UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q


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

For the quarterly period ended February 28, ~~2021~~2022


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

For the transition period from to

Commission file number 1-14947

JEFFERIES GROUP LLC

(Exact name of registrant as specified in its charter)

Delaware

95-4719745

(State or other jurisdiction of
incorporation or organization)

(I.R.S. Employer
Identification No.)

520 Madison Avenue,

New York,

New York

10022

(Address of principal executive offices)

(Zip Code)

Registrant’s telephone number, including area code: (212) 284-2550

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer

☐

Accelerated filer

☐

Non-accelerated filer

☒

Smaller reporting company

☐

Emerging growth company

☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒

Securities registered pursuant to Section 12(b) of the Act:


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%~~2.750% Senior Notes Due ~~2023~~2032	JEF/2332A	New York Stock Exchange

The Registrant is a wholly-owned subsidiary of Jefferies Financial Group Inc. and meets the conditions set forth in General Instructions H(1)(a) and (b) of Form 10-Q and is therefore filing this Form 10-Q with a reduced disclosure format as permitted by Instruction H(2).

Table of Contents

JEFFERIES GROUP LLC

INDEX TO QUARTERLY REPORT ON FORM 10-Q

February 28, ~~2021~~2022

Table of Contents

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements.

JEFFERIES GROUP LLC AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (UNAUDITED)

(In thousands)


