares with~~

•Our equities net revenues of ~~$15.7~~$242.9 million from our share of the net earnings from our Jefferies Finance joint venture in the prior year period, inclusive of $12.5 million in costs from refinancing its debt. Other investment banking results during the nine months ended August 31, 2020 also includes a $28.5 million write-down of an investment.

~~Our record equities net revenues reflect an increase of 39.7%~~increased 2.5% compared to the prior year ~~period,~~comparable quarter, 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 reduced volatility levels and our current year quarter results also include mark-to-market losses from SPAC-related activity.

•Our fixed income net revenues of $257.2 million were down 47.8% compared to the prior year comparable quarter, 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 products and regions declined, as market volumes and opportunities decreased due to increasing inflation expectations, treasury yield volatility and tightening spreads.

•Our asset management net revenues of $44.5 million were significantly higher than the $5.5 million recorded in the prior year comparable quarter, driven by ~~strong results~~meaningfully higher investment returns across most ~~businesses. Our strong performance was~~platforms and an increase in asset management fees and revenues. Results in the prior year comparable quarter were impacted by lower investment returns from certain of our investments in separately managed accounts and funds, as a result of the ~~continued expansion~~significant impact of ~~our business both from a product~~COVID-19 on the markets and ~~geographic perspective, increased market volumes and strong client activity and continued momentum across our client franchise. We increased our market share globally~~economy. Results in the ~~first half of this~~current year quarter include $14.6 million in management, performance and ~~remain positioned to be able to respond to~~similar fees and revenues earned directly or through our ~~clients’ dynamic needs.~~

strategic affiliates in the current year quarter, as compared with $4.6 million in the prior year comparable quarter.

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Our record fixed income net revenues improved by 107.9% compared to the prior year period, primarily due to strong trading volumes, as clients continued to navigate through uncertainty, and the businesses having successfully managed through the markets’ high level of volatility during the period.

Asset management record net revenues of $136.7 million for the nine months ended August 31, 2020 were higher than the $89.8 million recorded in the prior year period, primarily as a result of higher investment returns. Since the prior year period, we made capital investments in several new separately managed accounts and funds. In addition, our results reflect improved performance across most of our historical platforms.

•Net revenues in our other business category in the ~~nine~~three months ended ~~August~~May 31, ~~2020~~2021 were ~~$90.0~~$39.1 million, compared with ~~$53.6~~net losses of $17.7 million in the prior year ~~period. Results in the current year period include gains of $61.5 million from hedges that were bought and sold in the first~~comparable quarter. Results in the current year ~~period also~~quarter include net revenues of ~~$40.4~~$30.7 million ~~due to~~from our share of the net income of Berkadia Commercial Mortgage Holding LLC (“Berkadia”) due to higher mortgage origination, compared with negligible net revenues ~~of $72.2 million~~ from Berkadia in the prior year ~~period.~~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.

Expenses

•Non-interest expenses of $1.19 billion for the ~~nine~~three months ended ~~August~~May 31, ~~2020~~2021 increased ~~$753.0~~$326.6 million, ~~to $2,816.9 million,~~or 37.9%, compared with ~~$2,063.9~~$861.5 million for the prior year ~~period, consistent with the~~comparable quarter. The increase, which is primarily due to higher compensation and benefits expense, 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 ~~nine~~three months ended ~~August~~May 31, ~~2020~~2021 was ~~$1,932.3~~$789.8 million, an increase of ~~$670.8~~$218.3 million, or ~~53.2%~~38.2%, from the ~~comparable~~ prior year ~~period, consistent with~~comparable quarter, while net revenues increased 56.4%, demonstrating the ~~51.8% growth~~operating leverage inherent in ~~net revenues.~~our business model. Compensation and benefits expense as a percentage of Net revenues was ~~53.8%~~48.8% for the ~~nine~~three months ended ~~August~~May 31, ~~2020, compared with 53.3%~~2021, significantly below the ratio of 55.3%, in the prior year ~~period.~~comparable quarter.

•Non-compensation expenses for the ~~nine~~three months ended ~~August~~May 31, ~~2020~~2021 increased ~~$82.1~~$108.3 million ~~or 10.2%,~~ to ~~$884.5~~$398.3 million, compared with ~~$802.4~~$290.0 million for the ~~nine months ended August 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 ~~primarily~~also due to ~~increased Floor brokerage and clearing fees and Underwriting costs, as well as~~ higher Technology and communication expenses ~~and higher~~as we continue to invest in our operating platform. In addition, the increase in Other expenses ~~which~~is primarily due to an increase in bad debt expense mostly related to our 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 Financial Officer (“CFO”) who tragically died from complications of COVID-19 in March 2020.

Six Months Ended May 31, 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 ~~partially offset~~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 $812.9 million for the six months ended May 31, 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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•Our investment banking results include net revenues of $72.3 million from our share of the net earnings of our Jefferies Finance joint venture, 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, primarily due to the impact of COVID-19 pandemic on the markets and the economy. Other investment banking revenues during the prior year comparable period also include unrealized write-downs of private equity investments received or acquired in connection with our investment banking activities.

•Our equities net revenues increased 60.3% compared to the prior year comparable period, driven by all-time record results in almost all our businesses and across each of our core regions, primarily in the first quarter of the current year period. Our equities business continues to gain market share and 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 the U.S., in the first quarter of the current year.

•Our fixed income net revenues were down 16.3% compared to the prior year comparable period, 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 due to extremely active markets and high levels of volatility during the period, as a result of the U.S. Federal Reserve Bank and other government interventions to support the markets.

•Our asset management net revenues of $214.3 million for the six months ended May 31, 2021, were significantly higher than the $27.4 million recorded in the prior year comparable period, 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 ~~Business development~~investment returns from 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. Results in the 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 calendar year ending during our first fiscal quarter.

•Net revenues in our other business category in the six months ended May 31, 2021 were $70.8 million, compared with net revenues of $59.8 million in the prior year comparable period. Results in the current year period include higher net revenues of $60.7 million from our share of the net income of Berkadia, compared with $21.9 million 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 ~~as business travel and events were curtailed~~for the six months ended May 31, 2021 increased $849.5 million, or 47.3%, to $2.65 billion, compared with $1.80 billion for the prior year comparable period. This 47.3% increase, which is primarily due to ~~COVID-19.~~higher compensation and benefits expense, is meaningfully lower than our 69.9% increase in net revenues, demonstrating the operating leverage inherent in our business model. As a result, our pre-tax operating 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, 2021 was $1.91 billion, an increase of $703.0 million, or 58.3%, from the prior year comparable period, below the 69.9% growth in our net revenues. Compensation and benefits expense as a percentage of Net revenues was 51.0% for the six months ended May 31, 2021, compared with 54.7%, in the prior year comparable period.

•Non-compensation expenses for the six months ended May 31, 2021 increased $146.6 million, or 24.8% to $736.6 million, compared with $590.0 million for the 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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Headcount

•At ~~August~~May 31, ~~2020,~~2021, we had ~~3,893~~4,121 employees globally, an increase of ~~117~~271 employees from our headcount of ~~3,776~~3,850 at ~~August~~May 31, ~~2019.~~2020. Our headcount increased ~~primarily~~across the regions as a result of continued investment to support and drive the growth of our ~~expansion in equities and research in Asia and Australia. We also had continued~~investment banking business, as well as additions in technology and other corporate services staff to support ~~business~~our growth. The increase was partially offset by ~~reductions~~a reduction in our asset management business due to the wind down of an asset management platform.

Revenues by Source

For presentation purposes, the remainder of “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.

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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	%

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.

Three Months Ended August 31, Nine Months Ended August 31,
2020 2019 2020 2019
Amount % of Net Revenues Amount % of Net Revenues % Change Amount % of Net Revenues Amount % of Net Revenues % Change
Advisory $ 171,438
12.4 % $ 213,350
27.5 % (19.6 )% $ 696,677
19.4 % $ 572,386
24.2 % 21.7 %

Equity underwriting 305,380
22.1
97,494
12.5
213.2 % 561,455
15.6
256,853
10.8
118.6 %
Debt underwriting 139,019
10.0
101,689
13.1
36.7 % 337,198
9.4
306,977
13.0
9.8 %
Total underwriting 444,399
32.1
199,183
25.6
123.1 % 898,653
25.0
563,830
23.8
59.4 %
Other investment banking (27,013 ) (2.0 ) (9,108 ) (1.2 ) 196.6 % (112,776 ) (3.1 ) (7,116 ) (0.3 ) N/M
Total investment banking 588,824
42.5
403,425
51.9
46.0 % 1,482,554
41.3
1,129,100
47.7
31.3 %

Equities 318,824
23.0
193,229
24.9
65.0 % 801,596
22.3
573,851
24.3
39.7 %
Fixed income 336,347
24.3
148,334
19.1
126.7 % 1,077,673
30.0
518,346
21.9
107.9 %
Total capital markets 655,171
47.3
341,563
44.0
91.8 % 1,879,269
52.3
1,092,197
46.2
72.1 %

Other 30,120
2.3
12,374
1.6
143.4 % 89,953
2.6
53,587
2.3
67.9 %

Total Investment Banking and Capital Markets (1) (2) 1,274,115
92.1
757,362
97.5
68.2 % 3,451,776
96.2
2,274,884
96.2
51.7 %

Asset management fees and revenues 6,772
0.5
4,220
0.5
60.5 % 23,068
0.6
16,350
0.7
41.1 %
Investment return (3) (4) 115,556
8.4
24,866
3.2
364.7 % 150,339
4.2
104,442
4.4
43.9 %
Allocated net interest (3) (5) (12,999 ) (1.0 ) (9,289 ) (1.2 ) 39.9 % (36,676 ) (1.0 ) (30,948 ) (1.3 ) 18.5 %
Total Asset Management 109,329
7.9
19,797
2.5
452.3 % 136,731
3.8
89,844
3.8
52.2 %

Net revenues $ 1,383,444
100.0 % $ 777,159
100.0 % 78.0 % $ 3,588,507
100.0 % $ 2,364,728
100.0 % 51.8 %


~~(1)~~	Includes net interest revenues of $3.3 million and $5.4 million for the three and nine months ended August 31, 2020, respectively, and $30.4 million and $51.4 million for the three and nine months ended August 31, 2019, respectively.


~~(2)~~	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.

~~(3)~~

Net revenues attributed to the Investment return in Asset Management 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.


~~(4)~~	Includes net interest expenses of $6.0 million and $19.6 million for the three and nine months ended August 31, 2020, respectively, and $2.0 million and $3.7 million for the three and nine months ended August 31, 2019, respectively.


~~(5)~~	~~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.~~

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JEFFERIES GROUP LLC AND SUBSIDIARIES

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.

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~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

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
August 31, % Change Nine Months Ended
August 31, % Change
2020 2019 2020 2019

Advisory $ 171,438
$ 213,350
(19.6 )% $ 696,677
$ 572,386
21.7 %

Equity underwriting 305,380
97,494
213.2 % 561,455
256,853
118.6 %
Debt underwriting 139,019
101,689
36.7 % 337,198
306,977
9.8 %
Total underwriting 444,399
199,183
123.1 % 898,653
563,830
59.4 %
Other investment banking (27,013 ) (9,108 ) 196.6 % (112,776 ) (7,116 ) 1,484.8 %
Total investment banking $ 588,824
$ 403,425
46.0 % $ 1,482,554
$ 1,129,100
31.3 %
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,
	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

Deals Completed Aggregate Value
Three Months Ended
August 31, Nine Months Ended
August 31, Three Months Ended
August 31, Nine Months Ended
August 31,
2020 2019 2020 2019 2020 2019 2020 2019
Advisory transactions (1) 48
51
149
147
$ 29.3
$ 110.2
$ 110.3
$ 211.3
Public and private debt financings 213
292
449
565
72.2
43.7
185.4
124.7
Public and private equity and convertible offerings (2) 99
45
205
115
34.5
14.2
71.7
34.6


~~(1)~~	The number of advisory deals completed includes nine and 19 restructuring and recapitalization transactions during the three and nine months ended August 31, 2020, respectively, and three and 12 restructuring and recapitalization transactions during the three and nine months ended August 31, 2019, respectively.


~~(2)~~	We acted as sole or joint bookrunner on 99 and 199 offerings during the three and nine months ended August 31, 2020, respectively, and 44 and 112 offerings during the three and nine and August 31, 2019, respectively.

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

•Investment banking revenues ~~were a record~~ for the three months ended ~~August~~May 31, ~~2020~~2021 were a record of ~~$588.8 million,~~$1.03 billion, compared with ~~$403.4~~$316.3 million for the three months ended ~~August~~May 31, ~~2019,~~2020, reflecting record revenues in ~~equity~~investment banking advisory and debt underwriting and solid performance in ~~debt~~equity underwriting, ~~partially offset by lower~~as the global economy continues to improve and market conditions stabilize. Our investment in our investment banking franchise and our strategy to lead with our investment banking platform has delivered increased market share as is reflected in global rankings.

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

•Our underwriting revenues for the three months ended ~~August~~May 31, ~~2020~~2021 were ~~$444.4~~a record $610.2 million, an increase of ~~123.1%~~197.1% from ~~$199.2~~$205.4 million in the prior year comparable quarter, ~~due to~~with record ~~results~~net revenues of $285.7 million in debt underwriting and strong quarterly net revenues in equity underwriting ~~and solid performance in~~of $324.5 million, as companies continued to take advantage of the record low interest rate environment to access the debt ~~underwriting as~~capital markets and clients took advantage of ~~both a~~the strong ~~rebound in~~ equity ~~valuations, and in loan and bond prices~~environment to raise ~~capital. Our advisory revenues were $171.4 million, or 19.6% lower than~~equity capital in almost all sectors. In addition, our equity underwriting results in the ~~prior~~current year quarter ~~primarily due to the impact of the uncertainty created~~were driven by ~~COVID-19 on initiating and completing merger and acquisition transactions. From equity and debt~~growth in initial public offerings, including our underwriting activities ~~we generated $305.4 million~~on 14 Special Purpose Acquisition Companies (“SPACs”) offerings and ~~$139.0 million in revenues, respectively, for the three months ended August 31, 2020, compared with $97.5 million and $101.7 million in revenues, respectively, in the prior year quarter.~~other SPAC-related transactions.

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JEFFERIES GROUP LLC AND SUBSIDIARIES

•Other investment banking revenues were ~~a loss of $27.0~~$33.0 million for the three months ended ~~August~~May 31, ~~2020,~~2021, compared with a net loss of ~~$9.1~~$71.2 million for the three months ended ~~August~~May 31, ~~2019.~~2020. Other investment banking revenues during the three months ended ~~August~~May 31, ~~2020~~2021 include arecord net ~~loss~~revenues of ~~$11.8~~$41.7 million from our share of the net earnings of our Jefferies Finance joint venture, ~~reflecting losses related to reserves recorded on the loan portfolio during the current year quarter, primarily due to the impact of COVID-19 on the markets and economy. This compares~~compared with a net loss of $8.2 million from our share of the net results from our Jefferies Finance joint venture in the prior year quarter, which included $12.5 million in costs from refinancing its debt. The results in both quarters also include the amortization of costs and allocated interest expense related to our investment in the Jefferies Finance business.

~~Table of Contents~~

~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

~~Nine Months Ended August 31, 2020~~

~~Investment banking revenues were a record of $1,482.6 million for the nine months ended August 31, 2020, compared with $1,129.1~~$49.7 million in the prior year ~~period, reflecting record performance~~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 acquisitions, record results in equity underwriting and solid performance in debt underwriting. The prior year period results were impacted by the significant industry-wide decline in equity and leverage finance activity across the U.S. and Europe during the period.

Our advisory revenues were a record $696.7 million, up $124.3 million, or 21.7% higher than the prior year period, reflecting record performance in our mergers and acquisitions business. Our underwriting revenues for the nine months ended August 31, 2020 were $898.7 million, an increase of $334.8 million, or 59.4%, from the same period last year, due to record results in equity underwriting and solid performance in debt underwriting, with broad contribution across sectors. From equity and debt underwriting activities, we generated $561.5 million and $337.2 million in revenues, respectively, for the nine months ended August 31, 2020, compared with $256.9 million and $307.0 million in revenues, respectively,acquisition markets. Results in the prior year ~~period.~~

Other investment banking revenues were a loss of $112.8 million for the nine months ended August 31, 2020, compared with revenues of $7.1 million for the nine months ended August 31, 2019. Other investment banking revenues during the nine months ended August 31, 2020 include a net loss of $51.1 million from our share of the net earnings of our Jefferies Finance joint venture, reflectingcomparable 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 period,~~ primarily due to the impact of COVID-19 on the markets and the economy. ~~This compares with net revenues of $15.7 million in the~~The prior year ~~period from~~comparable quarter 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 and $12.5 million in costs from refinancing its debt.~~investment banking activities. Our Other investment banking ~~results during the nine months ended August 31, 2020 also include a $28.5 million write-down of a private equity investment. The results~~revenues in both periods ~~also include~~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, 2021

•Investment banking revenues for the six months ended May 31, 2021 were a record of $2.07 billion, compared with $893.7 million for the six months ended May 31, 2020, reflecting record six months revenues in equity and debt underwriting and in mergers and acquisitions.

