| Fair Value Disclosures | Fair Value Disclosures May 31, 2024 (1) $ in thousands Level 1 Level 2 Level 3 Counterparty Total Assets: Financial instruments owned: Corporate equity securities $ 4,930,895 $ 172,497 $ 178,755 $ — $ 5,282,147 Corporate debt securities — 5,297,248 38,717 — 5,335,965 Collateralized debt obligations and collateralized loan obligations — 456,701 68,626 — 525,327 U.S. government and federal agency securities 2,720,791 76,065 — — 2,796,856 Municipal securities — 836,549 — — 836,549 Sovereign obligations 707,852 707,957 — — 1,415,809 Residential mortgage-backed securities — 2,574,290 644 — 2,574,934 Commercial mortgage-backed securities — 412,501 477 — 412,978 Other asset-backed securities — 76,897 168,736 — 245,633 Loans and other receivables — 1,465,769 92,546 — 1,558,315 Derivatives 298 2,768,214 4,774 (2,396,190) 377,096 Investments at fair value — 9 138,057 — 138,066 Total financial instruments owned, excluding Investments at fair value based on NAV $ 8,359,836 $ 14,844,697 $ 691,332 $ (2,396,190) $ 21,499,675 Securities received as collateral 106,229 — — — 106,229 Liabilities: Financial instruments sold, not yet purchased: Corporate equity securities $ 3,503,955 $ 72,029 $ 708 $ — $ 3,576,692 Corporate debt securities — 2,937,907 506 — 2,938,413 Collateralized debt obligations and collateralized loan obligations — 3,125 — — 3,125 U.S. government and federal agency securities 2,960,178 107 — — 2,960,285 Sovereign obligations 948,235 515,789 — — 1,464,024 Residential mortgage-backed securities — 347 — — 347 Commercial mortgage-backed securities — — 1,049 — 1,049 Loans — 73,101 1,584 — 74,685 Derivatives 65 3,190,287 39,651 (2,322,257) 907,746 Total financial instruments sold, not yet purchased $ 7,412,433 $ 6,792,692 $ 43,498 $ (2,322,257) $ 11,926,366 Other secured financings $ — $ — $ 3,965 $ — $ 3,965 Obligation to return securities received as collateral 106,229 — — — 106,229 Long-term debt — 1,091,605 784,212 — 1,875,817 (1) Excludes Investments at fair value based on net asset value (“NAV”) of $1.29 billion at May 31, 2024 by level within the fair value hierarchy. (2) Represents counterparty and cash collateral netting across the levels of the fair value hierarchy for positions with the same counterparty. November 30, 2023 (1) $ in thousands Level 1 Level 2 Level 3 Counterparty Total Assets: Financial instruments owned: Corporate equity securities $ 3,831,698 $ 211,182 $ 181,294 $ — $ 4,224,174 Corporate debt securities — 4,921,222 26,112 — 4,947,334 Collateralized debt obligations and collateralized loan obligations — 869,246 64,862 — 934,108 U.S. government and federal agency securities 3,563,164 65,566 — — 3,628,730 Municipal securities — 223,502 — — 223,502 Sovereign obligations 1,051,494 609,452 — — 1,660,946 Residential mortgage-backed securities — 2,048,309 20,871 — 2,069,180 Commercial mortgage-backed securities — 344,902 508 — 345,410 Other asset-backed securities — 255,048 117,661 — 372,709 Loans and other receivables — 1,320,217 130,101 — 1,450,318 Derivatives 314 3,649,814 8,336 (3,107,620) 550,844 Investments at fair value — — 130,835 — 130,835 Total financial instruments owned, excluding Investments at fair value based on NAV $ 8,446,670 $ 14,518,460 $ 680,580 $ (3,107,620) $ 20,538,090 Securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations $ 110,198 $ — $ — $ — $ 110,198 Securities received as collateral 8,800 — — — 8,800 Liabilities: Financial instruments sold, not yet purchased: Corporate equity securities $ 2,235,049 $ 83,180 $ 676 $ — $ 2,318,905 Corporate debt securities — 2,842,776 124 — 2,842,900 Collateralized debt obligations and collateralized loan obligations — 36 — — 36 U.S. government and federal agency securities 2,957,787 — — — 2,957,787 Sovereign obligations 1,229,795 579,302 — — 1,809,097 Residential mortgage-backed securities — 463 — — 463 Commercial mortgage-backed securities — — 840 — 840 Loans — 173,828 1,521 — 175,349 Derivatives 54 3,851,004 59,291 (2,764,572) 1,145,777 Total financial instruments sold, not yet purchased $ 6,422,685 $ 7,530,589 $ 62,452 $ (2,764,572) $ 11,251,154 Other secured financings $ — $ — $ 3,898 $ — $ 3,898 Obligation to return securities received as collateral 8,800 — — — 8,800 Long-term debt — 963,846 744,597 — 1,708,443 (1) Excludes Investments at fair value based on NAV of $1.21 billion at November 30, 2023 by level within the fair value hierarchy. (2) Represents counterparty and cash collateral netting across the levels of the fair value hierarchy for positions with the same counterparty. There have been no significant changes in valuation techniques and inputs used in measuring our financial assets and liabilities that are accounted for at fair value on a recurring basis. Refer to our consolidated financial statements included in Part II, Item 8 of our Annual Report on Form 10-K for the year ended November 30, 2023. Investments at Fair Value Investments at fair value includes investments in hedge 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. Investments in entities that have the characteristics of an investment company: May 31, 2024 $ in thousands Fair Unfunded Redemption Frequency Redemption Notice Period Equity Long/Short Hedge Funds (2) $ 364,534 $ — Quarterly (71%) Monthly (29%) 60 - 90 days 60 days Equity Funds (3) 55,959 31,406 N/R (100%) N/R Commodity Funds (4) 23,373 — Quarterly (100%) 60 days Multi-asset Funds (5) 369,641 — Monthly (87%) Quarterly (13%) 45 - 60 days 90 days Other Funds (6) 473,494 108,141 Quarterly (71%) N/R (29%) 90 days N/R Total $ 1,287,001 $ 139,547 November 30, 2023 $ in thousands Fair Unfunded Redemption Redemption Equity Long/Short Hedge Funds (2) $ 341,530 $ — Quarterly (57%) N/R (43%) 60 - 90 days N/R Equity Funds (3) 55,701 37,534 N/R (100%) N/R Commodity Funds (4) 21,747 — Quarterly (100%) 60 days Multi-asset Funds (5) 357,445 — Monthly (83%) Quarterly (13%) N/R (4%) 60 days 90 days N/R Other Funds (6) 432,960 132,662 Quarterly (75%) N/R (25%) 90 days N/R Total $ 1,209,383 $ 170,196 N/R - Not redeemable (1) Where fair value is calculated based on NAV, fair value has been derived from each of the funds’ capital statements. (2) Includes investments in hedge funds that invest, long and short, primarily in both public and private equity securities in domestic and international markets. The investments that cannot be redeemed at November 30, 2023 are not redeemable because these investments include restrictions that do not allow for redemption before November 30, 2023 or August 31, 2025. (3) Includes investments in equity funds that invest in the equity of various U.S. and foreign private companies in a broad range of 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 (4) Includes investments in a hedge fund that invests, long and short, primarily in commodities. (5) 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. The investments that cannot be redeemed at November 30, 2023, are not redeemable because these investments include restrictions that do not allow for redemption before April 1, 2024. (6) Primarily includes investments in a fund that invests in short-term trade receivables and payables that are expected to generally be outstanding between 90 to 120 days and short-term credit instruments, as well as investments in a fund that invests, long and short, in distressed and special situations credit strategies across sectors and asset types. Level 3 Rollforwards Three Months Ended May 31, 2024 $ in thousands Balance at February 29, 2024 Total gains/losses (realized and unrealized) (1) Purchases Sales Settlements Issuances Net transfers into/ Balance at May 31, 2024 For instruments still held at May 31, 2024, changes in unrealized gains (losses) included in: Earnings (1) Other comprehensive income Level 3 assets: Financial instruments owned: Corporate equity securities $ 173,214 $ (12,751) $ 15,398 $ (18) $ — $ — $ 2,912 $ 178,755 $ (12,404) $ — Corporate debt securities 35,335 1,363 1,091 (16,250) — — 17,178 38,717 89 — CDOs and CLOs 69,367 1,220 6,810 (1,905) (5,527) — (1,339) 68,626 (675) — RMBS 684 (6) — — (34) — — 644 — — CMBS 473 4 — — — — — 477 — — Other ABS 102,256 (2,198) 63,554 (15,138) (35,363) — 55,625 168,736 (1,694) — Loans and other receivables 78,885 1,255 11,329 (4,161) (35) — 5,273 92,546 579 — Investments at fair value 121,764 1,616 15,224 (547) — — — 138,057 1,616 — Level 3 liabilities: Financial instruments sold, not yet purchased: Corporate equity securities $ 675 $ 8 $ — $ 25 $ — $ — $ — $ 708 $ (8) $ — Corporate debt securities 124 (23) — 246 — — 159 506 23 — CMBS 944 — — — 105 — — 1,049 — — Loans 1,466 (251) (925) 2,801 81 — (1,588) 1,584 309 — Net derivatives (2) 52,089 (10,062) — — (9,689) — 2,539 34,877 (178) — Other secured financings 3,965 — — — — — — 3,965 — — Long-term debt 779,529 (2,477) — — (2,109) 6,616 2,653 784,212 9,334 (6,857) Six Months Ended May 31, 2024 $ in thousands Balance at November 30, 2023 Total gains/losses (realized and unrealized) (1) Purchases Sales Settlements Issuances Net transfers into/ Balance at May 31, 2024 For instruments still held at May 31, 2024, changes in unrealized gains (losses) included in: Earnings (1) Other comprehensive income Assets: Financial instruments owned: Corporate equity securities $ 181,294 $ (12,817) $ 15,956 $ (2,230) $ — $ — $ (3,448) $ 178,755 $ (12,175) $ — Corporate debt securities 26,112 3,830 25,563 (17,217) (200) — 629 38,717 2,997 — CDOs and CLOs 64,862 9,006 20,333 (15,838) (7,293) — (2,444) 68,626 4,904 — RMBS 20,871 (207) 32 (32) (5,395) — (14,625) 644 33 — CMBS 508 (35) 4 — — — — 477 (64) — Other ABS 117,661 (5,913) 76,263 (32,817) (26,619) — 40,161 168,736 (3,938) — Loans and other receivables 130,101 (39,831) 18,555 (3,974) (17,892) — 5,587 92,546 (17,220) — Investments at fair value 130,835 (9,079) 16,855 — (547) — (7) 138,057 (9,079) — Liabilities: Financial instruments sold, not yet purchased: Corporate equity securities $ 676 $ 1 $ — $ 31 $ — $ — $ — $ 708 $ (1) $ — Corporate debt securities 124 (23) — 246 — — 159 506 23 — CMBS 840 — (245) — 455 — (1) 1,049 — — Loans 1,521 (114) (1,041) 3,642 114 — (2,538) 1,584 107 — Net derivatives (2) 50,955 (17,979) (978) 2,913 (9,486) — 9,452 34,877 9,057 — Other secured financings 3,898 4,482 — — (4,415) — — 3,965 (4,482) — Long-term debt 744,597 9,651 — — (2,109) 28,072 4,001 784,212 (5,117) (4,534) (1) Realized and unrealized gains/losses are primarily reported in Principal transactions revenues. Changes in instrument-specific credit risk related to structured notes within Long-term debt are presented net of tax in our Consolidated Statements of Comprehensive Income. (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 May 31, 2024 Transfers of assets of $99.2 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to: • Other ABS of $61.9 million, Corporate debt securities of $17.3 million, Loan and other receivables of $11.4 million and Corporate equity securities of $5.4 million due to reduced pricing transparency. Transfers of assets of $19.5 million from Level 3 to Level 2 of the fair value hierarchy are primarily attributed to: • Other ABS of $6.3 million, Loans and other receivables of $6.2 million, CDOs and CLOs of $4.5 million and Corporate equity securities of $2.5 million due to greater pricing transparency supporting classification into Level 2. Transfers of liabilities of $47.3 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to: • Structured notes within Long-term debt of $32.8 million and Net derivatives of $15.9 million due to reduced market and pricing transparency. Transfers of liabilities of $43.5 million from Level 3 to Level 2 of the fair value hierarchy are primarily attributed to: • Structured notes within Long-term debt of $30.1 million and Net derivatives of $13.4 million due to greater pricing and market