		February 28, 2021		November 30, 2020			February 28, 2022		November 30, 2021
ASSETS	ASSETS					ASSETS
Cash and cash equivalents (includes $18 and $468 at February 28, 2021 and November 30, 2020, respectively, related to consolidated VIEs)		$	6,707,482	$	7,111,929
Cash and cash equivalents (includes $11,575 and $3,765 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)						Cash and cash equivalents (includes $11,575 and $3,765 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)	$	6,719,648	$	8,813,564
Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations	Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations	615,115		604,321		Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations	838,092		1,015,107
Financial instruments owned, at fair value (includes securities pledged of $12,150,880 and $13,065,585 at February 28, 2021 and November 30, 2020, respectively; and $12,630 and $5,238 at February 28, 2021 and November 30, 2020, respectively, related to consolidated VIEs)		18,570,876		17,686,052
Financial instruments owned, at fair value (includes securities pledged of $14,308,758 and $12,723,502 at February 28, 2022 and November 30, 2021, respectively; and $304,191 and $319,497 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)						Financial instruments owned, at fair value (includes securities pledged of $14,308,758 and $12,723,502 at February 28, 2022 and November 30, 2021, respectively; and $304,191 and $319,497 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)	21,317,167		19,336,237
Loans to and investments in related parties	Loans to and investments in related parties	1,017,352		1,000,730		Loans to and investments in related parties	1,413,381		1,159,048
Securities borrowed	Securities borrowed	7,150,657		6,934,762		Securities borrowed	7,110,757		6,409,420
Securities purchased under agreements to resell		6,680,284		5,096,769
Securities purchased under agreements to resell ($18,016 and $0 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)						Securities purchased under agreements to resell ($18,016 and $0 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)	6,557,213		7,642,484
Securities received as collateral, at fair value	Securities received as collateral, at fair value	0		7,517		Securities received as collateral, at fair value	973		7,289
Receivables:	Receivables:					Receivables:
Brokers, dealers and clearing organizations ($31,224 and $12,919 at February 28, 2021 and November 30, 2020, respectively, related to consolidated VIEs)		4,749,675		4,158,823
Brokers, dealers and clearing organizations ($52,637 and $39,435 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)						Brokers, dealers and clearing organizations ($52,637 and $39,435 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)	5,095,243		4,896,704
Customers	Customers	1,863,453		1,286,925		Customers	1,896,488		1,615,822
Fees, interest and other		490,915		397,630
Fees, interest and other ($742,926 and $679 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)						Fees, interest and other ($742,926 and $679 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)	1,190,860		474,304
Premises and equipment	Premises and equipment	849,417		847,127		Premises and equipment	877,097		860,742
Goodwill	Goodwill	1,650,642		1,646,933		Goodwill	1,645,960		1,645,317
Other assets ($152 and $131 at February 28, 2021 and November 30, 2020, respectively, related to consolidated VIEs)		1,040,543		972,479
Other assets ($88,007 and $0 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)						Other assets ($88,007 and $0 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)	1,236,519		892,862
Total assets	Total assets	$	51,386,411	$	47,751,997	Total assets	$	55,899,398	$	54,768,900
LIABILITIES AND EQUITY	LIABILITIES AND EQUITY					LIABILITIES AND EQUITY
Short-term borrowings (includes $0 and $5,067 at fair value at February 28, 2021 and November 30, 2020, respectively)		$	882,941	$	764,715
Financial instruments sold, not yet purchased, at fair value ($9,445 and $2,466 at February 28, 2021 and November 30, 2020, respectively, related to consolidated VIEs)		12,361,542		10,017,522
Short-term borrowings						Short-term borrowings	$	467,853	$	221,863
Financial instruments sold, not yet purchased, at fair value ($17,987 and $109,088 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)						Financial instruments sold, not yet purchased, at fair value ($17,987 and $109,088 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)	14,682,727		11,690,795
Collateralized financings:	Collateralized financings:					Collateralized financings:
Securities loaned	Securities loaned	2,519,077		1,810,748		Securities loaned	1,808,896		1,525,721
Securities sold under agreements to repurchase		7,207,636		8,316,269
Other secured financings (includes $2,168 and $1,543 at fair value at February 28, 2021 and November 30, 2020, respectively; and $3,802,057 and $2,769,674 at February 28, 2021 and November 30, 2020, respectively, related to consolidated VIEs)		3,804,225		2,771,217
Securities sold under agreements to repurchase ($47,138 and $0 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)						Securities sold under agreements to repurchase ($47,138 and $0 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)	8,933,643		8,446,099
Other secured financings (includes $158,008 and $102,788 at fair value at February 28, 2022 and November 30, 2021, respectively; and $3,550,869 and $3,791,886 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)						Other secured financings (includes $158,008 and $102,788 at fair value at February 28, 2022 and November 30, 2021, respectively; and $3,550,869 and $3,791,886 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)	3,553,232		3,794,248
Obligation to return securities received as collateral, at fair value	Obligation to return securities received as collateral, at fair value	0		7,517		Obligation to return securities received as collateral, at fair value	973		7,289
Payables:	Payables:					Payables:
Brokers, dealers and clearing organizations		4,098,406		3,325,753
Brokers, dealers and clearing organizations (includes $50,143 and $44,246 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)						Brokers, dealers and clearing organizations (includes $50,143 and $44,246 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)	4,632,440		5,814,066
Customers	Customers	4,091,069		4,251,556		Customers	4,021,948		4,461,950
Lease liabilities	Lease liabilities	558,429		561,249		Lease liabilities	533,627		521,448
Accrued expenses and other liabilities (includes $1,335 and $1,202 at February 28, 2021 and November 30, 2020, respectively, related to consolidated VIEs)		2,385,747		2,663,639
Long-term debt (includes $1,784,157 and $1,712,245 at fair value at February 28, 2021 and November 30, 2020, respectively)		6,921,708		6,895,680
Accrued expenses and other liabilities (includes $2,909 and $1,787 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)						Accrued expenses and other liabilities (includes $2,909 and $1,787 at February 28, 2022 and November 30, 2021, respectively, related to consolidated VIEs)	1,609,073		3,166,987
Long-term debt (includes $1,762,163 and $1,843,598 at fair value at February 28, 2022 and November 30, 2021, respectively)						Long-term debt (includes $1,762,163 and $1,843,598 at fair value at February 28, 2022 and November 30, 2021, respectively)	7,887,975		8,039,826
Total liabilities	Total liabilities	44,830,780		41,385,865		Total liabilities	48,132,387		47,690,292
EQUITY	EQUITY					EQUITY
Member’s paid-in capital	Member’s paid-in capital	6,819,060		6,569,328		Member’s paid-in capital	8,027,244		7,381,391
Accumulated other comprehensive income (loss):	Accumulated other comprehensive income (loss):					Accumulated other comprehensive income (loss):
Currency translation and other adjustments	Currency translation and other adjustments	(131,006)		(141,843)		Currency translation and other adjustments	(151,422)		(151,661)
Changes in instrument specific credit risk		(140,587)		(71,151)
Changes in instrument-specific credit risk						Changes in instrument-specific credit risk	(112,238)		(153,672)

Additional minimum pension liability	Additional minimum pension liability	(8,002)		(8,104)		Additional minimum pension liability	(8,702)		(8,843)
Available-for-sale securities	Available-for-sale securities	453		513		Available-for-sale securities	96		269
Total accumulated other comprehensive loss	Total accumulated other comprehensive loss	(279,142)		(220,585)		Total accumulated other comprehensive loss	(272,266)		(313,907)
Total Jefferies Group LLC member’s equity	Total Jefferies Group LLC member’s equity	6,539,918		6,348,743		Total Jefferies Group LLC member’s equity	7,754,978		7,067,484
Noncontrolling interests	Noncontrolling interests	15,713		17,389		Noncontrolling interests	12,033		11,124
Total equity	Total equity	6,555,631		6,366,132		Total equity	7,767,011		7,078,608
Total liabilities and equity	Total liabilities and equity	$	51,386,411	$	47,751,997	Total liabilities and equity	$	55,899,398	$	54,768,900

See accompanying notes to consolidated financial statements.