•Our advisory revenues were a six months record of $701.9 million, up $176.7 million, or 33.6% higher than the prior year comparable period, primarily due to a significant increase in the number of deals and higher average transaction deal values, across most sectors, as the mergers and acquisitions 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, 2021 were a six months record of $1.30 billion, an increase of 186.7% from $454.3 million in the prior year comparable period, with record six months net revenues in equity underwriting of $819.3 million and 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 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 underwriting activities on 36 SPACs offerings and other SPAC-related transactions.

•Other investment banking revenues were $62.8 million for the six months ended May 31, 2021, compared with a net loss of $85.8 million for the six months ended May 31, 2020. Other investment banking revenues during the six months ended May 31, 2021 include net revenues of $72.3 million from our share of the net earnings of our Jefferies Finance joint venture, 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 certain equity investments due to the impact of COVID-19 on the markets and the economy. 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 also included unrealized write-downs of private equity investments received or acquired in connection with our investment banking activities. Our Other investment banking revenues in both periods are reduced by allocated interest expense and the amortization of costs 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~~services.

Table of ~~our institutional execution capabilities.~~Contents

JEFFERIES GROUP LLC AND SUBSIDIARIES

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

•

Total ~~record~~ equities net revenues ~~were $318.8~~of $242.9 million for the three months ended ~~August~~May 31, ~~2020,~~2021, a record for a second quarter and an increase of ~~65.0%~~2.5%, compared with ~~$193.2~~$237.1 million for the prior year comparable quarter, ~~driven by record results~~as our equities franchise continues to gain market share and perform well in ~~our core~~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. Our strong performance was~~business declined in the U.S., as a result of ~~the continued expansion of~~lower client activity and changes in market dynamics, while our ~~business both from a product~~international franchise in Europe and ~~geographic perspective, as well as increased market volumes. We~~across Asia Pacific continued to ~~see expansion across our client franchise as we believe we provided consistent and exceptional advisory and execution capabilities to our clients globally throughout this unprecedented period.~~

~~Our results include record net revenues in our Asia cash equities businesses, which was~~grow, driven by ~~our recent expansion and investment across Asian markets, as well as in our domestic and international convertibles businesses, which continue to be~~ongoing momentum, market ~~leading and part of our globalization strategy. The majority of our businesses had higher results in the quarter as compared to the prior year period.~~

Results in our global cash equities businesses were driven by increased client activity, which is a result of higher market volumes and the continued globalization of our advisory and execution franchise. The growth in our record global convertibles business was driven by higher trading volumes and volatility, increased primary issuance,share gains and increased client ~~flow. The higher results in our global~~activity. Our electronic trading ~~business were driven by increased global market volumes~~businesses in Europe and ~~volatility. Our exchange traded funds business~~Asia Pacific had ~~higher results driven by increased~~continued growth and momentum, while our U.S. electronic trading ~~revenues and the market environment.~~

~~Our equity options~~ business had lower revenues, as ~~compared to~~our results in the prior year comparable quarter reflected record revenues driven by ~~a decline in trading results and client activity.~~significantly higher global market volatility. Results in our prime services ~~business~~franchise, consisting of prime brokerage, outsourced trading and securities finance, were ~~lower~~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 in other areas as well as muted money market revenue as a result of ~~the market environment, partially offset~~low short-term interest rates. Our equity derivatives business had higher quarterly results driven by ~~the expansion~~an increase in client activity and ~~momentum~~improved trading results due to a strengthening of our ~~outsourced~~human capital. Our global convertibles franchise had increased revenues both in the U.S. and internationally, driven by improved trading ~~franchise.~~results and market conditions.

•The increase in our global equities net revenues is also ~~included gains on certain block positions, as compared with~~reflective of losses on certain block positions in the prior year ~~quarter.~~quarter that were not repeated in the current year quarter and our current year quarter results also include mark-to-market losses from SPAC-related activity.

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~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

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

•

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.

Total equities net revenues were ~~a record $801.6~~$774.0 million for the ~~nine~~six months ended ~~August~~May 31, ~~2020,~~2021, an increase of ~~39.7%~~60.3%, compared with ~~$573.9~~$482.8 million for the prior year comparable period, driven by ~~strong~~all-time six months record results in predominately all our equities businesses and across ~~most businesses. Our strong performance was a result of the continued expansion~~each of our ~~business both from a product and geographic perspective, increased market volumes and strong client activity and~~core regions in the ~~continued momentum across our client franchise. We increased our~~current year period. Our equities franchise continues to gain market share ~~globally~~and benefited significantly from the favorable trading environment and SPAC-related activity in the U.S., particularly in the first ~~half~~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 ~~remain positioned to be able to respond to~~Asian, excluding Japan, convertibles by Greenwich Associates. Bloomberg ranked our ~~clients’ dynamic needs.~~electronic trading platform as 2nd in the U.S. Hedgeweek named us as the Best U.S. Prime Broker and we doubled the number of analysts ranked in the Japanese Institutional Investor survey.

•Our ~~overall~~cash equities business had record results ~~included record net revenues~~globally and across each region ~~including~~in the ~~Americas,~~U.S., Europe and ~~Asia. Our regional businesses are continuing~~Asia Pacific. Overall, our cash equities 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 ~~as well as our globalization strategy across advisory and execution capabilities.~~

~~On a product basis, our overall results included record net revenues in our Europe and Asia-Pacific cash equities businesses and across most~~strategy. Our prime services franchise, consisting of ~~our individual global businesses including electronic~~prime brokerage, outsourced trading and convertibles. Our electronic trading and convertibles franchises continued to maintain several market-leading positions, while our cash equities franchise continued to improve market share and competitive positioning across the Americas, Europe, and Asia.

~~Results in our global cash equities businesses were~~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. The record growthtrading in our ~~global convertibles~~securities finance business, ~~was driven by strong primary~~ and ~~secondary trading activity~~continued growth and higher volatility. 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 exchange traded funds business had higher results driven by increased trading revenues and the market environment.

~~The increase and record results~~momentum in our global equities business was partially offset by lower revenues in our prime services and equity options businesses. Results in our prime services business was driven by the overall market environment, partially offset by the growth of 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 equity ~~options~~derivatives business were significantly higher at record levels, driven by ~~lower client volumes~~improved trading results and ~~trading results.~~higher 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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JEFFERIES GROUP LLC AND SUBSIDIARIES

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

•Fixed income net revenues totaled ~~$336.3~~$257.2 million for the three months ended ~~August~~May 31, ~~2020, an increase~~2021, a decrease of ~~126.7%~~47.8% from net revenues of ~~$148.3~~$493.1 million for the three months ended ~~August~~May 31, ~~2019,~~2020, 2020, driven by ~~continued strong~~reduced trading volumes and client activity across most products and ~~geographies.~~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 all-time record quarter for our fixed income businesses, benefited significantly from increased trading opportunities as a result of the U.S. Federal Reserve Bank and other government interventions to support the markets.

•Net revenues in the 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 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 and 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 most regions and products due to reduced client activity and lower levels of volatility in the current year quarter, as these businesses benefited significantly from the government support of the credit markets in the prior year comparable quarter.

Six Months Ended May 31, 2021

•Fixed income net revenues totaled $620.6 million for the ~~three~~six months ended ~~August~~May 31, 2021, a decrease of 16.3% from net revenues of $741.3 million for the six months ended May 31, 2020, driven by reduced trading volumes across most products and regions in the second quarter of the current year period. While the six 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, 2020 representing an all-time record six month results. The prior year comparable period significantly benefited from strong trading volumes due to extremely active markets and high levels of volatility during the period, as a result of the U.S. Federal Reserve Bank and other government interventions to support the markets.

•Net revenues in the current year period were higher in our U.S. and international securitized markets groups ~~due to~~on increased demand ~~in the securitization markets~~ for most of these product classes, as compared with the prior year ~~quarter which included trading losses due to declining yields and a flattening and inverted U.S. Treasury yield curve.~~

~~Strong performance~~comparable period. Our revenues also benefited from ongoing investments across our European credit businesses, including our leveraged credit, European and Asian credit and investment grade corporates businesses reflected healthy global capital markets activity and tightening credit spreads. Our global emerging markets business similarly benefited in thefranchise. In addition, current year ~~quarter, with government support of the credit markets driving increased client~~period results benefited from trading ~~activity and opportunities.~~

~~The current year quarter results also included improved revenues~~gains in our municipal securities business ~~which benefited from the return of investors~~compared to the ~~municipals market as spreads tightened.~~

~~Table of Contents~~

~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

~~Nine Months Ended August 31, 2020~~

Fixed income net revenues totaled a record $1,077.7 million for the nine months ended August 31, 2020, an increase of 107.9% from net revenues of $518.3 million for the nine months ended August 31, 2019, primarily due to strong trading volumes, as clients continued to navigate through uncertainty, and the businesses having successfully managed through the markets’ high level of volatility during the period.

Our U.S. rates business had record net revenues in the current year period, benefiting from increased volatility and bid-offer spreads. Similarly, our international rates business performed strongly in comparable ~~market conditions, but also underperformed in the~~ prior year period ~~as concerns over Brexit and economic challenges in other European countries limited trading opportunities.~~

~~Our leveraged credit, European and Asian credit and investment grade corporates businesses generated robust revenues across regions~~when markets experienced a significant sell-off due to ~~increased client activity~~the impact of COVID-19.

•Our results include lower revenues in our U.S. and ~~higher~~International rates businesses due to a decline in trading opportunities, which were impacted by lower levels of volatility during the current year ~~period. Similarly, revenues~~period, as the prior year comparable period benefited from significant government interventions. Lower results across our ~~global~~Asian credit, investment grade corporates and emerging markets ~~business benefited from more favorable market conditions driving strong investor demand,~~businesses, as well as ~~an increase~~our high yield and loan trading businesses, resulted from a decline in ~~new issuance.~~

~~Revenues in our U.S. securitized markets group were higher~~revenues across most regions and products due to ~~an increase~~reduced client activity and lower levels of volatility in ~~demand in the securitization markets, as client interest improved for structured products in the latter part of the current year 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 the second quarter of~~ the current year period, ~~before experiencing a return in investor demand~~as these businesses benefited significantly from the government support of the credit markets in the ~~third quarter of the current~~prior year comparable period.

Other

Other is comprised of revenues from:

•Berkadia and other investments (other than Jefferies 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

•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 ~~August~~May 31, ~~2020~~2021

~~Net~~•Our other net revenues ~~from our other business category were $30.1~~totaled $39.1 million for the three months ended ~~August~~May 31, ~~2020,~~2021, an increase of ~~$17.7~~$56.8 million compared with net ~~revenues~~losses of ~~$12.4~~$17.7 million for the three months ended ~~August~~May 31, ~~2019.~~2020.

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JEFFERIES GROUP LLC AND SUBSIDIARIES

•Results in the current year quarter include net revenues of ~~$18.5~~$30.7 million due to our share of the net income of Berkadia due to higher mortgage origination, compared with ~~$24.3 million~~negligible net revenues from Berkadia in the 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 gains related to certain investments, compared with mark-to-market losses in the prior year comparable quarter.

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

~~Net~~•Our other net revenues ~~from our other business category~~ totaled ~~$90.0~~$70.8 million for the ~~nine~~six months ended ~~August~~May 31, ~~2020,~~2021, an increase of ~~$36.4~~$11.0 million compared with net revenues of ~~$53.6~~$59.8 million for the ~~nine~~six months ended ~~August~~May 31, ~~2019.~~2020.

~~Results~~•The results in the ~~current~~prior year period ~~include~~included gains of $61.5 million from macro hedges that were bought and sold in the ~~first quarter as we took a more cautious market risk position due to~~prior year comparable period at the onset of the COVID-19 pandemic.

•Results in the current year period ~~also~~ include net revenues of ~~$40.4~~$60.7 million due to our share of the net income of Berkadia compared with ~~net revenues of $72.2~~$21.9 million in the prior year comparable period. The lower ~~net revenues~~results in the ~~current~~prior year comparable period 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 in the second quarter of the current year period.~~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.~~

~~Table of Contents~~managers.

~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

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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JEFFERIES GROUP LLC AND SUBSIDIARIES

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
August 31, % Change Nine Months Ended
August 31, % Change
2020 2019 2020 2019
Asset management fees:
Equities $ 1,215
$ 633
91.9 % $ 5,162
$ 3,344
54.4 %
Multi-asset 398
2,707
(85.3 )% 3,092
11,215
(72.4 )%
Total asset management fees 1,613
3,340
(51.7 )% 8,254
14,559
(43.3 )%
Revenue from arrangements with strategic partners (1) 5,159
880
486.3 % 14,814
1,791
727.1 %
Total asset management fees and revenues 6,772
4,220
60.5 % 23,068
16,350
41.1 %
Investment return 115,556
24,866
364.7 % 150,339
104,442
43.9 %
Allocated net interest (12,999 ) (9,289 ) 39.9 % (36,676 ) (30,948 ) 18.5 %
Total Asset Management $ 109,329
$ 19,797
452.3 % $ 136,731
$ 89,844
52.2 %

(1)


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

~~Three Months Ended August 31, 2020~~

Asset management net revenues in the three months ended August 31, 2020 were a record $109.3 million, meaningfully higher than the $19.8 million recorded in the prior year quarter, primarily as a result of higher investment returns. Since the prior year quarter, we made capital investments in several new separately managed accounts and funds. In addition, our results reflect improved performance across most of our historical platforms.

~~Nine Months Ended August 31, 2020~~

Asset management net revenues in the nine months ended August 31, 2020 were a record $136.7 million, compared with $89.8 million in the prior year period, primarily as a result of higher investment returns. Since the prior year period, we made capital investments in several new separately managed accounts and funds. In addition, our results reflect improved performance across most of our historical platforms. The current year period also included higher revenues from our share of fees received by ~~third party~~affiliated asset management companies with which we have revenue and profit share arrangements.

Three Months Ended May 31, 2021

72•Asset management net revenues in the three months ended May 31, 2021 were $44.5 million, significantly higher than the $5.5 million recorded in the prior year comparable quarter, driven by investments in new platforms, higher investment returns across many platforms and an increase in asset management fees and revenues. The results in the prior year comparable quarter were impacted by lower investment returns from certain of our investments in separately managed accounts and funds due to the impact of COVID-19 on the markets and 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, 2021

~~Table~~•Asset management net revenues in the six months ended May 31, 2021 were a six months record of ~~Contents~~$214.3 million, significantly higher than the $27.4 million recorded in the prior year 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 results in the prior year comparable period were impacted by lower investment returns from certain of our investments in separately managed accounts and funds due to the impact of COVID-19 on the markets and economy. Results in the current year period include $52.0 million in management, performance and similar fees and revenues earned directly or through our strategic affiliates, 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 calendar year ending during our first fiscal quarter.

~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

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”).

August 31, 2020 November 30, 2019
Assets under management (1):
Equities $ 444
$ 110
Multi-asset (2) —
730
Total $ 444
$ 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 amount at November 30, 2019 also includes $150 million 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)~~	~~During the three months ended August 31, 2020, the assets under management in this asset class were liquidated and the funds were returned to the third-party investors.~~

JEFFERIES GROUP LLC AND SUBSIDIARIES

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


	Three Months Ended August 31,						Nine Months Ended August 31,							Three Months Ended May 31,				Six Months Ended May 31,
	2020			2019			2020			2019				2021		2020		2021		2020
Asset under management:													Asset under management:
Balance, beginning of period	$	879		$	952		$	840		$	1,463		Balance, beginning of period	$	773	$	924	$	654	$	840
Net cash flow in (out)	(424		)	(155		)	(304		)	(680		)
Net cash flows in (out)													Net cash flows in (out)	4		(19)		101		120
Net market appreciation (depreciation)	(11		)	89			(92		)	103			Net market appreciation (depreciation)	(9)		(26)		13		(81)
Balance, end of period	$	444		$	886		$	444		$	886		Balance, end of period	$	768	$	879	$	768	$	879

The change in assets under management during the three months ended ~~August~~May 31, ~~2020~~2021 is primarily due to ~~the liquidation and~~ redemptions from certain ~~funds.~~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 ~~nine~~six months ended ~~August~~May 31, ~~2020~~2021 is primarily due to the ~~liquidation~~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 ~~and market depreciation during~~that are in the ~~period.~~process of being liquidated. The change in assets under management during the three ~~and nine~~ months ended ~~August~~May 31, ~~2019~~2020 is primarily due to redemptions from certain funds and ~~separately managed accounts,~~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 ~~appreciation.~~depreciation due to the impact of COVID-19 on the markets and economy.