transparency. Net losses on Level 3 assets were $9.5 million and net gains on Level 3 liabilities were $12.8 million for the three months ended May 31, 2024. Net losses on Level 3 assets were primarily due to decreased market values across Corporate equity securities and Other ABS, partially offset by increased valuations of Investments at fair value, Corporate debt securities, Loans and other receivables and CDOs and CLOs. Net gains on Level 3 liabilities were primarily due to decreased valuations of certain derivatives and structured notes within Long-term debt. Analysis of Level 3 Assets and Liabilities for the Six Months Ended May 31, 2024 Transfers of assets of $59.1 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to: • Other ABS of $47.6 million, Loan and other receivables of $6.1 million, CDOs and CLOs of $2.7 million and Corporate debt securities of $2.6 million due to reduced pricing transparency. Transfers of assets of $33.3 million from Level 3 to Level 2 of the fair value hierarchy are primarily attributed to: • RMBS of $14.6 million, Other ABS of $7.4 million, CDOs and CLOs of $5.1 million, Corporate equity securities of $3.6 million and Corporate debt securities of $2.0 million due to greater pricing transparency supporting classification into Level 2. Transfers of liabilities of $62.0 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to: • Structured notes within Long-term debt of $38.7 million and Net derivatives of $23.2 million due to reduced market and pricing transparency. Transfers of liabilities of $50.9 million from Level 3 to Level 2 of the fair value hierarchy are primarily attributed to: • Structured notes within Long-term debt of $34.7 million and Net derivatives of $13.7 million due to greater pricing and market transparency. Net losses on Level 3 assets were $55.0 million and net gains on Level 3 liabilities were $4.0 million for the six months ended May 31, 2024. Net losses on Level 3 assets were primarily due to decreased market values across Loans and other receivables, Corporate equity securities, Investments at fair value and Other ABS, partially offset by increased valuations of CDOs and CLOs and Corporate debt securities. Net gains on Level 3 liabilities were primarily due to decreased valuations of certain derivatives, partially offset by increased valuations of structured notes within Long-term debt and Other secured financings. Three Months Ended May 31, 2023 $ in thousands Balance at February 28, 2023 Total gains/losses (realized and unrealized) (1) Purchases Sales Settlements Issuances Net transfers into/ Balance at May 31, 2023 For instruments still held at May 31, 2023, changes in unrealized gains (losses) included in: Earnings (1) Other comprehensive income Assets: Financial instruments owned: Corporate equity securities $ 261,634 $ 8,990 $ 115 $ (192) $ — $ — $ (2,634) $ 267,913 $ 9,093 $ — Corporate debt securities 41,793 3,340 1,361 (11,001) — — 7,149 42,642 (888) — CDOs and CLOs 72,438 4,998 22,199 (9,362) (7,974) — (19,608) 62,691 (2,041) — RMBS 23,987 1,227 100 — (609) — — 24,705 2,040 — CMBS 486 247 — — — — 28,213 28,946 374 — Other ABS 100,428 (2,157) 38,201 — (8,539) — (1,858) 126,075 (4,542) — Loans and other receivables 148,673 179 6,648 (10,700) (2,139) — (844) 141,817 352 — Investments at fair value 157,863 (192) 6,760 — (10,631) — — 153,800 (192) — Liabilities: Financial instruments sold, not yet purchased: Corporate equity securities 628 — — — — — (163) 465 — — Corporate debt securities 285 (5) — — — — (13) 267 (1) — CMBS 525 — — 105 — — — 630 — — Loans 3,045 185 — 117 — — 1 3,348 (436) — Net derivatives (2) 87,331 (45,670) — — (149) — 12,748 54,260 46,247 — Other secured financings 1,712 — — — — — — 1,712 — — Long-term debt 683,698 680 — — — 4,481 8,198 697,057 (20,226) 19,545 Six Months Ended May 31, 2023 $ in thousands Balance at November 30, 2022 Total gains/losses (realized and unrealized) (1) Purchases Sales Settlements