Table of Contents

JEFFERIES GROUP LLC AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF EARNINGS (UNAUDITED)

(In thousands)


		Three Months Ended				Three Months Ended February 28,
		February 28, 2021		February 29, 2020				2022		2021
Revenues:	Revenues:						Revenues:
Commissions and other fees	Commissions and other fees	$	236,938	$	179,535		Commissions and other fees	$	229,453	$	236,938
Principal transactions	Principal transactions	791,219		371,902			Principal transactions	260,026		791,219
Investment banking	Investment banking	1,003,662		592,002			Investment banking	945,048		1,003,662
Asset management fees and revenues	Asset management fees and revenues	37,383		11,720			Asset management fees and revenues	39,551		37,383
Interest	Interest	219,021		294,668			Interest	212,790		219,021
Other	Other	60,588		29,729			Other	65,791		60,588
Total revenues	Total revenues	2,348,811		1,479,556			Total revenues	1,752,659		2,348,811
Interest expense	Interest expense	219,445		308,860			Interest expense	210,885		219,445
Net revenues	Net revenues	2,129,366		1,170,696			Net revenues	1,541,774		2,129,366
Non-interest expenses:	Non-interest expenses:						Non-interest expenses:
Compensation and benefits	Compensation and benefits	1,119,894		635,230			Compensation and benefits	744,212		1,119,894
Non-compensation expenses:	Non-compensation expenses:						Non-compensation expenses:
Floor brokerage and clearing fees	Floor brokerage and clearing fees	76,580		60,580			Floor brokerage and clearing fees	83,961		76,580
Underwriting costs							Underwriting costs	8,128		36,136
Technology and communications	Technology and communications	104,341		89,184			Technology and communications	119,822		104,341
Occupancy and equipment rental	Occupancy and equipment rental	27,990		27,503			Occupancy and equipment rental	30,905		27,990
Business development	Business development	17,981		29,957			Business development	27,371		17,981
Professional services	Professional services	44,288		44,665			Professional services	51,118		44,288
Underwriting costs		36,136		17,529
Other	Other	30,986		30,670			Other	39,363		30,986
Total non-compensation expenses	Total non-compensation expenses	338,302		300,088			Total non-compensation expenses	360,668		338,302
Total non-interest expenses	Total non-interest expenses	1,458,196		935,318			Total non-interest expenses	1,104,880		1,458,196
Earnings before income taxes	Earnings before income taxes	671,170		235,378			Earnings before income taxes	436,894		671,170
Income tax expense	Income tax expense	177,305		64,013			Income tax expense	95,751		177,305
Net earnings	Net earnings	493,865		171,365			Net earnings	341,143		493,865
Net loss attributable to noncontrolling interests		(203)		(2,024)
Net losses attributable to noncontrolling interests							Net losses attributable to noncontrolling interests	(267)		(203)
Net earnings attributable to Jefferies Group LLC	Net earnings attributable to Jefferies Group LLC	$	494,068	$	173,389		Net earnings attributable to Jefferies Group LLC	$	341,410	$	494,068

See accompanying notes to consolidated financial statements.

Table of Contents

JEFFERIES GROUP LLC AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (UNAUDITED)

(In thousands)


		Three Months Ended				Three Months Ended February 28,
		February 28, 2021		February 29, 2020				2022		2021
Net earnings	Net earnings	$	493,865	$	171,365		Net earnings	$	341,143	$	493,865
Other comprehensive income (loss), net of tax:	Other comprehensive income (loss), net of tax:						Other comprehensive income (loss), net of tax:
Currency translation adjustments and other (1)	Currency translation adjustments and other (1)	10,939		(8,996)			Currency translation adjustments and other (1)	380		10,939
Changes in instrument specific credit risk (2)		(69,436)		22,996
Unrealized gain (loss) on available-for-sale securities (3)		(60)		237
Changes in instrument-specific credit risk (2)							Changes in instrument-specific credit risk (2)	41,434		(69,436)
Unrealized losses on available-for-sale securities							Unrealized losses on available-for-sale securities	(173)		(60)
Total other comprehensive income (loss), net of tax ~~(4)~~(3)	Total other comprehensive income (loss), net of tax ~~(4)~~(3)	(58,557)		14,237			Total other comprehensive income (loss), net of tax ~~(4)~~(3)	41,641		(58,557)
Comprehensive income	Comprehensive income	435,308		185,602			Comprehensive income	382,784		435,308
Net loss attributable to noncontrolling interests		(203)		(2,024)
Net losses attributable to noncontrolling interests							Net losses attributable to noncontrolling interests	(267)		(203)
Comprehensive income attributable to Jefferies Group LLC	Comprehensive income attributable to Jefferies Group LLC	$	435,511	$	187,626		Comprehensive income attributable to Jefferies Group LLC	$	383,051	$	435,511