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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~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

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 or in affiliated asset managers where we have strategic relationships and participate in the revenues or profits of the affiliated manager. ~~Additionally, we make~~Included in the table below at May 31, 2021 are $21.2 million of asset management investments that are in the process of being liquidated due to the wind down of a fund and ~~enter into revenue sharing arrangements with third-party~~a separately managed account. Our asset ~~managers.~~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. 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

August 31, 2020 November 30, 2019
Jefferies Group LLC; as manager:
Fund investments (1) $ 267
$ 22,695
Separately managed accounts (2) 224,049
344,549
Total $ 224,316
$ 367,244

Jefferies Financial Group Inc.; as manager:
Fund investments $ 231,720
$ 218,109
Separately managed accounts (2) —
43,153
Total $ 231,720
$ 261,262

Third-party as asset manager:
Fund investments (3) $ 634,107
$ 289,930
Separately managed accounts (2) 271,689
266,484
Total $ 905,796
$ 556,414

Total asset management investments (4) $ 1,361,832
$ 1,184,920

~~(1)~~

(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 August 31, 2020 and November 30, 2019, $0.1 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 in our consolidated financial statements within each respective line item.~~


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

~~(4)~~

Of the $1,361.8 million total invested in the funds at August 31, 2020, $915.8 million was sourced from the proceeds of long-term and permanent capital. At August 31, 2020 and November 30, 2019, we have borrowed $446.0 million and $135.0 million, respectively, under credit facility agreements, which are secured by a combination of our investment in a fund managed by Jefferies, with a carrying value of $231.7 million and $218.1 million at August 31, 2020 and November 30, 2019, respectively, and our investment in certain funds managed by third-parties with a carrying value of $623.4 million at August 31, 2020.

~~Our asset management investments generated~~ an investment ~~return~~in a fund, we may consolidate that fund; and accordingly, the assets and liabilities of ~~$115.6~~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 ~~$150.3~~$0.1 million, ~~for~~respectively, represents net investments in funds that have been consolidated in our financial statements.

(2)In the ~~three and nine~~six months ended ~~August~~May 31, ~~2020, respectively, and $24.9 million and $104.4 million~~2021, certain fund investments, for which Jefferies Financial Group Inc. had acted as the ~~three and nine months ended August 31, 2019, respectively.~~

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 August 31,				% Change			Nine Months Ended August 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	$	725,555	$	411,936		76.1	%		$	1,932,332			$	1,261,506			53.2	%	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	66,744		54,247		23.0	%		204,943				168,698			21.5	%	Floor brokerage and clearing fees		76,617					77,619					(1.3)		%			153,197				138,199				10.9		%
Technology and communications	102,635		86,649		18.4	%		287,413				247,464			16.1	%	Technology and communications		107,962					95,594				12.9		%			212,303				184,778				14.9		%
Occupancy and equipment rental	27,053		29,300		(7.7	)%		78,951				87,587			(9.9	)%	Occupancy and equipment rental		32,839					24,395				34.6		%			60,829				51,898				17.2		%
Business development	7,637		36,526		(79.1	)%		45,953				103,430			(55.6	)%	Business development		27,023					8,359				223.3		%			45,004				38,316				17.5		%
Professional services	41,173		42,379		(2.8	)%		127,832				117,372			8.9	%	Professional services		59,780					41,994				42.4		%			104,068				86,659				20.1		%
Underwriting costs	29,071		14,647		98.5	%		59,085				36,045			63.9	%	Underwriting costs		33,031					12,485				164.6		%			69,167				30,014				130.4		%
Other	20,175		18,400		9.6	%		80,351				41,828			92.1	%	Other		61,031					29,506				106.8		%			92,017				60,176				52.9		%
Total non-compensation expenses	294,488		282,148		4.4	%		884,528				802,424			10.2	%	Total non-compensation expenses		398,283					289,952				37.4		%			736,585				590,040				24.8		%
Total non-interest expenses	$	1,020,043	$	694,084	47.0	%		$	2,816,860			$	2,063,930		36.5	%	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 ~~$725.6~~$789.8 million and ~~$1,932.3 million~~$1.91 billion for the three and ~~nine~~six months ended ~~August~~May 31, ~~2020,~~2021, respectively, compared with ~~$411.9~~$571.5 million and ~~$1,261.5 million~~$1.21 billion for the three and ~~nine~~six months ended ~~August~~May 31, ~~2019,~~2020, 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 ~~52.4%~~48.8% and ~~53.8%~~51.0% for the three and ~~nine~~six months ended ~~August~~May 31, ~~2020,~~2021, respectively, compared with ~~53.0%~~55.3% and ~~53.3%~~54.7% for the three and ~~nine~~six months ended ~~August~~May 31, ~~2019,~~2020, respectively.

•Compensation expense related to the amortization of share- and cash-based awards amounted to ~~$73.0~~$53.7 million and ~~$241.5~~$95.8 million for the three and ~~nine~~six months ended ~~August~~May 31, ~~2020,~~2021, respectively, compared with ~~$78.9~~$84.7 million and ~~$224.7~~$168.5 million for the three and ~~nine~~six months ended ~~August~~May 31, ~~2019,~~2020, 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 awards.

•Employee headcount was ~~3,893~~4,121 at ~~August~~May 31, ~~2020 and 3,776 at August 31, 2019. Since August 31, 2019,~~2021, an increase of 271 employees from our headcount of 3,850 at May 31, 2020. Our headcount increased ~~primarily~~across the regions as a result of continued investment to support and drive the growth of our ~~expansion in equities and research in Asia and Australia. We also had continued~~investment banking business, as well as additions in technology and other corporate services staff to support ~~business~~our growth. The increase was partially offset by ~~reductions~~a reduction in our asset management business due to 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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~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

Non-Compensation Expenses

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

•Non-compensation expenses were ~~$294.5~~$398.3 million for the three months ended ~~August~~May 31, ~~2020,~~2021, an increase of ~~$12.4~~$108.3 million, or ~~4.4%~~37.4%, compared with ~~$282.1~~$290.0 million in the three months ended ~~August~~May 31, ~~2019.~~ 2020.

•The increase in non-compensation expenses was primarily due to higher Underwriting costs, primarily due to record investment banking net revenues resulting from an increase in the ~~number~~volume of investment banking transactions and higher Floor brokerage and clearing fees due to an increase in trading volumes across the equities and fixed income businesses, as well as growth in certain asset management funds and resultant trading activity. 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 continued costs associated with a largely remote working environment. 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 21.3% and 36.3% for the three months ended August 31, 2020 and August 31, 2019, respectively, demonstrating the operating leverage inherent in our business.

~~Nine Months Ended August 31, 2020~~

Non-compensation expenses were $884.5 million for the nine months ended August 31, 2020, an increase of $82.1 million, or 10.2%, compared with $802.4 million in the nine months ended August 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, as well as growth in certain asset management funds and resultant trading activity and higher Underwriting costs primarily due to an increase in the number of transactions. The increase was also due to higher Technology and communication expenses, primarily related to costs associated with the development of various trading systems and increased market data ~~and connectivity usage and~~ costs associated with 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. The increase also included higher Business development expenses as a result of higher costs associated with the increase in investment banking activity 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 ~~move to a largely remote working environment. Non-compensation expense~~businesses.

•The increase is also ~~increased~~ due to higher Other expenses, ~~which~~primarily due to an increase in bad debt expense mostly related to our 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 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 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 24.6% and ~~33.9%~~28.0% for the ~~nine~~three months ended ~~August~~May 31, ~~2020~~2021 and ~~August~~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 ~~nine~~six months ended ~~August~~May 31, ~~2020,~~2021, the provision for income taxes was ~~$95.9~~$110.8 million and ~~$203.9~~$288.2 million, respectively, equating to an effective tax rate of ~~26.4% in both periods.~~25.8% and 26.2%, respectively. For the three and ~~nine~~six months ended ~~August~~May 31, ~~2019,~~2020, the provision for income taxes was ~~$18.3~~$44.0 million and ~~$79.8~~$108.0 million, respectively, equating to an effective tax rate of ~~22.0%~~25.4% and 26.5%, respectively.

•The change in the effective tax rate for the three months ended May 31, 2021, as compared to the prior year comparable quarter, and the change in the effective tax rate for the six months ended May 31, 2021, as compared to the prior year comparable period, are largely unchanged.

•

The increase in the effective tax rate for the three months ended August 31, 2020, as compared to the prior year quarter, is primarily due to a larger net tax benefit recorded during the prior year quarter resulting from the settlement of various state and local exams and expiring statutes of limitation.~~The effective tax rate for the nine months ended August 31, 2020, as compared to the prior year period, is 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 ~~August~~May 31, ~~2020,~~2021, Goodwill recorded in our Consolidated Statement of Financial Condition is ~~$1,644.0~~$1,651.7 million ~~(3.5%~~(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, 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 ~~August~~May 31, ~~2020~~2021 are as follows: ~~$565.2~~$568.0 million in Investment Banking, ~~$160.5~~$161.3 million in Equities and Wealth Management, ~~$917.9~~$922.4 million in Fixed ~~Income and $0.4 million in Asset Management.~~ Income.

The results of our assessment on August 1, 2020 indicated that all our reporting units had a fair value in excess of their carrying amounts based on current projections. The valuation methodology for our reporting units are sensitive to management’s forecasts of future profitability, which are a significant component of the valuation and come with a level of uncertainty regarding trading volumes and capital market transaction levels. 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.

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 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.

Our Balance Sheet

A business unit level balance sheet and cash capital analysis are 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.

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

August 31,
2020 November 30,
2019 % Change
Total assets $ 46,660.4
$ 43,516.1
7.2 %
Cash and cash equivalents 6,749.7
5,567.9
21.2 %
Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations 986.1
796.8
23.8 %
Financial instruments owned 17,555.7
16,363.4
7.3 %
Financial instruments sold, not yet purchased 10,994.4
10,532.5
4.4 %
Total Level 3 assets 432.9
332.2
30.3 %

Securities borrowed $ 7,268.4
$ 7,624.6
(4.7 )%
Securities purchased under agreements to resell 5,327.4
4,299.6
23.9 %
Total securities borrowed and securities purchased under agreements to resell $ 12,595.8
$ 11,924.2
5.6 %

Securities loaned $ 1,929.7
$ 1,525.1
26.5 %
Securities sold under agreements to repurchase 7,259.0
7,504.7
(3.3 )%
Total securities loaned and securities sold under agreements to repurchase $ 9,188.7
$ 9,029.8
1.8 %

Total assets at August 31, 2020 and November 30, 2019 were $46.7 billion and $43.5 billion, respectively, an increase of 7.2%. During the three and nine months ended August 31, 2020, average total assets were approximately 17.1% and 18.9% higher, respectively, than total assets at August 31, 2020.

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The following table provides detail on selected balance sheet items (dollars in millions):


	May 31, 2021		November 30, 2020		% Change
Total assets	$	52,171.1	$	47,752.0	9.3	%

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	901.4		604.3		49.2	%

Financial instruments owned	19,411.7		17,686.1		9.8	%
Financial instruments sold, not yet purchased	11,957.6		10,017.5		19.4	%
Total Level 3 assets	399.3		379.1		5.3	%

Securities borrowed	$	6,720.7	$	6,934.8	(3.1)	%
Securities purchased under agreements to resell	6,917.2		5,096.8		35.7	%
Total securities borrowed and securities purchased under agreements to resell	$	13,637.9	$	12,031.6	13.4	%

Securities loaned	$	2,277.4	$	1,810.7	25.8	%
Securities sold under agreements to repurchase	7,079.3		8,316.3		(14.9)	%
Total securities loaned and securities sold under agreements to repurchase	$	9,356.7	$	10,127.0	(7.6)	%

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

Our total Financial instruments owned inventory was ~~$17.6~~$19.4 billion at ~~August~~May 31, ~~2020,~~2021, an increase of ~~7.3%~~9.8%, from ~~$16.4~~$17.7 billion at November 30, ~~2019, respectively.~~2020. During the ~~nine~~six months ended ~~August~~May 31, ~~2020,~~2021, our total Financial instruments owned inventory increased primarily due to an increase in corporate debt and equity securities, government and federal agency ~~obligations, investments at fair value, mortgage-backed and other asset-backed securities and corporate debt securities, partially offset by decreases in municipal~~ securities and loans and other ~~receivables.~~receivables, partially offset by a decrease in sovereign obligations. Financial instruments sold, not yet purchased inventory was ~~$11.0~~$12.0 billion at ~~August~~May 31, ~~2020,~~2021, an increase of ~~4.4%~~19.4% from ~~$10.5~~$10.0 billion at November 30, ~~2019,~~2020, with the increase primarily driven by increases in ~~government~~corporate debt and ~~federal agency~~equity securities, loans, sovereign obligations and ~~sovereign obligations,~~derivative contracts, partially offset by a decrease in ~~corporate equity~~government and federal agency securities. Our overall net inventory position was ~~$6.6~~$7.5 billion and ~~$5.8~~$7.7 billion at ~~August~~May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, respectively, with the ~~increase~~decrease primarily due to ~~an increase in corporate equity and corporate debt securities, investments at fair value and mortgage-backed and other asset-backed securities, partially offset by~~ decreases in sovereign obligations, loans and ~~municipal~~derivative contracts, partially offset by increases in government and federal agency securities and corporate equity securities. Our Level 3 Financial instruments owned as a percentage of total Financial instruments owned was ~~2.5% and 1.9%~~2.1% at ~~August~~both May 31, ~~2020~~2021 and November 30, 2019, respectively. The increase in our total Level 3 Financial instruments owned at August 31, 2020 as compared to November 30, 2019 is reflective of the increased pricing subjectivity experienced for certain financial assets during the nine months ended August 31, 2020 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 increased by ~~5.6%~~13.4% from November 30, ~~2019~~2020 to ~~August~~May 31, ~~2020,~~2021, due to increases in our matched book transactions and firm financing of our inventory, partially offset by an increase in the netting benefit for our collateralized financing ~~transactions and a decrease in our matched book~~ transactions. The outstanding balance of our securities loaned and securities sold under agreement to repurchase ~~increased~~decreased by ~~1.8%~~7.6% from November 30, ~~2019~~2020 to ~~August~~May 31, ~~2020,~~2021, due to ~~an increase~~a decrease in the firm financing of our inventory ~~partially offset by~~and an increase in the netting benefit for our collateralized financing transactions, ~~and a decrease~~partially offset by an increase in our matched book transactions. Our average month end ~~balance~~balances of total reverse repos and stock borrows during the three and ~~nine~~six months ended ~~August~~May 31, ~~2020~~2021 were ~~30.2%~~38.0% and ~~33.3%~~36.6% higher, respectively, than the ~~August~~May 31, ~~2020~~2021 balance. Our average month end ~~balance~~balances of total repos and stock loans during the three and ~~nine~~six months ended ~~August~~May 31, ~~2020~~2021 were ~~62.2%~~51.5% and ~~74.8%~~59.6% higher, respectively, than the ~~August~~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):


	Nine Months Ended August 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	$	5,327	$	4,300	Period end	$	6,917	$	5,097
Month end average	8,282		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	$	7,259	$	7,505	Period end	$	7,079	$	8,316
Month end average	13,941		14,686		Month end average	12,142		13,501
Maximum month end	18,979		19,654		Maximum month end	19,207		18,979

Fluctuations in the balance of our repurchase agreements from period to period and intraperiod are dependent on business activity in those periods. Additionally, the fluctuations in the balances of our securities purchased under agreements to resell are influenced in any given period by our clients’ balances and our clients’ desires to execute collateralized financing arrangements via the repurchase market or via other financing products. Average balances and period end balances will fluctuate based on market and liquidity conditions and we consider the fluctuations intraperiod to be typical for the repurchase market.