Issuances Net transfers into/ Balance at May 31, 2023 For instruments still held at May 31, 2023, changes in unrealized gains (losses) included in: Earnings (1) Other comprehensive income Assets: Financial instruments owned: Corporate equity securities $ 240,347 $ 27,252 $ 402 $ (890) $ — $ — $ 802 $ 267,913 $ 27,743 $ — Corporate debt securities 30,232 3,163 6,541 (19,812) (200) — 22,718 42,642 (1,240) — CDOs and CLOs 55,824 10,403 36,565 (9,869) (16,243) — (13,989) 62,691 (3,661) — RMBS 27,617 (2,443) 114 — (583) — — 24,705 (828) — CMBS 839 (747) — — — — 28,854 28,946 (60) — Other ABS 94,677 (5,377) 52,725 (4,784) (10,780) — (386) 126,075 (6,317) — Loans and other receivables 168,875 (784) 10,080 (14,516) (2,147) — (19,691) 141,817 145 — Investments at fair value 161,992 (2,828) 7,768 (2,420) (10,712) — — 153,800 (2,828) — Liabilities: Financial instruments sold, not yet purchased: Corporate equity securities $ 750 $ (285) $ — $ — $ — $ — $ — $ 465 $ 285 $ — Corporate debt securities 500 (10) (187) — — — (36) 267 53 — CMBS 490 — — 140 — — — 630 — — Loans 3,164 40 — 327 — — (183) 3,348 (266) — Net derivatives (2) 59,524 (46,779) — 127 (629) 2,115 39,902 54,260 46,097 — Other secured financings 1,712 — — — — — — 1,712 — — Long-term debt 661,123 20,869 — — — 4,684 10,381 697,057 (4,658) (16,212) (1) Realized and unrealized gains/losses are primarily reported in Principal transactions revenues. Changes in instrument-specific credit risk related to structured notes within Long-term debt are presented net of tax in our Consolidated Statements of Comprehensive Income. (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 May 31, 2023 Transfers of assets of $41.3 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to: • CMBS of $28.2 million, Corporate debt securities of $7.2 million and Other ABS of $4.8 million due to reduced pricing transparency. Transfers of assets of $30.9 million from Level 3 to Level 2 of the fair value hierarchy are primarily attributed to: • CDOs and CLOs of $19.6 million, Other ABS of $6.7 million, Corporate equity securities of $3.1 million and Loans and other receivables of $1.4 million due to greater pricing transparency supporting classification into Level 2. Transfers of liabilities of $92.7 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to: • Net derivatives of $61.5 million and structured notes within Long-term debt of $31.1 million due to reduced market and pricing transparency. Transfers of liabilities of $71.9 million from Level 3 to Level 2 of the fair value hierarchy are primarily attributed to: • Net derivatives of $48.7 million and Structured notes within Long-term debt of $22.9 million due to greater pricing and market transparency. Net gains on Level 3 assets were $16.6 million and net gains on Level 3 liabilities were $44.8 million for the three months ended May 31, 2023. Net gains on Level 3 assets were primarily due to increased market values across Corporate equity securities, CDOs and CLOs, and Corporate debt securities, partially offset by decreases in Other ABS. Net gains on Level 3 liabilities were primarily due to decreased valuations of certain derivatives. Analysis of Level 3 Assets and Liabilities for the Six Months Ended May 31, 2023 Transfers of assets of $67.1 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to: • CMBS of $28.9 million, Corporate debt securities of $22.9 million, Other ABS of $8.5 million and Loans and other receivables of $5.6 million due to reduced pricing transparency. Transfers of assets of $48.8 million from Level 3 to Level 2 of the fair value hierarchy are primarily attributed to: • Loans and other receivables of $25.3 million, CDOs and CLOs of $14.0 million and Other ABS of $8.9 million due to greater pricing transparency supporting classification into Level 2. Transfers of liabilities of $73.5 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to: • Net derivatives of $48.6 million and