(1)The ~~amounts include~~amount includes income tax ~~benefits (expenses)~~expense of approximately ~~$(3.2) million and $3.1~~$3.2 million during the three months ended February 28, ~~2021 and February 29, 2020, respectively.~~2021.

(2)The amounts include income tax benefits (expenses) of approximately ~~$22.3~~$(13.2) million and ~~$(7.9)~~$22.3 million during the three months ended February 28, ~~2021~~2022 and ~~February 29, 2020,~~2021, respectively. The amount during the three months ended February 28, 2021 also includes a net loss of $0.2 million, net of an income tax benefit ~~of $0.1 million, and the amount during the three months ended February 29, 2020 also includes a net loss of $0.3 million, net of an income tax benefit of~~ $0.1 million, related to changes in instrument ~~specific~~specific-credit risk, which ~~were~~was reclassified to Principal transactions revenues in our Consolidated ~~Statements~~Statement of Earnings.

(3)~~The amount includes income tax expense of $0.1 million during the three months ended February 29, 2020.~~

~~(4)~~None of the components of other comprehensive income (loss) are attributable to noncontrolling interests.

See accompanying notes to consolidated financial statements.

Table of Contents

JEFFERIES GROUP LLC AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (UNAUDITED)

(In thousands)


		Three Months Ended				Three Months Ended February 28,
		February 28, 2021		February 29, 2020				2022		2021
Member’s paid-in capital:	Member’s paid-in capital:						Member’s paid-in capital:
Balance, beginning of period	Balance, beginning of period	$	6,569,328	$	6,329,677		Balance, beginning of period	$	7,381,391	$	6,569,328
Cumulative effect of change in accounting principle for current expected credit losses, net of tax	Cumulative effect of change in accounting principle for current expected credit losses, net of tax	2,698		0			Cumulative effect of change in accounting principle for current expected credit losses, net of tax	—		2,698
Net earnings attributable to Jefferies Group LLC	Net earnings attributable to Jefferies Group LLC	494,068		173,389			Net earnings attributable to Jefferies Group LLC	341,410		494,068
Contribution from Jefferies Financial Group Inc.	Contribution from Jefferies Financial Group Inc.	153,557		0			Contribution from Jefferies Financial Group Inc.	476,549		153,557
Distributions to Jefferies Financial Group Inc.	Distributions to Jefferies Financial Group Inc.	(400,591)		0			Distributions to Jefferies Financial Group Inc.	(170,705)		(400,591)

Settlement of related balances from the transfer of employees from Jefferies Financial Group Inc. to Jefferies Group LLC							Settlement of related balances from the transfer of employees from Jefferies Financial Group Inc. to Jefferies Group LLC	(1,401)		—
Balance, end of period	Balance, end of period	$	6,819,060	$	6,503,066		Balance, end of period	$	8,027,244	$	6,819,060
Accumulated other comprehensive income (loss), net of tax:	Accumulated other comprehensive income (loss), net of tax:						Accumulated other comprehensive income (loss), net of tax:
Balance, beginning of period	Balance, beginning of period	$	(220,585)	$	(204,205)		Balance, beginning of period	$	(313,907)	$	(220,585)