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Leverage Ratios

The following table presents total assets, total equity, total Jefferies Group LLC member’s equity and tangible Jefferies Group LLC member’s equity with the resulting leverage ratios (dollars in thousands):


	May 31, 2021		November 30, 2020
Total assets	$	52,171,073	$	47,751,997

Total equity	$	6,687,348	$	6,366,132



Total Jefferies Group LLC member’s equity	$	6,681,196	$	6,348,743
Deduct: Goodwill and intangible assets	(1,805,277)		(1,805,376)
Tangible Jefferies Group LLC member’s equity	$	4,875,919	$	4,543,367

Leverage ratio (1)	7.8		7.5
Tangible gross leverage ratio (2)	10.3		10.1

August 31,
2020 November 30,
2019
Total assets $ 46,660,448
$ 43,516,115

Total equity $ 6,504,454
$ 6,129,747

Total Jefferies Group LLC member’s equity $ 6,487,890
$ 6,125,472
Deduct: Goodwill and intangible assets (1,805,511 ) (1,814,141 )
Tangible Jefferies Group LLC member’s equity $ 4,682,379
$ 4,311,331

Leverage ratio (1) 7.2
7.1
Tangible gross leverage ratio (2) 9.6
9.7
(1)Leverage ratio equals total assets divided by total equity.


~~(1)~~	~~Leverage ratio equals total assets divided by total equity.~~


~~(2)~~	Tangible gross leverage ratio (a non-GAAP financial measure) equals total assets less goodwill and identifiable intangible assets divided by tangible Jefferies Group LLC member’s equity. The tangible gross leverage ratio is used by rating agencies in assessing our leverage ratio.

(2)Tangible gross leverage ratio (a non-GAAP financial measure) equals total assets less goodwill and identifiable intangible assets divided by tangible Jefferies Group LLC member’s equity. The tangible gross leverage ratio is used by rating agencies in assessing our leverage ratio.

Liquidity Management

The key objectives of the liquidity management framework are to support the successful execution of our business strategies while ensuring sufficient liquidity through the business cycle and during periods of financial distress. Our liquidity management policies are designed to mitigate the potential risk that we may be unable to access adequate financing to service our financial obligations without material franchise or business impact.

The principal elements of our liquidity management framework are our Contingency Funding Plan, our Cash Capital Policy and our assessment of ~~Maximum~~Modeled Liquidity Outflow (“MLO”).

Contingency Funding Plan. Our Contingency Funding Plan is based on a model of a potential liquidity contraction over a one year time period. This incorporates potential cash outflows during a market or our idiosyncratic liquidity stress event, including, but not limited to, the following:

•Repayment of all unsecured debt maturing within one year and no incremental unsecured debt issuance;

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•Maturity rolloff of outstanding letters of credit with no further issuance and replacement with cash collateral;

•Higher margin requirements than currently exist on assets on securities financing activity, including repurchase agreements;

•Liquidity outflows related to possible credit downgrade;

•Lower availability of secured funding;

•Client cash withdrawals;

•The anticipated funding of outstanding investment and loan commitments; and

•Certain accrued expenses and other liabilities and fixed costs.

Cash Capital Policy. We maintain a cash capital model that measures long-term funding sources against requirements. Sources of cash capital include our equity and the noncurrent portion of long-term borrowings. Uses of cash capital include the following:

•Illiquid assets such as equipment, goodwill, net intangible assets, exchange memberships, deferred tax assets and certain investments;


•	•A portion of securities inventory that is not expected to be financed on a secured basis in a credit stressed environment (i.e., margin requirements); and •~~i.e., margin requirements); and~~

Drawdowns of unfunded commitments.

To ensure that we do not need to liquidate inventory in the event of a funding ~~crisis,~~stress, we seek to maintain surplus cash ~~capital, which is reflected in the leverage ratios we maintain.~~capital. Our total long-term capital of ~~$12.5~~$13.4 billion at ~~August~~May 31, ~~2020~~2021 exceeded our cash capital requirements.

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MLO. Our businesses are diverse, and our liquidity needs are determined by many factors, including market movements, collateral requirements and client commitments, all of which can change dramatically in a difficult funding environment. During a liquidity ~~crisis,~~stress, credit-sensitive funding, including unsecured debt and some types of secured financing agreements, may be unavailable, and the terms (e.g., interest rates, collateral provisions and tenor) or availability of other types of secured financing may change. As a result of our policy to ensure we have sufficient funds to cover what we estimate may be needed in a liquidity ~~crisis,~~stress, we hold more cash and unencumbered securities and have greater long-term debt balances than our businesses would otherwise require. As part of this estimation process, we calculate an MLO that could be experienced in a liquidity ~~crisis.~~stress. MLO is based on a scenario that includes both a market-wide stress and firm-specific stress, characterized by some or all of the following elements:

•Global recession, default by a medium-sized sovereign, low consumer and corporate confidence, and general financial instability.

•Severely challenged market environment with material declines in equity markets and widening of credit spreads.

•Damaging follow-on impacts to financial institutions leading to the failure of a large bank.

•A firm-specific crisis potentially triggered by material losses, reputational damage, litigation, executive departure, and/or a ratings downgrade.

The following are the critical modeling parameters of the MLO:

•Liquidity needs over a 30-day scenario.

•A two-notch downgrade of our long-term senior unsecured credit ratings.

•No support from government funding facilities.

•

•A combination of contractual outflows, such as upcoming maturities of unsecured debt, and contingent outflows (e.g., actions though not contractually required, we may deem necessary in a crisis). We assume that most contingent outflows will occur within the initial days and weeks of a stress.

•~~e.g., actions though not contractually required, we may deem necessary in a crisis). We assume that most contingent outflows will occur within the initial days and weeks of a crisis.~~

No diversification benefit across liquidity risks. We assume that liquidity risks are additive.

The calculation of our MLO under the above stresses and modeling parameters considers the following potential contractual and contingent cash and collateral outflows:

•All upcoming maturities of unsecured long-term debt, commercial paper, promissory notes and other unsecured funding products assuming we will be unable to issue new unsecured debt or rollover any maturing debt.

•Repurchases of our outstanding long-term debt in the ordinary course of business as a market maker.

•

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•A portion of upcoming contractual maturities of secured funding trades due to either the inability to refinance or the ability to refinance only at wider haircuts (i.e., on terms which require us to post additional collateral). Our assumptions reflect, among other factors, the quality of the underlying collateral and counterparty concentration.

•~~i.e., on terms which require us to post additional collateral). Our assumptions reflect, among other factors, the quality of the underlying collateral and counterparty concentration.~~

Collateral postings to counterparties due to adverse changes in the value of our over-the-counter (“OTC”) derivatives and other outflows due to trade terminations, collateral substitutions, collateral disputes, collateral calls or termination payments required by a two-notch downgrade in our credit ratings.

•Variation margin postings required due to adverse changes in the value of our outstanding exchange-traded derivatives and any increase in initial margin and guarantee fund requirements by derivative clearing houses.

•Liquidity outflows associated with our prime services business, including withdrawals of customer credit balances, and a reduction in customer short positions.

•Liquidity outflows to clearing banks to ensure timely settlements of cash and securities transactions.

•Draws on our unfunded commitments considering, among other things, the type of commitment and counterparty.

•Other upcoming large cash outflows, such as tax payments.

Based on the sources and uses of liquidity calculated under the MLO scenarios, we determine, based on a calculated surplus or deficit, additional long-term funding that may be needed versus funding through the repurchase financing market and consider any adjustments that may be necessary to our inventory balances and cash holdings. At ~~August~~May 31, ~~2020,~~2021, we had sufficient excess liquidity to meet all contingent cash outflows detailed in the MLO. We regularly refine our model to reflect changes in market or economic conditions and our business mix.

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Sources of Liquidity

The following are financial instruments that are cash and cash equivalents or are deemed by management to be generally readily convertible into cash, marginable or accessible for liquidity purposes within a relatively short period of time (dollars in thousands):


	May 31, 2021			Average Balance Three Months ended May 31, 2021 (1)		November 30, 2020
Cash and cash equivalents:
Cash in banks	$	2,108,019		$	3,136,547	$	1,979,058

Money market investments (2)	4,112,874			2,971,160		5,132,871
Total cash and cash equivalents	6,220,893			6,107,707		7,111,929
Other sources of liquidity:
Debt securities owned and securities purchased under agreements to resell (3)	1,650,901			1,204,579		1,180,410
Other (4)	387,422			411,235		312,511
Total other sources	2,038,323			1,615,814		1,492,921
Total cash and cash equivalents and other liquidity sources	$	8,259,216		$	7,723,521	$	8,604,850
Total cash and cash equivalents and other liquidity sources as % of Total assets	15.8		%			18.0		%
Total cash and cash equivalents and other liquidity sources as % of Total assets less goodwill and intangible assets	16.4		%			18.7		%

(1)Average balances are calculated based on weekly balances.

(2)At May 31, 2021 and November 30, 2020, $4,098.0 million and $5,118.0 million, respectively, was invested in U.S. government money funds that invest at least 99.5% of its total assets in cash, securities issued by the U.S. government and U.S. government-sponsored entities and repurchase agreements that are fully collateralized by cash or government securities. The remaining $14.9 million at both May 31, 2021 and November 30, 2020 are invested in AAA rated prime money funds. The average balance of U.S. government money funds for the three months ended May 31, 2021 was $2,955.0 million.

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August 31, 2020 Average Balance Three Months ended
August 31, 2020 (1) November 30, 2019
Cash and cash equivalents:
Cash in banks $ 1,431,834
$ 2,290,893
$ 983,816
Money market investments (2) 5,317,872
3,304,669
4,584,087
Total cash and cash equivalents 6,749,706
5,595,562
5,567,903
Other sources of liquidity:
Debt securities owned and securities purchased under agreements to resell (3) 1,122,768
988,506
972,624
Other (4) 216,088
282,436
377,296
Total other sources 1,338,856
1,270,942
1,349,920
Total cash and cash equivalents and other liquidity sources $ 8,088,562
$ 6,866,504
$ 6,917,823
Total cash and cash equivalents and other liquidity sources as % of Total assets 17.3 % 15.9 %
Total cash and cash equivalents and other liquidity sources as % of Total assets less goodwill and intangible assets 18.0 % 16.6 %


~~(1)~~	~~Average balances are calculated based on weekly balances.~~

~~(2)~~

At August 31, 2020 and November 30, 2019, $4,987.0 million and $4,496.7 million, respectively, was invested in U.S. government money funds that invest at least 99.5% of its total assets in cash, securities issued by the U.S. government and U.S. government-sponsored entities and repurchase agreements that are fully collateralized by cash or government securities. The remaining $330.9 million and $87.4 million at August 31, 2020 and November 30, 2019, respectively, are invested in AAA rated prime money funds. The average balance of U.S. government money funds for the three months ended August 31, 2020 was $3,240.4 million. (3)Consists of high quality sovereign government securities and reverse repurchase agreements collateralized by U.S. government securities and other high quality sovereign government securities; deposits with a central bank within the European Economic Area, Canada, Australia, Japan, Switzerland or the U.S.; and securities issued by a designated multilateral development bank and reverse repurchase agreements with underlying collateral comprised of these securities.

(4)Other includes unencumbered inventory representing an estimate of the amount of additional secured financing that could be reasonably expected to be obtained from our Financial instruments owned that are currently not pledged after considering reasonable financing haircuts.

~~(3)~~

Consists of high quality sovereign government securities and reverse repurchase agreements collateralized by U.S. government securities and other high quality sovereign government securities; deposits with a central bank within the European Economic Area, Canada, Australia, Japan, Switzerland or the U.S.; and securities issued by a designated multilateral development bank and reverse repurchase agreements with underlying collateral comprised of these securities.


~~(4)~~	Other includes unencumbered inventory representing an estimate of the amount of additional secured financing that could be reasonably expected to be obtained from our Financial instruments owned that are currently not pledged after considering reasonable financing haircuts.

In addition to the cash balances and liquidity pool presented above, the majority of financial instruments (both long and short) in our trading accounts are actively traded and readily marketable. At ~~August~~May 31, ~~2020,~~2021, we had the ability to readily obtain repurchase financing for ~~74.4%~~70.8% of our inventory at haircuts of 10% or less, which reflects the liquidity of our inventory. In addition, as a matter of our policy, all of these assets have internal capital assessed, which is in addition to the funding haircuts provided in the securities finance markets. Additionally, certain of our Financial instruments owned, primarily consisting of bank loans, consumer loans and investments are predominantly funded by long term capital. Under our cash capital policy, we model capital allocation levels that are more stringent than the haircuts used in the market for secured funding; and we maintain surplus capital at these more stringent levels. We continually assess the liquidity of our inventory based on the level at which we could obtain financing in the marketplace for a given asset. Assets are considered to be liquid if financing can be obtained in the repurchase market or the securities lending market at collateral haircut levels of 10% or less.

The following summarizes our financial instruments by asset class that we consider to be of a liquid nature and the amount of such assets that have not been pledged as collateral at ~~August~~May 31, ~~2020~~2021 and November 30, ~~2019~~2020 (in thousands):


	May 31, 2021				November 30, 2020
	Liquid Financial Instruments		Unencumbered Liquid Financial Instruments (2)		Liquid Financial Instruments		Unencumbered Liquid Financial Instruments (2)
Corporate equity securities	$	2,839,654	$	444,428	$	2,191,536	$	238,129
Corporate debt securities	2,579,263		40,672		2,298,591		50,217
U.S. government, agency and municipal securities	4,000,885		400,906		3,336,361		110,586
Other sovereign obligations	2,236,240		1,263,841		2,518,928		1,101,272
Agency mortgage-backed securities (1)	1,952,468		—		1,652,743		—
Loans and other receivables	142,948		—		564,112		—
Total	$	13,751,458	$	2,149,847	$	12,562,271	$	1,500,204

83(1)Consists solely of agency mortgage-backed securities issued by Freddie Mac, Fannie Mae and Ginnie Mae. These securities include pass-through securities, securities backed by adjustable rate mortgages, collateralized mortgage obligations, commercial mortgage-backed securities and interest- and principal-only securities.

(2)Unencumbered liquid balances represent assets that can be sold or used as collateral for a loan, but have not been.

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August 31, 2020 November 30, 2019
Liquid Financial Instruments Unencumbered Liquid Financial Instruments (2) Liquid Financial Instruments Unencumbered Liquid Financial Instruments (2)
Corporate equity securities $ 2,356,376
$ 215,732
$ 2,403,589
$ 256,624
Corporate debt securities 2,075,043
18,327
1,893,605
29,412
U.S. government, agency and municipal securities 3,587,929
140,474
2,894,264
151,414
Other sovereign obligations 2,545,333
998,904
2,633,636
969,800
Agency mortgage-backed securities (1) 1,922,293
—
1,757,077
—
Loans and other receivables 569,620
—
655,120
—
Total $ 13,056,594
$ 1,373,437
$ 12,237,291
$ 1,407,250


~~(1)~~	Consists solely of agency mortgage-backed securities issued by Freddie Mac, Fannie Mae and Ginnie Mae. These securities include pass-through securities, securities backed by adjustable rate mortgages, collateralized mortgage obligations, commercial mortgage-backed securities and interest- and principal-only securities.


~~(2)~~	~~Unencumbered liquid balances represent assets that can be sold or used as collateral for a loan, but have not been.~~

Average liquid financial instruments were ~~$16.1~~$15.9 billion and ~~$16.4~~$16.9 billion for the three and ~~nine~~six months ended ~~August~~May 31, ~~2020,~~2021, respectively, and ~~$15.2~~$16.3 billion and ~~$16.3~~$21.5 billion for the three and twelve months ended November 30, ~~2019,~~2020, respectively. Average unencumbered liquid financial instruments were ~~$1.3~~$1.7 billion for both the three and six months ended May 31, 2021 and $1.4 billion for ~~the three and nine months ended August 31, 2020, respectively, and $1.5 billion and $1.6 billion for~~both the three and twelve months ended November 30, ~~2019, respectively.~~2020.

In addition to being able to be readily financed at ~~modest~~reasonable haircut levels, we estimate that each of the individual securities within each asset class above could be sold into the market and converted into cash within three business days under normal market conditions, assuming that the entire portfolio of a given asset class was not simultaneously liquidated. There are no restrictions on the unencumbered liquid securities, nor have they been pledged as collateral.

Sources of Funding and Capital Resources

Our assets are funded by equity capital, senior debt, securities loaned, securities sold under agreements to repurchase, customer free credit balances, bank loans and other payables.