structured notes within Long-term debt of $25.0 million due to reduced market and pricing transparency. Transfers of liabilities of $23.4 million from Level 3 to Level 2 of the fair value hierarchy are primarily attributed to: • Structured notes within Long-term debt of $14.6 million and Net derivatives of $8.7 million due to greater pricing and market transparency. Net gains on Level 3 assets were $28.6 million and net gains on Level 3 liabilities were $26.2 million for the six months ended May 31, 2023. Net gains on Level 3 assets were primarily due to increased market values across Corporate equity securities, CDOs and CLOs, and Corporate debt securities, partially offset by decreases in Other ABS, Investments at fair value and RMBS. Net gains on Level 3 liabilities were primarily due to decreased valuations of certain derivatives, partially offset by increased valuations of structured notes within Long-term debt. Significant Unobservable Inputs used in Level 3 Fair Value Measurements May 31, 2024 Financial Instruments Owned: Fair Value Valuation Technique Significant Unobservable Input(s) Input / Range Weighted Corporate equity securities $ 178,755 Non-exchange-traded securities Market approach Price $0 - $325 $56 Corporate debt securities $ 38,717 Market approach Price $0 - $95 $57 CDOs and CLOs $ 55,917 Discounted cash flows Constant prepayment rate 20% — Constant default rate 2% — Loss severity 30% — Discount rate/yield 15 % - 24% 21% Market approach Price $54 - $109 $95 Other ABS $ 151,839 Discounted cash flows Discount rate/yield 19 % - 20% 20% Cumulative loss rate 28 % - 33% 29% Duration (years) 1.4 - 1.9 1.8 Market approach Price $100 — Scenario analysis Estimated recovery percentage 100% — Loans and other receivables $ 92,546 Market approach Price $49 - $200 $92 Scenario analysis Estimated recovery percentage 7 % - 100% 68% Investments at fair value $ 133,912 Private equity securities Market approach Price $1 - $5,000 $360 Price €7,760 — Price £0.5 — Discount rate/yield 28% — Revenue $30,253,269 — Financial Instruments Sold, Not Yet Purchased: Loans $ 1,584 Market approach Price $115 — Derivatives $ 37,154 Equity options Volatility bench-marking Volatility 24.6 - 47.9 34.6 Embedded options Market approach Basis points upfront 0.2 - 25.4 13.7 Other secured financings $ 3,965 Scenario analysis Estimated recovery percentage 60 % - 100% 93% Long-term debt $ 784,212 Structured notes Market approach Price $57 - $103 $78 Price €64 - €104 €86 November 30, 2023 Financial Instruments Owned: Fair Value Valuation Technique Significant Unobservable Input(s) Input / Range Weighted Corporate equity securities $ 181,294 Non-exchange-traded securities Market approach Price $0 - $325 $59 Corporate debt securities $ 26,112 Market approach Price $40 - $94 $50 Discounted cash flows Discount rate/yield 11% — Scenario analysis Estimated recovery percentage 4% — CDOs and CLOs $ 64,862 Discounted cash flows Constant prepayment rate 15 % - 20% 19% Constant default rate 2% — Loss severity 35 % - 40% 36% Discount rate/yield 21 % - 26% 24% Market approach Price $48 - $100 $88 CMBS $ 508 Scenario analysis Estimated recovery percentage 28% — Other ABS $ 102,423 Discounted cash flows Discount rate/yield 10 % - 21% 18% Cumulative loss rate 9 % - 32% 25% Duration (years) 1.1 - 2.2 1.7 Market approach Price $100 — Loans and other receivables $ 130,101 Market approach Price $82 - $157 $127 Scenario analysis Estimated recovery percentage 7 % - 73% 40% Derivatives $ 2,395 Equity options Volatility bench-marking Volatility 60% — Investments at fair value $ 127,237 Private equity securities Market approach Price $1 - $6,819 $484 Discount rate/yield 28% — Revenue $30,538,979 — Financial Instruments Sold, Not Yet Purchased: Corporate debt securities $ 124 Scenario analysis Estimated recovery percentage 4% — Loans $ 1,521 Market approach Price $101 — Derivatives $ 56,779 Equity options Volatility bench-marking Volatility 31 % - 87% 42% Embedded options Market approach Basis points upfront 0.4 - 25.5 17.9 Other secured financings $ 3,898 Scenario analysis Estimated recovery percentage 18 % - 73% 53% Long-term debt $ 744,597 Structured notes Market approach Price $57 - $114 $78 Price €60 - €103 €84 The tables above 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. 