Currency translation and other adjustments	Currency translation and other adjustments	10,939		(8,996)			Currency translation and other adjustments	380		10,939
Changes in instrument specific credit risk		(69,436)		22,996
Unrealized gain (loss) on available-for-sale securities		(60)		237
Changes in instrument-specific credit risk							Changes in instrument-specific credit risk	41,434		(69,436)
Unrealized losses on available-for-sale securities							Unrealized losses on available-for-sale securities	(173)		(60)
Balance, end of period	Balance, end of period	$	(279,142)	$	(189,968)		Balance, end of period	$	(272,266)	$	(279,142)
Total Jefferies Group LLC member’s equity	Total Jefferies Group LLC member’s equity	$	6,539,918	$	6,313,098		Total Jefferies Group LLC member’s equity	$	7,754,978	$	6,539,918
Noncontrolling interests:	Noncontrolling interests:						Noncontrolling interests:
Balance, beginning of period	Balance, beginning of period	$	17,389	$	4,275		Balance, beginning of period	$	11,124	$	17,389
Net loss attributable to noncontrolling interests		(203)		(2,024)
Net losses attributable to noncontrolling interests							Net losses attributable to noncontrolling interests	(267)		(203)
Contributions	Contributions	0		17,100			Contributions	1,176		—
Distributions	Distributions	(1,473)		0			Distributions	—		(1,473)

Balance, end of period	Balance, end of period	$	15,713	$	19,351		Balance, end of period	$	12,033	$	15,713
Total equity	Total equity	$	6,555,631	$	6,332,449		Total equity	$	7,767,011	$	6,555,631

See accompanying notes to consolidated financial statements.

Table of Contents

JEFFERIES GROUP LLC AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)

(In thousands)


		Three Months Ended					Three Months Ended February 28,
		February 28, 2021		February 29, 2020			2022		2021
Cash flows from operating activities:	Cash flows from operating activities:					Cash flows from operating activities:
Net earnings	Net earnings	$	493,865	$	171,365	Net earnings	$	341,143	$	493,865
Adjustments to reconcile net earnings to net cash used in operating activities:	Adjustments to reconcile net earnings to net cash used in operating activities:					Adjustments to reconcile net earnings to net cash used in operating activities:
Depreciation and amortization	Depreciation and amortization	20,159		14,557		Depreciation and amortization	24,381		20,159

Bad debt expense						Bad debt expense	8,615		(703)
Income on loans to and investments in related parties	Income on loans to and investments in related parties	(57,541)		(26,922)		Income on loans to and investments in related parties	(58,018)		(57,541)
Distributions received on investments in related parties	Distributions received on investments in related parties	0		35,949		Distributions received on investments in related parties	1,031		—
Other adjustments	Other adjustments	(100,094)		80,132		Other adjustments	(148,702)		(100,094)
Net change in assets and liabilities:	Net change in assets and liabilities:					Net change in assets and liabilities:
Securities deposited with clearing and depository organizations	Securities deposited with clearing and depository organizations	(84,307)		(296,514)		Securities deposited with clearing and depository organizations	—		(84,307)
Receivables:	Receivables:					Receivables:
Brokers, dealers and clearing organizations	Brokers, dealers and clearing organizations	(585,369)		(1,368,785)		Brokers, dealers and clearing organizations	(199,295)		(584,477)
Customers	Customers	(576,526)		(48,064)		Customers	(280,577)		(576,506)
Fees, interest and other	Fees, interest and other	(86,402)		(18,295)		Fees, interest and other	59,027		(86,611)
Securities borrowed	Securities borrowed	(211,177)		910,494		Securities borrowed	(701,961)		(211,177)
Financial instruments owned	Financial instruments owned	(869,326)		(1,555,782)		Financial instruments owned	(1,737,918)		(869,326)
Securities purchased under agreements to resell	Securities purchased under agreements to resell	(1,576,329)		(614,635)		Securities purchased under agreements to resell	1,084,266		(1,576,329)
Other assets	Other assets	(48,342)		(246,208)		Other assets	(247,880)		(48,342)
Payables:	Payables:					Payables:
Brokers, dealers and clearing organizations	Brokers, dealers and clearing organizations	767,964		1,635,066		Brokers, dealers and clearing organizations	(1,180,945)		767,964
Customers	Customers	(160,488)		(51,154)		Customers	(439,990)		(160,488)
Securities loaned	Securities loaned	704,075		371,286		Securities loaned	283,598		704,075
Financial instruments sold, not yet purchased	Financial instruments sold, not yet purchased	2,330,574		(638,098)		Financial instruments sold, not yet purchased	2,993,575		2,330,574
Securities sold under agreements to repurchase	Securities sold under agreements to repurchase	(1,114,857)		909,654		Securities sold under agreements to repurchase	488,456		(1,114,857)
Lease liabilities	Lease liabilities	(11,297)		(16,331)		Lease liabilities	(20,655)		(11,297)
Accrued expenses and other liabilities	Accrued expenses and other liabilities	(382,976)		(140,411)		Accrued expenses and other liabilities	(1,544,708)		(382,976)
Net cash used in operating activities	Net cash used in operating activities	(1,548,394)		(892,696)		Net cash used in operating activities	(1,276,557)		(1,548,394)
Cash flows from investing activities:	Cash flows from investing activities:					Cash flows from investing activities:
Contributions to loans to and investments in related parties	Contributions to loans to and investments in related parties	(912,340)		(855,609)		Contributions to loans to and investments in related parties	(280,799)		(912,340)
Capital distributions from investments and repayments of loans from related parties	Capital distributions from investments and repayments of loans from related parties	952,882		850,739		Capital distributions from investments and repayments of loans from related parties	266,523		952,882
Originations and purchases of automobile loans						Originations and purchases of automobile loans	(134,852)		—
Principal collections of automobile loans						Principal collections of automobile loans	99,306		—
Net payments on premises and equipment	Net payments on premises and equipment	(16,897)		(32,071)		Net payments on premises and equipment	(16,393)		(16,897)
Transfer of net assets from Jefferies Financial Group Inc.	Transfer of net assets from Jefferies Financial Group Inc.	(2,173)		0		Transfer of net assets from Jefferies Financial Group Inc.	—		(2,173)