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Secured Financing

We rely principally on readily available secured funding to finance our inventory of financial instruments. Our ability to support increases in total assets is largely a function of our ability to obtain short and intermediate-term secured funding, primarily through securities financing transactions. We finance a portion of our long inventory and cover some of our short inventory by pledging and borrowing securities in the form of repurchase or reverse repurchase agreements (collectively “repos”), respectively. ~~Approximately 68.8%~~At May 31, 2021, approximately 64.0% of our cash and noncash repurchase financing activities use collateral that is considered eligible collateral by central clearing corporations. During the six months ended May 31, 2021, an average of approximately 72.0% of our cash and noncash repurchase financing activities used collateral that was considered eligible collateral by central clearing corporations. Central clearing corporations are situated between participating members who borrow cash and lend securities (or vice versa); accordingly, repo participants contract with the central clearing corporation and not one another individually. Therefore, counterparty credit risk is borne by the central clearing corporation which mitigates the risk through initial margin demands and variation margin calls from repo participants. The comparatively large proportion of our total repo activity that is eligible for central clearing reflects the high quality and liquid composition of the inventory we carry in our trading books. For those asset classes not eligible for central clearing house financing, we seek to execute our bi-lateral financings on an extended term basis and the tenor of our repurchase and reverse repurchase agreements generally exceeds the expected holding period of the assets we are financing. The weighted average maturity of cash and noncash repurchase agreements for non-clearing corporation eligible funded inventory is approximately ~~six~~nine months at ~~August~~May 31, ~~2020.~~2021.

Our ability to finance our inventory via central clearinghouses and bi-lateral arrangements is augmented by our ability to draw bank loans on an uncommitted basis under our various banking arrangements. At ~~August~~May 31, ~~2020,~~2021, short-term borrowings, which must be repaid within one year or less and include bank loans and overdrafts, borrowings under revolving credit facilities and floating rate puttable notes ~~and equity-linked notes~~ totaled ~~$805.4~~$475.8 million. Interest under the bank lines is generally at a spread over the federal funds rate. Letters of credit are used in the normal course of business mostly to satisfy various collateral requirements in favor of exchanges in lieu of depositing cash or securities. Average daily short-term borrowings outstanding were ~~$643.5~~$825.2 million and ~~$592.3~~$854.5 million for the three and ~~nine~~six months ended ~~August~~May 31, ~~2020,~~2021, respectively.

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Our short-term borrowings include facilities that contain certain covenants that, among other things, require us to maintain a specified level of tangible net worth and impose certain restrictions on the ~~following facilities:~~future indebtedness of certain of our subsidiaries that are borrowers. At May 31, 2021, we were in compliance with all covenants under these facilities. Our facilities are with a bank and are included within short-term borrowings at May 31, 2021 were $413.0 million. Interest is based on a rate per annum at spreads over the Federal Funds Rate, as defined in the credit agreements.

•

Our short-term borrowings at May 31, 2021 also include floating rate puttable notes of $6.8 million and other bank loans of $56.0 million.

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 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, 2021, we were in compliance with all debt covenants under the Intraday Credit Facility. One of our subsidiaries has a credit facility agreement (“Credit Facility”) with JPMorgan Chase Bank, N.A. under which we have borrowed $246.0 million at August 31, 2020. 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 certain covenants that, among other things, require Jefferies Group LLC to maintain a specified level of tangible net worth. The covenants also require the borrower to maintain specified leverage amounts and impose certain restrictions on the borrower’s future indebtedness. At August 31, 2020, we were in compliance with all debt covenants under the Credit Facility.

•

~~Royal Bank of Canada (“RBC”) Credit Facility.~~ One of our subsidiaries has a credit facility agreement with the Royal Bank of Canada (“RBC Credit Facility”) for a committed amount of $200.0 million. Interest is based on a rate per annum equal to LIBOR plus an applicable margin of 2.05%. The RBC Credit Facility contains certain covenants that, among other things, require Jefferies Group LLC to maintain a specified level of tangible net worth. The covenants also impose certain restrictions on the borrower’s future indebtedness. At August 31, 2020, we were in compliance with all debt covenants under the RBC Credit Facility.

•

~~Intraday Credit Facility.~~ The Bank of New York Mellon has agreed to make revolving intraday credit advances (“Intraday Credit Facility”) for an aggregate committed amount of $150.0 million. The Intraday Credit 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 Jefferies LLC. At August 31, 2020, we were in compliance with all debt covenants under the Intraday Credit Facility.

For additional details on our short-term borrowings, refer to Note 11, Short-Term Borrowings, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

In addition to the above financing arrangements, we issue notes backed by eligible collateral under a master repurchase agreement, which provides an additional financing source for our inventory (our “repurchase agreement financing program”). The notes issued under the program are presented within Other secured financings in our Consolidated Statements of Financial Condition. At ~~August~~May 31, ~~2020,~~2021, the outstanding notes were ~~$2.8~~$3.5 billion, bear interest at a spread over ~~LIBOR~~London Interbank Offered Rate (“LIBOR”) and mature from ~~September 2020~~June 2021 to ~~May 2022.~~April 2023.

For additional details on our repurchase agreement financing program, refer to Note 8, Variable Interest Entities, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

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Total Long-Term Capital

At ~~August~~May 31, ~~2020~~2021 and November 30, ~~2019,~~2020, we had total long-term capital of ~~$12.5~~$13.4 billion and ~~$12.3~~$13.0 billion, respectively, resulting in a long-term debt to equity capital ratio of ~~0.92:~~1:1 and ~~1.01:~~1.05:1, respectively. See “Equity Capital” herein for further information on our change in total equity. Our total long-term capital base at ~~August~~May 31, ~~2020~~2021 and November 30, ~~2019~~2020 was as follows (in thousands):


	May 31, 2021		November 30, 2020
Unsecured Long-Term Debt (1)	$	6,718,532	$	6,655,948
Total Equity	6,687,348		6,366,132
Total Long-Term Capital	$	13,405,880	$	13,022,080

August 31, 2020 November 30, 2019
Long-Term Debt (1) $ 5,987,433
$ 6,213,648
Total Equity 6,504,454
6,129,747
Total Long-Term Capital $ 12,491,887
$ 12,343,395

~~(1)~~

~~Long-term debt at August 31, 2020 excludes $761.4~~(1)The amount at May 31, 2021 excludes $248.8 million of our 6.875% Senior Notes, as these notes mature on April 15, 2021, $189.6 million of our outstanding borrowings under our senior secured revolving credit facility (“Revolving Credit Facility”) and $50.0 million of our secured bank loan. Long-term debt at November 30, 2019 excludes $550.6 million of our 2.375% Euro Medium Term Notes, as these notes matured on May 20, 2020, $189.1 million of our outstanding borrowings under our Revolving Credit Facility and $50.0 million of our secured bank loan.

~~Table~~ of ~~Contents~~our outstanding borrowings under our senior secured revolving credit facility (“Revolving Credit Facility”), $375.0 million of outstanding borrowings under our secured credit facility (“Secured Credit Facility”) and $50.0 million of our secured bank loan. The amount at November 30, 2020 excludes $189.7 million of our outstanding borrowings under our previous revolving credit facility, which matured in six months ended May 31, 2021, and $50.0 million of our secured bank loan.

~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

Long-Term Debt

During the ~~nine~~six months ended ~~August~~May 31, ~~2020,~~2021, long-term debt ~~decreased $14.9~~increased $496.6 million to $7,392.3 million at May 31, 2021 as presented in our Consolidated Statements of Financial Condition, primarily due to ~~the maturity and repayment~~an increase of $375.0 million from our ~~2.375% Euro Medium Term Notes, partially offset by~~borrowings under our Secured Credit Facility, approximately ~~$244.4~~$59.5 million of structured notes issuances, net of retirements, a $59.0 million net increase due to our Revolving Credit Facility and ~~a $150.0 million principal amount issuance of additional 5.125% Senior Notes due 2023.~~changes in instrument specific credit risk on our structured notes, partially offset by losses associated with interest rate swaps based on their designation as fair value hedges. At ~~August~~May 31, ~~2020,~~2021, all of our 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. The fair value of all of our structured notes at ~~August~~May 31, ~~2020~~2021 was ~~$1,522.1~~$1,820.0 million. ~~Subsequent to quarter-end, on October 7, 2020,~~

During April 2021, we issued 2.75% Senior Notes with a principal amount of $500.0 million, due 2032. For further information, see Note 12, Long-Term Debt, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

~~We have~~entered into a Revolving Credit Facility with a group of commercial banks ~~for an aggregate principal amount~~following the maturity of ~~$190.0 million.~~our previous revolving credit facility. At ~~August~~May 31, ~~2020,~~2021, borrowings under the Revolving Credit Facility amounted to ~~$189.6~~$248.8 million. Interest is based on an ~~annual alternative base rate or an~~ adjusted LIBOR Rate, as defined in the ~~Revolving Credit Facility.~~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 ~~August~~May 31, ~~2020,~~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. ~~For further information, see Note 12, Long-Term Debt,~~

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 Adjusted LIBOR Rate, as defined in ~~our consolidated financial statements included~~the credit agreement. The Secured Credit Facility contains certain covenants that, among other things, require Jefferies Group LLC to maintain a specified level of tangible net worth. The covenants also require the borrower to maintain specified leverage amounts and impose certain restrictions on the borrower’s future indebtedness. At May 31, 2021, we were in ~~this Quarterly Report on Form 10-Q.~~compliance with all debt covenants under the 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 ~~August~~May 31, ~~2020,~~2021, we were in compliance with all covenants under the Loan and Security Agreement.

At ~~August~~May 31, ~~2020,~~2021, our unsecured long-term debt, ~~excluding~~which excludes the Revolving Credit Facility and the Secured Bank Loan, has a weighted average maturity of approximately ~~9.6~~10.4 years.

For further information, see Note 12, Long-Term Debt, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

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Our long-term debt ratings at ~~August~~May 31, ~~2020~~2021 are as follows:



	Rating	Outlook
Moody’s Investors Service (1)	Baa3	~~Stable~~Positive
~~S&P (2)~~Standard and Poor’s	BBB	~~Negative~~Stable
Fitch Ratings	BBB	Stable


~~(1)~~	~~On April 15, 2020, Moody’s affirmed our rating of Baa3 and rating outlook of stable.~~


~~(2)~~	~~On April 14, 2020, S&P affirmed our rating of BBB and revised our rating outlook from stable to negative.~~

(1)On March 15, 2021, Moody’s Investor Service (“Moody’s) affirmed our rating of Baa3 and revised our rating outlook from stable to positive.

At ~~August~~May 31, ~~2020,~~2021, the long-term ratings on our principal operating broker-dealers, Jefferies LLC and Jefferies International Limited (a broker-dealer in the United Kingdom (“U.K.”)) are as follows:

Jefferies LLC

Jefferies International Limited

Rating

Outlook

Rating

Outlook

Moody’s (1)

Baa2

~~Stable~~Positive

Baa2

~~Stable~~Positive

~~S&P (2)~~Standard and Poor’s

BBB+

~~Negative~~Stable

BBB+

~~Negative~~Stable

~~Table~~(1)On March 15, 2021, Moody’s affirmed our ratings of ~~Contents~~

~~JEFFERIES GROUP~~Baa2 and revised our rating outlooks from stable to positive on Jefferies LLC ~~AND SUBSIDIARIES~~and Jefferies International Limited.


~~(1)~~	~~On April 15, 2020, Moody’s affirmed our rating of Baa2 and rating outlook of stable on Jefferies LLC and Jefferies International Limited.~~


~~(2)~~	~~On April 14, 2020, S&P affirmed our rating of BBB+ and revised our rating outlook from stable to negative on Jefferies LLC and Jefferies International Limited.~~

Access to external financing to finance our day to day operations, as well as the cost of that financing, is dependent upon various factors, including our debt ratings. Our current debt ratings are dependent upon many factors, including industry dynamics, operating and economic environment, operating results, operating margins, earnings trend and volatility, balance sheet composition, liquidity and liquidity management, our capital structure, our overall risk management, business diversification and our market share and competitive position in the markets in which we operate. ~~Deteriorations~~Deterioration in any of these factors could impact our credit ratings. While certain aspects of a credit rating downgrade are quantifiable pursuant to contractual provisions, the impact on our business and trading results in future periods is inherently uncertain and depends on a number of factors, including the magnitude of the downgrade, the behavior of individual clients and future mitigating action taken by us.

In connection with certain over-the-counter derivative contract arrangements and certain other trading arrangements, we may be required to provide additional collateral to counterparties, exchanges and clearing organizations in the event of a credit rating downgrade. At ~~August~~May 31, ~~2020,~~2021, the amount of additional collateral that could be called by counterparties, exchanges and clearing organizations under the terms of such agreements in the event of a downgrade of our long-term credit rating below investment grade was ~~$76.0~~$120.1 million. For certain foreign clearing organizations, credit rating is only one of several factors employed in determining collateral that could be called. The above represents management’s best estimate for additional collateral to be called in the event of a credit rating downgrade. The impact of additional collateral requirements is considered in our Contingency Funding Plan and calculation of MLO, as described above.

Equity Capital

As compared to November 30, ~~2019,~~2020, the ~~$362.4~~$332.5 million increase to ~~total~~Total Jefferies Group LLC member’s equity at ~~August~~May 31, ~~2020~~2021 is primarily attributed to net earnings, partially offset by net distributions to ~~Jefferies.~~Jefferies and changes in instrument specific credit risk on structured notes. During the three and ~~nine~~six months ended ~~August~~May 31, ~~2020,~~2021, we recognized gains due to foreign currency translation adjustments, net of tax, of ~~$74.9~~$3.4 million and ~~$37.3~~$14.2 million, respectively, the majority of which is due to our ~~£865.2~~£959.4 million investment in our London subsidiaries at ~~August~~May 31, ~~2020.~~2021. The gains or losses resulting from translating foreign currency financial statements into U.S. dollars, net of hedging gains or losses and taxes, if any, are included in Other comprehensive income. For further information on foreign currency translations, 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.

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During the ~~nine~~six months ended ~~August~~May 31, ~~2020,~~2021, we paid distributions of ~~$164.7~~$400.6 million to Jefferies, based on our results for the ~~nine~~six months ended February 28, 2021. In addition, during the six months ended May 31, ~~2020.~~2021, we received a contribution of $153.6 million from Jefferies and paid an additional distribution of $153.6 million to Jefferies. At ~~August~~May 31, ~~2020,~~2021, we have accrued a distribution payable of ~~$134.0~~$159.4 million, based on our results for the three months ended ~~August~~May 31, ~~2020.~~2021.

Net Capital

As a broker-dealer registered with the SEC and member firms of the Financial Industry Regulatory Authority (“FINRA”), Jefferies LLC is subject to the Securities and Exchange Commission 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. 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 ~~August~~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 $ 1,612,465
$ 1,531,871


	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.

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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 subject to the regulatory supervision and requirements of the Financial Conduct Authority in the U.K. The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) was signed into law on July 21, 2010. The Dodd-Frank Act contains provisions that require the registration of all swap dealers, major swap participants, security-based swap dealers, and/or major security-based swap participants. The CFTC has finalized rules establishing capital requirements and financial reporting requirements for CFTC-registered swap dealers not subject to regulation by a banking regulator. ~~We expect that these~~These provisions will result in ~~modifications to the regulatory capital requirements~~certain of ~~some of~~ our ~~entities, and will result in some of our other~~ entities becoming subject to regulatory capital requirements for the first time, ~~including~~namely Jefferies Financial Services, Inc., which registered as a swap dealer with the CFTC during January 2013 and Jefferies Financial Products LLC, which registered during August 2014. ~~We may also be required in the future to register one or more additional subsidiaries as security-based swap dealers with the SEC.~~ Compliance with these rules is required by October 6, 2021.

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

Other Developments

The U.K. ~~formally withdrew from~~left the European Union ~~(“EU”)~~ on January 31, 2020 and ~~entered a~~the current transition period ~~that is scheduled to expire~~ended on December 31, 2020. ~~During~~On January 1, 2021, our U.K. broker dealer, Jefferies International Limited, was no longer able to provide services to European clients under the ~~transition period, existing arrangements between the U.K. and EU will remain in place while the U.K. and EU seek to negotiate a free trade agreement that will govern their future trading relationship.~~passport regime. We have taken steps to ensure our ability to provide services to our European clients without ~~interruption. As such, we have established~~interruption by establishing a wholly-owned subsidiary in Germany (“Jefferies GmbH”), which is authorized and regulated in Germany by the Federal Financial Services Authority (“BaFin”). As of January 1, 2021, all of our ~~U.K. broker-dealer in Germany, which has been approved as an authorized Market in Financial Instruments Directive investment firm by the German regulator and which will enable us~~European clients were migrated to Jefferies GmbH to conduct business across all of our European investment banking, fixed income and equity platforms. ~~The new entity started trading in 2019~~There were no client disruptions or settlement issues experienced after this migration.