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 May 31, 2024 and November 30, 2023, asset exclusions consisted of $39.6 million and $45.6 million, respectively, primarily comprised of CDOs and CLOs, Other ABS, Loans and other receivables, Investments at fair value, certain derivatives, RMBS and CMBS. At May 31, 2024 and November 30, 2023, liability exclusions consisted of $4.8 million and $4.0 million, respectively, primarily comprised of certain derivatives, loans, CMBS and corporate equity securities. 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: • Non-exchange-traded securities, corporate debt securities, CDOs and CLOs, loans and other receivables, other ABS, private equity securities, certain derivatives and structured notes using a market approach valuation technique. A significant increase (decrease) in the price of the private equity securities, non-exchange-traded securities, corporate debt securities, CDOs and CLOs, other ABS, loans and other receivables or structured notes would result in a significantly higher (lower) fair value measurement. A significant increase (decrease) in the revenue multiple related to private equity securities would result in a significantly higher (lower) fair value measurement. A significant increase (decrease) in the discount rate/security yield related to private equity securities 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 options. • Loans and other receivables, corporate debt securities, CMBS, other ABS 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. • CDOs and CLOs, corporate debt securities 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 For a description of our financial assets and liabilities we have elected the fair value option refer to our consolidated financial statements included in Part II, Item 8 of our Annual Report on Form 10-K for the year ended November 30, 2023. Fair value option gains (losses): Three Months Ended Six Months Ended $ in thousands 2024 2023 2024 2023 Financial instruments owned: Loans and other receivables $ (28,264) $ (23,439) $ (39,691) $ (6,651) Other secured financings: Other changes in fair value (2) $ — $ — $ (4,482) $ — Long-term debt: Changes in instrument-specific credit risk (1) $ (13,790) $ 45,283 $ (17,769) $ (26,377) Other changes in fair value (2) 16,367 (42,275) (27,451) (6,011) (1) Changes in fair value of structured notes related to instrument-specific credit risk are presented net of tax in our Consolidated Statements of Comprehensive Income. (2) Other changes in fair value are included in Principal transactions revenues. Fair value option amounts by which contractual principal is greater than (less than) fair value: $ in thousands May 31, November 30, Financial instruments owned: Loans and other receivables (1) $ 1,426,803 $ 2,344,468 Loans and other receivables on nonaccrual status and/or 90 days or greater past due (1) (2) 293,648 259,354 Long-term debt 257,630 294,256 Other secured financings 459 1,377 (1) Interest income is recognized separately from other changes in fair value and is included in Interest revenues. (2) Amounts include loans and other receivables 90 days or greater past due by which contractual principal exceeds fair value of $54.2 million and $187.4 million at May 31, 2024 and November 30, 2023, respectively. The aggregate fair value of loans and other receivables on nonaccrual status and/or 90 days or greater past due was $107.3 million and $98.1 million at May 31, 2024 and November 30, 2023, respectively, which includes loans and other receivables 90 days or greater past due of $9 |