Net cash provided by (used in) investing activities	Net cash provided by (used in) investing activities	21,472		(36,941)		Net cash provided by (used in) investing activities	(66,215)		21,472

Continued on next page.

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JEFFERIES GROUP LLC AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CASH FLOWS – CONTINUED (UNAUDITED)

(In thousands)


		Three Months Ended					Three Months Ended February 28,
		February 28, 2021		February 29, 2020			2022		2021
Cash flows from financing activities:	Cash flows from financing activities:					Cash flows from financing activities:
Proceeds from short-term borrowings	Proceeds from short-term borrowings	319,000		472,000		Proceeds from short-term borrowings	727,000		319,000
Payments on short-term borrowings	Payments on short-term borrowings	(196,090)		(362,000)		Payments on short-term borrowings	(527,000)		(196,090)
Proceeds from issuance of long-term debt, net of issuance costs	Proceeds from issuance of long-term debt, net of issuance costs	58,983		170,770		Proceeds from issuance of long-term debt, net of issuance costs	186,521		58,983
Repayment of long-term debt	Repayment of long-term debt	(10,089)		(35,629)		Repayment of long-term debt	(210,645)		(10,089)
Contributions from Jefferies Financial Group Inc.	Contributions from Jefferies Financial Group Inc.	153,557		0		Contributions from Jefferies Financial Group Inc.	60,332		153,557
Distributions to Jefferies Financial Group Inc.	Distributions to Jefferies Financial Group Inc.	(307,114)		(12,580)		Distributions to Jefferies Financial Group Inc.	(193,048)		(307,114)

Net proceeds from (payments on) other secured financings	Net proceeds from (payments on) other secured financings	1,033,008		(300,867)		Net proceeds from (payments on) other secured financings	(933,992)		1,033,008
Net change in bank overdrafts	Net change in bank overdrafts	(4,706)		(34,518)		Net change in bank overdrafts	45,990		(4,706)
Proceeds from contributions of noncontrolling interests	Proceeds from contributions of noncontrolling interests	0		17,100		Proceeds from contributions of noncontrolling interests	1,176		—
Payments on distributions to noncontrolling interests	Payments on distributions to noncontrolling interests	(1,473)		0		Payments on distributions to noncontrolling interests	—		(1,473)
Net cash provided by (used in) financing activities	Net cash provided by (used in) financing activities	1,045,076		(85,724)		Net cash provided by (used in) financing activities	(843,666)		1,045,076
Effect of exchange rate changes on cash, cash equivalents and restricted cash	Effect of exchange rate changes on cash, cash equivalents and restricted cash	3,886		(2,927)		Effect of exchange rate changes on cash, cash equivalents and restricted cash	(467)		3,886
Net decrease in cash, cash equivalents and restricted cash	Net decrease in cash, cash equivalents and restricted cash	(477,960)		(1,018,288)		Net decrease in cash, cash equivalents and restricted cash	(2,186,905)		(477,960)
Cash, cash equivalents and restricted cash at beginning of period	Cash, cash equivalents and restricted cash at beginning of period	7,682,013		6,329,712		Cash, cash equivalents and restricted cash at beginning of period	9,828,671		7,682,013
Cash, cash equivalents and restricted cash at end of period	Cash, cash equivalents and restricted cash at end of period	$	7,204,053	$	5,311,424	Cash, cash equivalents and restricted cash at end of period	$	7,641,766	$	7,204,053