Central banks and regulators around the world have convened working groups to find, and implement the transition to, suitable replacements for IBORs. We have an active transition program that focuses on an orderly transition from IBORs to alternative reference rates, including internal operational readiness and risk management. We are identifying, assessing and monitoring risk associated with ~~EU clients with further clients migrating throughout 2020,~~the expected discontinuation of IBORs, which includes taking steps to update operational processes and ~~our plans contemplate providing sufficient capital pursuant to the regulatory requirements~~models and evaluating legacy contracts for ~~the planned operations as well pursuant to requirements of relevant clearing organizations.~~any changes that may be required.

Off-Balance Sheet Arrangements and Contractual Obligations

Off-Balance Sheet Arrangements

We have contractual commitments arising in the ordinary course of business for securities loaned or purchased under agreements to resell, repurchase agreements, future purchases and sales of foreign currencies, securities transactions on a when-issued basis and underwriting. Each of these financial instruments and activities contains varying degrees of off-balance sheet risk whereby the fair values of the securities underlying the financial instruments may be in excess of, or less than, the contract amount. The settlement of these transactions is not expected to have a material effect upon our consolidated financial statements.

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In the normal course of business, we engage in other off-balance sheet arrangements, including derivative contracts. Neither derivatives’ notional amounts nor underlying instrument values are reflected as assets or liabilities in our Consolidated Statements of Financial Condition. Rather, the fair values of derivative contracts are reported in our Consolidated Statements of Financial Condition as Financial instruments owned or Financial instruments sold, not yet purchased as applicable. Derivative contracts are reflected net of cash paid or received pursuant to credit support agreements and are reported on a net by counterparty basis when a legal right of offset exists under an enforceable master netting agreement. For additional information about our accounting policies and our derivative activities, 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, and Note 5, Derivative Financial Instruments, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

We are routinely involved with variable interest entities (“VIEs”) in the normal course of business. At ~~August~~May 31, ~~2020,~~2021, we did not have any commitments to purchase assets from these VIEs. For additional information regarding our involvement with VIEs, see Note 7, Securitization Activities, and Note 8, Variable Interest Entities, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

Due to the uncertainty regarding the timing and amounts that will ultimately be paid, our liability for unrecognized tax benefits has been excluded from the below contractual obligations table. See Note ~~16,~~15, Income Taxes, in our consolidated financial statements included in this Quarterly Report on Form 10-Q for further information for further information.

For information on our commitments and guarantees, see Note ~~17,~~16, Commitments, Contingencies and Guarantees, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

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Contractual Obligations

The table below provides information about our contractual obligations at ~~August~~May 31, ~~2020.~~2021. The table presents principal cash flows with expected maturity dates (in millions):


	Expected Maturity Date
	2021		2022		2023 and 2024		2025 and 2026		2027 and Later		Total
Debt obligations:
Unsecured long-term debt (contractual principal payments net of unamortized discounts and premiums) (1)	$	—	$	11.5	$	1,372.7	$	59.7	$	5,274.6	$	6,718.5
Revolving credit facility (1)	—		—		248.8		—		—		248.8
Secured bank loan (1)	50.0		—		—		—		—		50.0
Interest payment obligations on long-term debt (2)	155.0		289.9		487.3		459.9		1,602.5		2,994.6
Total	$	205.0	$	301.4	$	2,108.8	$	519.6	$	6,877.1	$	10,011.9

(1)For additional information on long-term debt, see Note 12, Long-Term Debt, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

(2)Amounts based on applicable interest rates at May 31, 2021.

Expected Maturity Date
2020 2021 2022
and
2023 2024
and
2025 2026
and
Later Total
Debt obligations:
Unsecured long-term debt (contractual principal payments net of unamortized discounts and premiums) (1) $ —
$ 761.4
$ 768.6
$ 617.7
$ 4,601.1
$ 6,748.8
Revolving credit facility (1) —
189.6
—
—
—
189.6
Secured bank loan (1) —
50.0
—
—
—
50.0
Interest payment obligations on long-term debt (2) 98.2
289.3
491.3
431.7
1,685.0
2,995.5
Total $ 98.2
$ 1,290.3
$ 1,259.9
$ 1,049.4
$ 6,286.1
$ 9,983.9


~~(1)~~	~~For additional information on long-term debt, see Note 12, Long-Term Debt, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.~~


~~(2)~~	~~Amounts based on applicable interest rates at August 31, 2020.~~

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Risk Management

Overview

Risk is an inherent part of our business and activities. The extent to which we properly and effectively identify, assess, monitor and manage each of the various types of risk involved in our activities is critical to our financial soundness, viability and profitability. Accordingly, we have a comprehensive risk management approach, with a formal governance structure and processes to identify, assess, monitor and manage risk. Principal risks involved in our business activities include market, credit, liquidity and capital, operational, legal and compliance, new business and reputational risk.

Risk management is a multifaceted process that requires communication, judgment and knowledge of financial products and markets. Our risk management process encompasses the active involvement of executive and senior management, and also many departments independent of the revenue-producing business units, including the Risk Management, Operations, Compliance, Legal and Finance Departments. Our risk management policies, procedures and methodologies are flexible in nature and are subject to ongoing review and modification.

In achieving our strategic business objectives, our risk appetite incorporates keeping our clients’ interests at the top of our priority list and ensuring we are in compliance with applicable laws, rules and regulations, as well as adhering to the highest ethical standards. We undertake prudent and conservative risk-taking that protects the capital base and franchise, utilizing risk limits and tolerances that avoid outsized risk-taking. We maintain a diversified business mix and avoid significant concentrations to any sector, product, geography, or activity and set quantitative concentration limits to manage this risk. We consider contagion, second order effects and correlation in our risk assessment process and actively seek out value opportunities of all sizes. We manage the risk of opportunities larger than our approved risk levels through risk sharing and risk distribution, sell-down and hedging as appropriate. We have a limited appetite for illiquid assets and complex derivative financial instruments. We maintain the asset quality of our balance sheet through conducting trading activity in liquid markets and generally ensure high turnover of our inventory. We subject less liquid positions and derivative financial instruments to oversight and use a wide variety of specific metrics, limits, and constraints to manage these risks. We protect our reputation and franchise, as well as our standing within the market. We operate a federated approach to risk management with risk oversight responsibilities assigned to those areas of the business that have the appropriate knowledge.

For a discussion of liquidity and capital risk management, refer to the “Liquidity, Financial Condition and Capital Resources” section herein.

Governance and Risk Management Structure and Risk Policy Framework

For a discussion of our governance and risk management structure and our risk management framework, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Risk Management” in Part II, Item 7 of our Annual Report on Form 10-K for the year ended November 30, ~~2019.~~2020.

Risk Considerations

We apply a comprehensive framework of limits on a variety of key metrics to constrain the risk profile of our business activities. The size of the limits reflects our risk tolerance for a certain activity under normal business conditions. Key metrics included in our risk management framework include inventory position and exposure limits on a gross and net basis, scenario analysis and stress tests, Value-at-Risk (“VaR”), sensitivities, exposure concentrations, aged inventory, amount of Level 3 assets, counterparty exposure, leverage and cash capital.

Market Risk

Market risk is defined as the risk of loss due to fluctuations in the market value of financial assets and liabilities attributable to changes in market variables.

Our market risk principally arises from interest rate risk, from exposure to changes in the yield curve, the volatility of interest rates, and credit spreads, and from equity price risks from exposure to changes in prices and volatilities of individual equities, equity baskets and equity indices. In addition, commodity price risk results from exposure to the changes in prices and volatilities of individual commodities, commodity baskets and commodity indices, and foreign exchange risk results from changes in foreign currency rates.

Market risk is present in our market making, proprietary trading, underwriting ~~specialist~~ and investing activities, including our investments in Asset Management separately managed accounts, and is principally managed by diversifying exposures, controlling position sizes, and establishing economic hedges in related securities or derivatives. Due to imperfections in correlations, gains and losses can occur even for positions that are economically hedged. Position limits in trading and inventory accounts are established and monitored on an ongoing basis. Each day, consolidated position and exposure reports are prepared and distributed to various levels of management, which enable management to monitor inventory levels and the results of our trading businesses.

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VaR

VaR is a statistical estimate of the potential loss from adverse market movements over a specified time horizon within a specified probability (confidence level). It provides a common risk measure across financial instruments, markets and asset classes. We estimate VaR using a model that simulates revenue and loss distributions on our trading portfolios by applying historical market changes to the current portfolio. We calculate a one-day VaR using a one year look-back period measured at a 95% confidence level.

As with all measures of VaR, our estimate has inherent limitations due to the assumption that historical changes in market conditions are representative of the future. Furthermore, the VaR model measures the risk of a current static position over a one-day horizon and might not capture the market risk over a longer time horizon where moves may be more extreme. Previous changes in market risk factors may not generate accurate predictions of future market movements. While we believe the assumptions and inputs in our risk model are reasonable, we could incur losses greater than the reported VaR. Consequently, this VaR estimate is only one of a number of tools we use in our daily risk management activities.

~~Our~~There was a modest decrease in our average firmwide daily VaR ~~increased~~ to ~~$10.46~~$15.77 million for the three months ended ~~August~~May 31, ~~2020~~2021 from ~~$9.16~~$16.02 million for the three months ended ~~May 31, 2020~~.February 28, 2021. The ~~increase~~decrease was primarily driven by lower interest rate and credit spread VaR as the volatile period in 2020 driven by the impact of COVID-19 continued ~~market volatility early~~to drop from the one year look-back period. This decrease was partially offset by higher equity price VaR driven by longer beta positioning in ~~the current quarter, as well as increased equity exposure as we continue to build out~~ our Asset Management business ~~partially offset by a decrease in interest rate risk and an increase in~~during the ~~diversification benefit across asset classes and business divisions.~~three months ended May 31, 2021.

The following table illustrates each separate component of VaR for each component of market risk by interest rate and credit spreads, equity, currency and commodity products, as well as for our overall trading positions using the past 365 days of historical data (in millions):


			Daily VaR (1) Value-at-Risk in Trading Portfolios
	VaR at May 31, 2021								VaR at February 28, 2021
			Daily VaR for the Three Months Ended May 31, 2021								Daily VaR for the Three Months Ended February 28, 2021
Risk Categories			Average		High		Low				Average		High		Low
Interest Rates and Credit Spreads	$	4.06	$	5.08	$	10.77	$	3.21	$	10.35	$	8.58	$	11.15	$	5.83
Equity Prices	15.53		14.83		18.98		10.57		11.36		10.90		15.71		6.17
Currency Rates	0.06		0.14		0.31		0.06		0.31		0.19		0.31		0.11
Commodity Prices	0.43		0.55		0.77		0.37		0.72		0.42		0.75		0.16
Diversification Effect (2)	(3.60)		(4.83)		N/A		N/A		(6.61)		(4.07)		N/A		N/A
Firmwide	$	16.48	$	15.77	$	20.30	$	12.37	$	16.13	$	16.02	$	22.91	$	6.94

Daily VaR (1)
Value-at-Risk in Trading Portfolios

VaR at August 31, 2020 VaR at May 31, 2020
Daily VaR for the Three Months Ended August 31, 2020 Daily VaR for the Three Months Ended May 31, 2020
Risk Categories Average High Low Average High Low
Interest Rates $ 8.92
$ 8.65
$ 11.06
$ 7.19
$ 10.34
$ 9.31
$ 12.50
$ 5.96
Equity Prices 9.95
8.16
13.07
4.79
8.69
5.89
9.30
3.68
Currency Rates 0.26
0.21
2.17
0.12
0.21
0.20
0.39
0.10
Commodity Prices 0.37
0.91
1.56
0.24
1.18
0.64
1.18
0.28
Diversification Effect (2) (5.03 ) (7.47 ) N/A
N/A
(10.25 ) (6.88 ) N/A
N/A
Firmwide $ 14.47
$ 10.46
$ 14.47
$ 7.62
$ 10.17
$ 9.16
$ 10.81
$ 6.81
(1)For the VaR numbers reported above, a one-day time horizon, with a one year look-back period, and a 95% confidence level were used.


~~(1)~~	~~For the VaR numbers reported above, a one-day time horizon, with a one year look-back period, and a 95% confidence level were used.~~


~~(2)~~	The diversification effect is not applicable for the maximum and minimum VaR values as the firmwide VaR and the VaR values for the four risk categories might have occurred on different days during the period.

(2)The diversification effect is not applicable for the maximum and minimum VaR values as the firmwide VaR and the VaR values for the four risk categories might have occurred on different days during the period.

The aggregated VaR presented here is less than the sum of the individual components (i.e., interest rate risk, foreign exchange rate risk, equity risk and commodity price risk) due to the benefit of diversification among the four risk categories. Diversification benefit equals the difference between aggregated VaR and the sum of VaRs for the four risk categories and arises because the market risk categories are not perfectly correlated.

The primary method used to test the efficacy of the VaR model is to compare our actual daily net revenue for those positions included in our VaR calculation with the daily VaR estimate. This evaluation is performed at various levels of the trading portfolio, from the overall level down to specific business lines. For the VaR model, trading related revenue is defined as principal transactions revenues, trading related commissions, revenue from securitization activities and net interest income.

For a 95% confidence one day VaR model (i.e., no intra-day trading), assuming current changes in market value are consistent with the historical changes used in the calculation, net trading losses would not be expected to exceed the VaR estimates more than twelve times on an annual basis (i.e., once in every 20 days). During the three months ended ~~August~~May 31, ~~2020,~~2021, results of the evaluation at the aggregate level demonstrated ~~one day~~three days when the net trading loss exceeded the 95% one day ~~VaR.~~VaR due to our asset management and equity businesses.

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The chart below reflects our daily VaR over the last four ~~quarters with~~quarters. The increases from August 2020 through mid-January 2021 were driven by the ~~increase~~high historical volatility observed throughout the initial period in 2020 driven by the impact of COVID-19. The lower trend from January 2021 to the end of February 2021 was driven by exposure reductions. Equity exposure increased at various points in the ~~three months ended August 31,~~current year quarter, which was offset as the highly volatile period in 2020 ~~due to continued market volatility and as certain businesses took advantage~~driven by the impact of COVID-19 dropped out of the ~~market rebound.~~one year look-back period.

Daily Net Trading Revenue

There were ~~eight~~20 days with trading losses out of a total of 6564 trading days in the three months ended ~~August~~May 31, ~~2020.~~2021. The loss days during the three months ended May 31, 2021 were primarily driven by SPAC-related activity, certain block positions and certain funds in our Asset Management business. The histogram below presents the distribution of our actual daily net trading revenue for substantially all of our trading activities for the three months ended ~~August~~May 31, ~~2020~~2021 (in millions).

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Other Risk Measures

Certain positions within financial instruments are not included in the VaR model because VaR is not the most appropriate measure of risk. Accordingly, Risk Management has additional procedures in place to assure that the level of potential loss that would arise from market movements are within acceptable levels. Such procedures include performing stress tests, monitoring concentration risk and tracking price target/stop loss levels. The table below presents the potential reduction in net income associated with a 10% stress of the fair value of the positions that are not included in the VaR model at ~~August~~May 31, ~~2020~~2021 (in thousands):

10% Sensitivity
Investment in funds (1) $ 92,033
Private investments 20,249
Corporate debt securities in default 6,770
Trade claims 4,052


~~(1)~~	~~Includes~~10% Sensitivity
Investment in funds (1)	$	90,021
Private investments	14,249
Corporate debt securities in hedge funds, fund of funds and private equity funds. For additional details on these investments refer to “Investments at Fair Value” within Note 4, Fair Value Disclosures, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.default	11,955
Trade claims	5,180

~~Table~~(1)Includes investments in hedge funds, fund of ~~Contents~~funds and private equity funds. For additional details on these investments refer to “Investments at Fair Value” within Note 4, Fair Value Disclosures, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

The impact of changes in our own credit spreads on our structured notes for which the fair value option was elected is not included in VaR. The estimated credit spread risk sensitivity for each one basis point widening in our own credit spreads on financial liabilities for which the fair value option was elected was an increase in value of approximately ~~$1.2~~$1.7 million at ~~August~~May 31, ~~2020,~~2021, which is included in other comprehensive income.

Stress Tests and Scenario Analysis

Stress tests are used to analyze the potential impact of specific events or extreme market moves on the current portfolio both firm-wide and within business segments. Stress testing is an important part of our risk management approach because it allows us to quantify our exposure to tail risks, highlight potential loss concentrations, undertake risk/reward analysis, set risk controls and overall assess and mitigate our risk.

We employ a range of stress scenarios, which comprise both historical market price and rate changes and hypothetical market environments, and generally involve simultaneous changes of many risk factors. Indicative market changes in the scenarios include, but are not limited to, a large widening of credit spreads, a substantial decline in equities markets, significant moves in selected emerging markets, large moves in interest rates and changes in the shape of the yield curve.

Unlike our VaR, which measures potential losses within a given confidence interval, stress scenarios do not have an associated implied probability. Rather, stress testing is used to estimate the potential loss from market moves that tend to be larger than those embedded in the VaR calculation. Stress testing complements VaR to cover for potential limitations of VaR such as the breakdown in correlations, non-linear risks, tail risk and extreme events and capturing market moves beyond the confidence levels assumed in the VaR calculations.

Stress testing is performed and reported at least weekly as part of our risk management process and on an ad hoc basis in response to market events or concerns. Current stress tests provide estimated revenue and loss of the current portfolio through a range of both historical and hypothetical events. The stress scenarios are reviewed and assessed at least annually so that they remain relevant and up to date with market developments. Additional hypothetical scenarios are also conducted on a sub-portfolio basis to assess the impact of any relevant idiosyncratic stress events as needed.

Counterparty Credit Risk

Credit risk is the risk of loss due to adverse changes in a counterparty’s credit worthiness or its ability or willingness to meet its financial obligations in accordance with the terms and conditions of a financial contract.

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We are exposed to credit risk as a trading counterparty to other broker-dealers and customers, as a direct lender and through extending loan commitments, as a holder of securities and as a member of exchanges and clearing organizations. Credit exposure exists across a wide-range of products, including cash and cash equivalents, loans, securities finance transactions and over-the-counter derivative contracts. The main sources of credit risk are:

•Loans and lending arising in connection with our investment banking and capital markets activities, which reflects our exposure at risk on a default event with no recovery of loans. Current exposure represents loans that have been drawn by the borrower and lending commitments that are outstanding. In addition, credit exposures on forward settling traded loans are included within our loans and lending exposures for consistency with the balance sheet categorization of these items. Loans and lending also arise in connection with our portion of a Secured Revolving Credit Facility that is with us and Massachusetts Mutual Life Insurance Company, to be funded equally, to support loan underwritings by Jefferies Finance. For further information on this facility, refer to Note 9, Investments, in our consolidated financial statements included in this Quarterly Report on Form 10-Q. In addition, we have loans outstanding to certain of our officers and employees (none of whom are executive officers or directors). For further information on these employee loans, refer to Note ~~20,~~19, Related Party Transactions, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

•Securities and margin financing transactions, which reflect our credit exposure arising from reverse repurchase agreements, repurchase agreements and securities lending agreements to the extent the fair value of the underlying collateral differs from the contractual agreement amount and from margin provided to customers.

•OTC derivatives, which are reported net by counterparty when a legal right of setoff exists under an enforceable master netting agreement. OTC derivative exposure is based on a contract at fair value, net of cash collateral received or posted under credit support agreements. In addition, credit exposures on forward settling trades are included within our derivative credit exposures.

•Cash and cash equivalents, which includes both interest-bearing and non-interest-bearing deposits at banks.

Credit is extended to counterparties in a controlled manner and in order to generate acceptable returns, whether such credit is granted directly or is incidental to a transaction. All extensions of credit are monitored and managed as a whole to limit exposure to loss related to credit risk. Credit risk is managed according to the Credit Risk Policy, which sets out the process for identifying

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counterparty credit risk, establishing counterparty limits, and managing and monitoring credit limits. The policy includes our approach for:

•Client on-boarding and approving counterparty credit limits;

•Negotiating, approving and monitoring credit terms in legal and master documentation;

•Determining the analytical standards and risk parameters for ongoing management and monitoring credit risk books;

•Actively managing daily exposure, exceptions and breaches; and

•Monitoring daily margin call activity and counterparty performance.

Counterparty credit exposure limits are granted within our credit ratings framework, as detailed in the Credit Risk Policy. The Credit Risk Department assesses counterparty credit risk and sets credit limits at the counterparty master agreement level. Limits must be approved by appropriate credit officers and initiated in our credit and trading systems before trading commences. All credit exposures are reviewed against approved limits on a daily basis.

Our Secured Revolving Credit Facility, which supports loan underwritings by Jefferies Finance, is governed under separate policies other than the Credit Risk Policy and is approved by our Board of Directors. The loans outstanding to certain of our officers and employees are extended pursuant to a review by our most senior management.

Current counterparty credit exposures at ~~August~~May 31, ~~2020~~2021 and November 30, ~~2019~~2020 are summarized in the tables below and provided by credit quality, region and industry (in millions). Credit exposures presented take netting and collateral into consideration by counterparty and master agreement. Collateral taken into consideration includes both collateral received as cash as well as collateral received in the form of securities or other arrangements. Current exposure is the loss that would be incurred on a particular set of positions in the event of default by the counterparty, assuming no recovery. Current exposure equals the fair value of the positions less collateral. Issuer risk is the credit risk arising from inventory positions (for example, corporate debt securities and secondary bank loans). Issuer risk is included in our country risk exposure tables below.

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																																																		Counterparty Credit Exposure by Credit Rating
	Loans and Lending				Securities and Margin Finance				OTC Derivatives				Total				Cash and Cash Equivalents				Total with Cash and Cash Equivalents					Loans and Lending				Securities and Margin Finance				OTC Derivatives				Total				Cash and Cash Equivalents				Total with Cash and Cash Equivalents
	At				At				At				At				At				At					At				At				At				At				At				At
	August 31, 2020		November 30, 2019		August 31, 2020		November 30, 2019		August 31, 2020		November 30, 2019		August 31, 2020		November 30, 2019		August 31, 2020		November 30, 2019		August 31, 2020		November 30, 2019			May 31, 2021		November 30, 2020		May 31, 2021		November 30, 2020		May 31, 2021		November 30, 2020		May 31, 2021		November 30, 2020		May 31, 2021		November 30, 2020		May 31, 2021		November 30, 2020
AAA Range	$	—	$	—	$	0.3	$	1.5	$	0.1	$	—	$	0.4	$	1.5	$	5,317.9	$	4,584.1	$	5,318.3	$	4,585.6	AAA Range	$	—	$	—	$	—	$	1.1	$	—	$	0.1	$	—	$	1.2	$	4,112.9	$	5,132.9	$	4,112.9	$	5,134.1
AA Range	45.1		45.2		100.3		43.0		21.5		3.7		166.9		91.9		3.9		5.3		170.8		97.2		AA Range	60.0		45.2		104.5		111.7		32.9		9.8		197.4		166.7		14.4		7.8		211.8		174.5
A Range	0.2		1.1		466.2		531.9		133.7		152.4		600.1		685.4		1,425.1		976.3		2,025.2		1,661.7		A Range	0.4		0.2		621.5		542.2		178.0		147.2		799.9		689.6		2,092.1		1,967.9		2,892.0		2,657.5
BBB Range	250.0		250.2		122.5		140.9		24.9		48.3		397.4		439.4		1.5		1.6		398.9		441.0		BBB Range	279.6		250.5		129.1		110.2		16.0		18.1		424.7		378.8		1.4		2.2		426.1		381.0
BB or Lower	40.0		15.0		17.8		6.6		239.7		154.1		297.5		175.7		0.1		—		297.6		175.7		BB or Lower	50.0		50.0		7.2		8.3		134.3		201.6		191.5		259.9		0.1		0.1		191.6		260.0
Unrated	98.9		94.2		—		—		0.2		6.8		99.1		101.0		1.2		0.6		100.3		101.6		Unrated	141.0		142.0		—		—		—		0.2		141.0		142.2		—		1.0		141.0		143.2
Total	$	434.2	$	405.7	$	707.1	$	723.9	$	420.1	$	365.3	$	1,561.4	$	1,494.9	$	6,749.7	$	5,567.9	$	8,311.1	$	7,062.8	Total	$	531.0	$	487.9	$	862.3	$	773.5	$	361.2	$	377.0	$	1,754.5	$	1,638.4	$	6,220.9	$	7,111.9	$	7,975.4	$	8,750.3

Counterparty Credit Exposure by Region	Counterparty Credit Exposure by Region																								Counterparty Credit Exposure by Region
	Loans and Lending				Securities and Margin Finance				OTC Derivatives				Total				Cash and Cash Equivalents				Total with Cash and Cash Equivalents					Loans and Lending				Securities and Margin Finance				OTC Derivatives				Total				Cash and Cash Equivalents				Total with Cash and Cash Equivalents
	At				At				At				At				At				At					At				At				At				At				At				At
	August 31, 2020		November 30, 2019		August 31, 2020		November 30, 2019		August 31, 2020		November 30, 2019		August 31, 2020		November 30, 2019		August 31, 2020		November 30, 2019		August 31, 2020		November 30, 2019			May 31, 2021		November 30, 2020		May 31, 2021		November 30, 2020		May 31, 2021		November 30, 2020		May 31, 2021		November 30, 2020		May 31, 2021		November 30, 2020		May 31, 2021		November 30, 2020
Asia/Latin America/Other	$	15.0	$	15.0	$	51.0	$	50.5	$	7.1	$	0.3	$	73.1	$	65.8	$	226.0	$	100.4	$	299.1	$	166.2	Asia/Latin America/Other	$	15.0	$	15.0	$	93.5	$	72.6	$	8.6	$	6.9	$	117.1	$	94.5	$	266.6	$	248.4	$	383.7	$	342.9
Europe	0.1		—		282.0		324.1		62.5		101.1		344.6		425.2		92.1		74.1		436.7		499.3		Europe	0.2		0.1		324.4		313.0		33.7		42.5		358.3		355.6		245.2		96.4		603.5		452.0
North America	419.1		390.7		374.1		349.3		350.5		263.9		1,143.7		1,003.9		6,431.6		5,393.4		7,575.3		6,397.3		North America	515.8		472.8		444.4		387.9		318.9		327.6		1,279.1		1,188.3		5,709.1		6,767.1		6,988.2		7,955.4
Total	$	434.2	$	405.7	$	707.1	$	723.9	$	420.1	$	365.3	$	1,561.4	$	1,494.9	$	6,749.7	$	5,567.9	$	8,311.1	$	7,062.8	Total	$	531.0	$	487.9	$	862.3	$	773.5	$	361.2	$	377.0	$	1,754.5	$	1,638.4	$	6,220.9	$	7,111.9	$	7,975.4	$	8,750.3

Counterparty Credit Exposure by Industry	Counterparty Credit Exposure by Industry																								Counterparty Credit Exposure by Industry
	Loans and Lending				Securities and Margin Finance				OTC Derivatives				Total				Cash and Cash Equivalents				Total with Cash and Cash Equivalents					Loans and Lending				Securities and Margin Finance				OTC Derivatives				Total				Cash and Cash Equivalents				Total with Cash and Cash Equivalents
	At				At				At				At				At				At					At				At				At				At				At				At
	August 31, 2020		November 30, 2019		August 31, 2020		November 30, 2019		August 31, 2020		November 30, 2019		August 31, 2020		November 30, 2019		August 31, 2020		November 30, 2019		August 31, 2020		November 30, 2019			May 31, 2021		November 30, 2020		May 31, 2021		November 30, 2020		May 31, 2021		November 30, 2020		May 31, 2021		November 30, 2020		May 31, 2021		November 30, 2020		May 31, 2021		November 30, 2020
Asset Managers	$	0.1	$	—	$	—	$	1.7	$	—	$	—	$	0.1	$	1.7	$	5,317.9	$	4,584.1	$	5,318.0	$	4,585.8	Asset Managers	$	—	$	0.2	$	—	$	—	$	—	$	—	$	—	$	0.2	$	4,112.9	$	5,132.9	$	4,112.9	$	5,133.1
Banks, Broker-dealers	250.2		250.7		513.4		526.7		182.7		206.8		946.3		984.2		1,431.8		983.8		2,378.1		1,968.0		Banks, Broker-dealers	280.0		250.7		656.5		558.6		226.7		178.8		1,163.2		988.1		2,108.0		1,979.0		3,271.2		2,967.1

Corporates	106.6		81.3		—		—		228.2		154.4		334.8		235.7		—		—		334.8		235.7		Corporates	150.0		132.7		—		—		128.7		183.9		278.7		316.6		—		—		278.7		316.6
As Agent Banks																									As Agent Banks	—		—		184.1		190.0		—		—		184.1		190.0		—		—		184.1		190.0
Other	77.3		73.7		193.7		195.5		9.2		4.1		280.2		273.3		—		—		280.2		273.3		Other	101.0		104.3		21.7		24.9		5.8		14.3		128.5		143.5		—		—		128.5		143.5
Total	$	434.2	$	405.7	$	707.1	$	723.9	$	420.1	$	365.3	$	1,561.4	$	1,494.9	$	6,749.7	$	5,567.9	$	8,311.1	$	7,062.8	Total	$	531.0	$	487.9	$	862.3	$	773.5	$	361.2	$	377.0	$	1,754.5	$	1,638.4	$	6,220.9	$	7,111.9	$	7,975.4	$	8,750.3

For additional information regarding credit exposure to OTC derivative contracts, refer to Note 5, Derivative Financial Instruments, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

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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, which may not include the offsetting benefit of any financial instruments utilized to manage market risk. The following tables reflect our top exposure at ~~August~~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

August 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
Australia $ 35.2
$ (19.6 ) $ 1,514.3
$ —
$ 14.3
$ —
$ 13.4
$ 1,544.2
$ 1,557.6
Germany 589.6
(507.8 ) 894.9
—
68.6
11.5
16.4
1,056.8
1,073.2
United Kingdom 361.2
(140.5 ) (39.1 ) 0.1
45.3
11.4
71.9
238.4
310.3
Hong Kong 46.8
(23.1 ) —
—
0.2
—
152.0
23.9
175.9
Italy 1,458.4
(1,094.3 ) (212.1 ) —
—
0.4
—
152.4
152.4
Canada 343.8
(294.9 ) (0.5 ) —
21.7
78.7
1.7
148.8
150.5
China 498.1
(372.3 ) (22.8 ) —
—
—
—
103.0
103.0
Switzerland 110.9
(84.1 ) 1.1
—
28.1
2.5
3.5
58.5
62.0
Portugal 202.0
(141.0 ) (0.4 ) —
—
—
—
60.6
60.6
France 501.2
(493.9 ) (107.2 ) —
124.6
23.6
—
48.3
48.3
Total $ 4,147.2
$ (3,171.5 ) $ 2,028.2
$ 0.1
$ 302.8
$ 128.1
$ 258.9
$ 3,434.9
$ 3,693.8

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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~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

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 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 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 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 ~~August~~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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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.

Although the onset of the COVID-19 pandemic resulted in meaningfully lower stock prices for many companies, as well as the trading prices for our own securities, the markets have not only stabilized but returned to near pre-COVID-19 levels. However, the further spread of the COVID-19 outbreak may materially negatively impact stock and other securities prices and 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.

~~100~~

~~Table of Contents~~

~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

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 ~~August~~May 31, ~~2020~~2021 and November 30, ~~2019;~~2020; (ii) the Consolidated Statements of Earnings for the three and ~~nine~~six months ended ~~August~~May 31, ~~2020~~2021 and ~~2019;~~2020; (iii) the Consolidated Statements of Comprehensive Income for the three and ~~nine~~six months ended ~~August~~May 31, ~~2020~~2021 and ~~2019;~~2020; (iv) the Consolidated Statements of Changes in Equity for the three and ~~nine~~six months ended ~~August~~May 31, ~~2020~~2021 and ~~2019;~~2020; (v) the Consolidated Statements of Cash Flows for the ~~nine~~six months ended ~~August~~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.