Supplemental disclosures of cash flow information:	Supplemental disclosures of cash flow information:					Supplemental disclosures of cash flow information:
Cash paid during the period for	Cash paid during the period for					Cash paid during the period for
Interest	Interest	$	236,116	$	357,925	Interest	$	320,399	$	236,116
Income taxes, net	Income taxes, net	29,953		3,524		Income taxes, net	5,239		29,953

Noncash financing activities:

The following presents our cash, cash equivalents and restricted cash by category in our Consolidated Statements of Financial Condition (in thousands):


		February 28, 2021		November 30, 2020			February 28, 2022		November 30, 2021
Cash and cash equivalents	Cash and cash equivalents	$	6,707,482	$	7,111,929	Cash and cash equivalents	$	6,719,648	$	8,813,564
Cash and securities segregated and on deposit for regulatory purposes with clearing and depository organizations	Cash and securities segregated and on deposit for regulatory purposes with clearing and depository organizations	496,571		570,084		Cash and securities segregated and on deposit for regulatory purposes with clearing and depository organizations	838,092		1,015,107
Other assets						Other assets	84,026		—
Total cash, cash equivalents and restricted cash	Total cash, cash equivalents and restricted cash	$	7,204,053	$	7,682,013	Total cash, cash equivalents and restricted cash	$	7,641,766	$	9,828,671

See accompanying notes to consolidated financial statements.

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JEFFERIES GROUP LLC AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

Index


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 5.4. Derivative Financial Instruments			26
Note 6.5. Collateralized Transactions			32
Note 7.6. Securitization Activities			3536
Note 8.7. Variable Interest Entities			37
Note 9.8. Investments			40
Note ~~10.~~9. Goodwill and Intangible Assets			43
~~Note 11. Short-Term Borrowings~~			44
Note ~~12. Long-Term Debt~~10. Short-Term Borrowings			45
Note 1 3 ~~. Revenues from Contracts with Customers~~11. Long-Term Debt			46
Note 1 4 ~~. Compensation Plans~~12. Revenues from Contracts with Customers			4947
Note 1 5 ~~. Income Taxes~~13. Compensation Plans			50
Note 1 6 ~~. Commitments, Contingencies and Guarantees~~14. Income Taxes			51
Note 115. Commitments, Contingencies and Guarantees			752
.Note 16. Net Capital Requirements			5354
Note 1 8 .17. Segment Reporting			5355
Note 19 .18. Related Party Transactions			5557

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

Note 1. Organization and Basis of Presentation

Organization

Jefferies Group LLC is the largest independent U.S.-headquartered global full service, integrated investment banking and securities firm. The accompanying Consolidated Financial Statements represent the accounts of Jefferies Group LLC and all our subsidiaries (together “we” or “us”). The subsidiaries of Jefferies Group LLC include Jefferies LLC, Jefferies International Limited, Jefferies GmbH, Jefferies Hong Kong Limited, Jefferies Financial Services, Inc., Jefferies Funding LLC, Jefferies Leveraged Credit Products, LLC and all other entities in which we have a controlling financial interest or are the primary beneficiary.

Jefferies Group LLC is a direct wholly-owned subsidiary of publicly traded Jefferies Financial Group Inc. (“Jefferies”). Jefferies does not guarantee any of our outstanding debt securities. Jefferies Group LLC is a Securities and Exchange Commission (“SEC”) reporting company, filing annual, quarterly and periodic financial reports. Richard Handler, our Chief Executive Officer and Chairman, is the Chief Executive Officer of Jefferies, as well as a Director of Jefferies. Brian P. Friedman, our Chairman of the Executive Committee, is Jefferies’ President and a Director of Jefferies.

We operate in 2 reportable business segments: (1) Investment Banking and Capital Markets and (2) Asset Management. For further information on our reportable business segments, refer to Note ~~18,~~17, Segment Reporting.

Transfers from Jefferies

On December 1, 2021, Jefferies transferred certain loans and certain investments in securities and limited partnerships to us. In addition, Jefferies transferred its investment in Foursight, a subsidiary of Jefferies, to us. These transfers were accomplished as a capital contribution from Jefferies, and since we are under common control, these loans and investments and the assets and liabilities of Foursight were recorded at their carrying amounts. As a result of these transfers, our total assets increased by $1.27 billion, total liabilities increased by $800.4 million and total equity increased by $476.5 million in our Consolidated Statement of Financial Condition. Included in the total assets increase is cash, cash equivalents and restricted cash transferred of approximately $60.3 million included as financing activities in our Consolidated Statement of Cash Flows for the three months ended February 28, 2022.