~~101~~

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:	~~October~~July 9, ~~2020~~2021	By:	/s/ Matt Larson
			Matt Larson Chief Financial Officer (duly authorized officer)

~~102~~



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			6361
Item 3. Quantitative and Qualitative Disclosures About Market Risk			9996
Item 4. Controls and Procedures			9996

PART II. OTHER INFORMATION

Item 1. Legal Proceedings			~~100~~97
Item 1A. Risk Factors			~~100~~97
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds			~~101~~97
Item 6. Exhibits			~~101~~97


	August 31, 2020			November 30, 2019				May 31, 2021		November 30, 2020
ASSETS							ASSETS
Cash and cash equivalents (includes $629 and $1,154 at August 31, 2020 and November 30, 2019, respectively, related to consolidated VIEs)	$	6,749,706		$	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	986,117			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 (includes securities pledged of $12,793,080 and $12,058,522 at August 31, 2020 and November 30, 2019, respectively; and $3,573 and $339 at August 31, 2020 and November 30, 2019, respectively, related to consolidated VIEs)	17,555,720			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	892,987			944,509			Loans to and investments in related parties	1,102,091		1,000,730
Securities borrowed	7,268,413			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 August 31, 2020 and November 30, 2019, respectively)	5,327,391			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	4,413			9,500			Securities received as collateral, at fair value	0		7,517
Receivables:							Receivables:
Brokers, dealers and clearing organizations ($13,502 and $0 at August 31, 2020 and November 30, 2019, respectively, related to consolidated VIEs)	2,748,993			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	956,821			1,490,876			Customers	2,121,816		1,286,925
Fees, interest and other	350,261			323,067			Fees, interest and other	458,032		397,630
Premises and equipment	863,522			350,433			Premises and equipment	858,531		847,127
Goodwill	1,644,044			1,643,599			Goodwill	1,651,725		1,646,933
Other assets ($150 and $0 at August 31, 2020 and November 30, 2019, respectively, related to consolidated VIEs)	1,312,060			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	$	46,660,448		$	43,516,115		Total assets	$	52,171,073	$	47,751,997
LIABILITIES AND EQUITY							LIABILITIES AND EQUITY
Short-term borrowings (includes $21,829 and $20,981 at fair value at August 31, 2020 and November 30, 2019, respectively)	$	805,381		$	548,490
Financial instruments sold, not yet purchased, at fair value ($2,094 and $0 at August 31, 2020 and November 30, 2019, respectively, related to consolidated VIEs)	10,994,445			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	1,929,737			1,525,140			Securities loaned	2,277,423		1,810,748
Securities sold under agreements to repurchase	7,258,972			7,504,670			Securities sold under agreements to repurchase	7,079,322		8,316,269
Other secured financings (includes $3,402 at fair value at August 31, 2020; and $2,788,316 and $2,465,800 at August 31, 2020 and November 30, 2019, respectively, related to consolidated VIEs)	2,791,718			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	4,413			9,500			Obligation to return securities received as collateral, at fair value	0		7,517
Payables:							Payables:
Brokers, dealers and clearing organizations	2,546,494			2,555,178			Brokers, dealers and clearing organizations	5,350,380		3,325,753
Customers	3,936,811			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	573,563			—			Lease liabilities	550,234		561,249
Accrued expenses and other liabilities (includes $1,493 and $1,546 at August 31, 2020 and November 30, 2019, respectively, related to consolidated VIEs)	2,326,026			1,431,144
Long-term debt (includes $1,522,105 and $1,215,285 at fair value at August 31, 2020 and November 30, 2019, respectively)	6,988,434			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	40,155,994			37,386,368			Total liabilities	45,483,725		41,385,865
EQUITY							EQUITY
Member’s paid-in capital	6,615,771			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	(142,080		)	(179,378		)
Currency translation and other adjustments							Currency translation and other adjustments	(127,612)		(141,843)
Changes in instrument specific credit risk	19,586			(18,889		)	Changes in instrument specific credit risk	(162,172)		(71,151)

Additional minimum pension liability	(5,939		)	(6,079		)	Additional minimum pension liability	(7,914)		(8,104)
Available-for-sale securities	552			141			Available-for-sale securities	426		513
Total accumulated other comprehensive loss	(127,881		)	(204,205		)	Total accumulated other comprehensive loss	(297,272)		(220,585)
Total Jefferies Group LLC member’s equity	6,487,890			6,125,472			Total Jefferies Group LLC member’s equity	6,681,196		6,348,743
Noncontrolling interests	16,564			4,275			Noncontrolling interests	6,152		17,389
Total equity	6,504,454			6,129,747			Total equity	6,687,348		6,366,132
Total liabilities and equity	$	46,660,448		$	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 August 31,						Nine Months Ended August 31,
	2020			2019			2020			2019
Net earnings	$	267,531		$	64,825		$	567,792		$	221,009
Other comprehensive income (loss), net of tax:
Currency translation adjustments and other (1)	74,960			(28,023		)	37,438			(34,208		)
Changes in instrument specific credit risk (2)	(133,259		)	5,889			38,475			26,533
Cash flow hedges (3)	0			0			0			(470		)
Unrealized gain (loss) on available-for-sale securities (4)	(22		)	198			411			577
Total other comprehensive income (loss), net of tax (5)	(58,321		)	(21,936		)	76,324			(7,568		)
Comprehensive income	209,210			42,889			644,116			213,441
Net earnings (loss) attributable to noncontrolling interests	(531		)	(143		)	(4,397		)	140
Comprehensive income attributable to Jefferies Group LLC	$	209,741		$	43,032		$	648,513		$	213,301



☒			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 expenses of approximately $(25.6) million and $(13.7) million during the three and nine months ended August 31, 2020, respectively, and income tax benefits of $8.9 million and $10.6 million during the three and nine months ended August 31, 2019, respectively.


~~(3)~~	The amount during the nine months ended August 31, 2019 includes income tax benefits of $0.2 million. Cash flow hedge losses of $0.5 million were reclassified to Other revenues within the Consolidated Statement of Earnings.


~~(4)~~	~~The amounts include income tax expenses of $0.2 million during the nine months ended August 31, 2020, and income tax expense of $0.2 million during the nine months ended August 31, 2019.~~


~~(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		2930
Note 6. Collateralized Transactions		3536
Note 7. Securitization Activities		3839
Note 8. Variable Interest Entities		4041
Note 9. Investments		4344
Note 10. Goodwill and Intangible Assets		4647
Note 11. Short-Term Borrowings		48
Note 12. Long-Term Debt		49
Note 13. ~~Leases~~		50
~~Note 14.~~ Revenues from Contracts with Customers	5250
Note ~~15.~~14. Compensation Plans		5554
Note ~~16.~~15. Income Taxes		5654
Note ~~17.~~16. Commitments, Contingencies and Guarantees		5755
Note ~~18.~~17. Net Capital Requirements		5957
Note ~~19.~~18. Segment Reporting		5957
Note ~~20.~~19. Related Party Transactions		6159



	Three Months Ended August 31, 2020
	Balance at May 31, 2020		Total gains/losses (realized and unrealized) (1)			Purchases			Sales			Settlements			Issuances		Net transfers into/ (out of) Level 3			Balance at August 31, 2020		For instruments still held at August 31, 2020 changes in unrealized gains/(losses) included in:
																						Earnings (1)			Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	76,100	$	(588	)	$	699		$	0		$	0		$	0	$	1,619		$	77,830	$	(588	)	$	0
Corporate debt securities	25,178		(889		)	4			(394		)	0			0		(630		)	23,269		(881		)	0
CDOs and CLOs	23,139		3,796			39			(7,539		)	(2,075		)	0		10,576			27,936		385			0
RMBS	22,339		1,240			0			0			(774		)	0		5,512			28,317		1,262			0
CMBS	4,461		202			0			0			0			0		0			4,663		198			0
Other ABS	86,062		(1,585		)	3,313			0			(7,442		)	0		(17,011		)	63,337		(5,101		)	0
Loans and other receivables	68,429		8,302			18,492			(13,897		)	(355		)	0		24,463			105,434		8,633			0
Investments at fair value	63,959		(3,257		)	2,182			0			(13,003		)	0		0			49,881		(4,406		)	0
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	4,190	$	(12	)	$	0		$	0		$	0		$	0	$	189		$	4,367	$	12		$	0
Corporate debt securities	163		(15		)	0			0			0			0		0			148		15			0
CMBS	140		0			(140		)	35			0			0		0			35		0			0
Loans	10,674		6,636			(23,001		)	3,558			0			0		48,727			46,594		(6,591		)	0
Net derivatives (2)	45,131		(12,175		)	(1,404		)	13,089			(648		)	0		(21,568		)	22,425		12,007			0
Other secured financings	0		(617		)	0			0			0			4,019		0			3,402		617			0
Long-term debt	497,040		130,463			0			0			0			5,749		(2,992		)	630,260		(42,163		)	(88,300		)



	Nine Months Ended August 31, 2020
			Total gains/losses (realized and unrealized) (1)														Net transfers into/ (out of) Level 3					For instruments still held at August 31, 2020, changes in unrealized gains/(losses) included in:
	Balance at November 30, 2019					Purchases			Sales			Settlements			Issuances					Balance at August 31, 2020		Earnings (1)			Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	58,301	$	(3,793	)	$	3,299		$	(13,555	)	$	0		$	0	$	33,578		$	77,830	$	(654	)	$	0
Corporate debt securities	7,490		(162		)	285			(489		)	(602		)	0		16,747			23,269		(591		)	0
CDOs and CLOs	20,081		(8,651		)	10,883			(20,935		)	(5,675		)	0		32,233			27,936		(20,218		)	0
RMBS	17,740		(1,347		)	7,625			0			(496		)	0		4,795			28,317		(1,811		)	0
CMBS	6,110		232			0			0			(1,785		)	0		106			4,663		807			0
Other ABS	42,563		(3,495		)	29,096			(664		)	(22,125		)	0		17,962			63,337		(13,012		)	0
Loans and other receivables	64,240		(7,093		)	259,982			(208,958		)	(6,979		)	0		4,242			105,434		(6,216		)	0
Investments at fair value	75,738		(33,753		)	21,067			(168		)	(13,003		)	0		0			49,881		(35,601		)	0
Securities purchased under agreements to resell	25,000		0			0			0			(25,000		)	0		0			0		0			0
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	4,487	$	258		$	(567	)	$	0		$	0		$	0	$	189		$	4,367	$	98		$	0
Corporate debt securities	340		(261		)	(325		)	394			0			0		0			148		20			0
CMBS	35		0			(35		)	35			0			0		0			35		0			0
Loans	9,463		2,986			(5,760		)	38,531			0			0		1,374			46,594		(3,366		)	0
Net derivatives (2)	77,168		(63,367		)	(6,732		)	26,656			(1,567		)	0		(9,733		)	22,425		60,257			0
Other secured financings	0		(617		)	0			0			0			4,019		0			3,402		617			0
Long-term debt	480,069		10,851			0			0			(2,000		)	202,046		(60,706		)	630,260		(28,153		)	17,302



	Three Months Ended August 31, 2019
	Balance at May 31, 2019		Total gains/losses (realized and unrealized) (1)			Purchases			Sales			Settlements			Issuances		Net transfers into/ (out of) Level 3			Balance at August 31, 2019		For instruments still held at August 31, 2019, changes in unrealized gains/(losses) included in:
																						Earnings (1)			Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	59,307	$	12,542		$	16,508		$	(17,502	)	$	0		$	0	$	(20,255	)	$	50,600	$	12,062		$	0
Corporate debt securities	7,429		(3,072		)	1,175			(1,942		)	(85		)	0		5,783			9,288		(3,047		)	0
CDOs and CLOs	16,195		(1,514		)	0			0			0			0		6,454			21,135		(1,503		)	0
RMBS	17,266		(1,917		)	0			(65		)	(22		)	0		2,667			17,929		(1,435		)	0
CMBS	12,530		(2,003		)	0			(1,703		)	(3,362		)	0		0			5,462		(3,143		)	0
Other ABS	43,185		(1,689		)	13,497			(6,975		)	(5,500		)	0		(7,920		)	34,598		(1,068		)	0
Loans and other receivables	98,484		(2,847		)	26,921			(33,409		)	(1,287		)	0		(12,299		)	75,563		(2,392		)	0
Investments at fair value	103,833		(6,407		)	240			(296		)	0			0		35,135			132,505		(6,407		)	0
Securities purchased under agreements to resell	25,000		0			0			0			0			0		0			25,000		0			0
Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	221	$	401		$	(221	)	$	0		$	(190	)	$	0	$	0		$	211	$	(35	)	$	0
Corporate debt securities	669		(650		)	(34		)	0			(369		)	0		1,586			1,202		649			0
CMBS	0		0			0			35			0			0		0			35		0			0
Loans	9,428		(520		)	(10,281		)	5,384			0			0		12,619			16,630		531			0
Net derivatives (2)	47,449		(19,519		)	0			6,766			(14		)	0		16,081			50,763		18,507			0
Long-term debt	236,562		7,455			0			0			0			114,641		(10,595		)	348,063		(8,162		)	706



	August 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	$	70,159		1	$	0		0
Foreign exchange contracts:
Bilateral OTC	0			0	393			2
Total derivatives designated as accounting hedges	70,159				393

Derivatives not designated as accounting hedges:
Interest rate contracts:
Exchange-traded	781			48,453	73			69,918
Cleared OTC	75,125			3,894	168,467			4,199
Bilateral OTC	689,581			1,480	316,196			621
Foreign exchange contracts:
Exchange-traded	0			0	0			245
Bilateral OTC	416,298			13,561	391,431			13,449
Equity contracts:
Exchange-traded	507,083			906,465	517,384			775,309
Bilateral OTC	351,744			1,939	879,876			1,945
Commodity contracts:
Exchange-traded	0			2,073	0			1,503
Bilateral OTC	0			1	0			0
Credit contracts:
Cleared OTC	3,165			15	5,567			13
Bilateral OTC	2,116			11	3,518			10
Total derivatives not designated as accounting hedges	2,045,893				2,282,512
Total gross derivative assets/ liabilities:
Exchange-traded	507,864				517,457
Cleared OTC	148,449				174,034
Bilateral OTC	1,459,739				1,591,414
Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	(504,400		)		(504,400		)
Cleared OTC	(144,200		)		(145,706		)
Bilateral OTC	(963,215		)		(1,149,575		)
Net amounts per Consolidated Statements of Financial Condition (4)	$	504,237			$	483,224



	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	$	0		0
Total derivatives designated as accounting hedges	28,663				0

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	0			256	0			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	0			5,524	0			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	$	113,989
BBB- to BBB+	15,949
BB+ or lower	353,564
Unrated	197,264
Total	$	680,766


	August 31, 2020																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)			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:																Assets:
Securities borrowing arrangements	$	7,268,413	$	0		$	7,268,413	$	(429,615	)	$	(1,691,674	)	$	5,147,124	Securities borrowing arrangements	$	6,720,683	$	0	$	6,720,683	$	(493,650)	$	(2,083,503)	$	4,143,530
Reverse repurchase agreements	17,905,457		(12,578,066		)	5,327,391		(144,353		)	(5,141,297		)	41,741		Reverse repurchase agreements	17,120,842		(10,203,617)		6,917,225		(618,350)		(6,259,927)		38,948
Securities received as collateral, at fair value	4,413		—			4,413		—			—			4,413

Liabilities:																Liabilities:
Securities lending arrangements	$	1,929,737	$	0		$	1,929,737	$	(429,615	)	$	(1,467,230	)	$	32,892	Securities lending arrangements	$	2,277,423	$	0	$	2,277,423	$	(493,650)	$	(1,718,328)	$	65,445
Repurchase agreements	19,837,038		(12,578,066		)	7,258,972		(144,353		)	(6,622,623		)	491,996		Repurchase agreements	17,282,939		(10,203,617)		7,079,322		(618,350)		(5,933,921)		527,051
Obligation to return securities received as collateral, at fair value	4,413		—			4,413		—			—			4,413


~~(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 $5,089.0 million of securities borrowing arrangements, for which we have received securities collateral of $4,921.2 million, and $439.7 million of repurchase agreements, for which we have pledged securities collateral of $451.6 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.



	August 31, 2020				November 30, 2019
Securitization Type	Total Assets		Retained Interests		Total Assets		Retained Interests
U.S. government agency RMBS	$	928.7	$	12.4	$	10,671.7	$	103.3
U.S. government agency CMBS	439.2		138.3		1,374.8		45.8
CLOs	3,419.9		41.8		3,006.7		58.4
Consumer and other loans	884.0		45.6		1,149.3		71.8


	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


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


~~(3)~~	~~Approximately $130.1 million of the other secured financings amount at August 31, 2020 is with related consolidated entities, which is eliminated in consolidation.~~


~~(4)~~	Approximately $0.3 million and $0.2 million of the other liabilities amounts at August 31, 2020 and November 30, 2019, respectively, represent intercompany payables with related consolidated entities, which are eliminated in consolidation.


	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



	August 31, 2020		November 30, 2019
Our total equity balance	$	591.0	$	642.0


~~(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 August 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.~~


	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
	June 30, 2020		March 31, 2020			December 31, 2019			June 30, 2019			March 31, 2019			December 31, 2018
Net increase (decrease) in net assets resulting from operations (1)	$	6,233	$	(19,893	)	$	(1,397	)	$	(7,174	)	$	(1,169	)	$	(8,412	)


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