The transferred securities and limited partnership interests are subsequently accounted for in accordance with our existing accounting policies for Financial instruments owned and Loans to and investments in related parties. Certain transferred loans have been classified within Other assets in our Consolidated Statement of Financial Condition and are accounted for at amortized cost as the transfer did not qualify as an event upon which the fair value option for these loans could be elected. Principal transactions revenues related to the change in fair value of the investments classified in Financial instruments owned, at fair value, Other revenue related to our share of the investees’ earnings for investments classified in Loans to and investments in related parties and interest income on transferred loans are included within our results of operations as of the period beginning December 1, 2021 in our Consolidated Statement of Financial Condition and, accordingly, for the three months ended February 28, 2022 in our Consolidated Statement of Earnings.

From December 1, 2021, Foursight is consolidated by us. Foursight is engaged primarily in automobile lending. The net assets of Foursight in our Consolidated Statement of Financial Condition consist primarily of automobile loans classified within Receivables—Fees, interest and other and are accounted for at amortized cost, with a provision for current expected credit losses, and Other secured financings. The results of operations of Foursight, which consist primarily of Interest income, Other revenues related to servicing activities and operating expenses are included within our results of operations as of the period beginning December 1, 2021 and, accordingly, for the three months ended February 28, 2022 in our Consolidated Statement of Earnings.

Basis of Presentation

The accompanying consolidated financial statements have been prepared in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) and should be read in conjunction with our consolidated financial statements and notes thereto included in our Annual Report on Form 10-K for the year ended November 30, ~~2020.~~2021. Certain footnote disclosures included in our Annual Report on Form 10-K for the year ended November 30, ~~2020~~2021 have been condensed or omitted from the consolidated financial statements as they are not required for interim reporting under U.S. GAAP. The Consolidated Financial Statements reflect all adjustments of a normal, recurring nature that are, in the opinion of management, necessary for the fair presentation of the results for the interim period. The results presented in our Consolidated Financial Statements for interim periods are not necessarily indicative of the results for the entire year.

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JEFFERIES GROUP LLC AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

We have made a number of estimates and assumptions relating to the reporting of assets and liabilities, the disclosure of contingent assets and liabilities and the reported amounts of revenues and expenses during the reporting period to prepare these consolidated financial statements in conformity with U.S. GAAP. The most important of these estimates and assumptions relate to fair value measurements, compensation and benefits, goodwill and intangible assets, the ability to realize certain deferred tax assets and the recognition and measurement of uncertain tax positions. Although these and other estimates and assumptions are based on the best available information, actual results could be materially different from these estimates.

Consolidation

Our policy is to consolidate all entities that we control by ownership of a majority of the outstanding voting stock. In addition, we consolidate entities that meet the definition of a variable interest entity (“VIE”) for which we are the primary beneficiary. The primary beneficiary is the party who has the power to direct the activities of a VIE that most significantly impact the entity’s economic performance and who has an obligation to absorb losses of the entity or a right to receive benefits from the entity that could potentially be significant to the entity. For consolidated entities that are less than wholly-owned, the third-party’s holding of equity interest is presented as Noncontrolling interests in our Consolidated Statements of Financial Condition and Consolidated Statements of Changes in Equity. The portion of net earnings attributable to the noncontrolling interests is presented as Net earnings (loss) attributable to noncontrolling interests in our Consolidated Statements of Earnings.

In situations in which we have significant influence, but not control, of an entity that does not qualify as a VIE, we apply either the equity method of accounting or fair value accounting pursuant to the fair value option election under U.S. GAAP, with our portion of net earnings or gains and losses recorded in Other revenues or Principal transactions revenues, respectively. We also have formed nonconsolidated investment vehicles with third-party investors that are typically organized as partnerships or limited liability companies and are carried at fair value. We act as general partner or managing member for these investment vehicles and have generally provided the third-party investors with termination or “kick-out” rights.

Intercompany accounts and transactions are eliminated in consolidation.

~~Table of Contents~~

~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED~~

~~(Unaudited)~~

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, ~~2020.~~2021.

During the three months ended February 28, ~~2021,~~2022, there were no significant changes made to the Company’s significant accounting ~~policies.~~policies except as follows.

Credit Losses on Certain Financial Assets Measured at Amortized Cost

On December 1, 2021, Jefferies transferred its investment in Foursight, a subsidiary of Jefferies, to us. Foursight is engaged primarily in automobile lending. At February 28, 2022, we had automobile loans, including accrued interest and related fees, of $836.1 million, which are classified as either held for investment or held for sale depending on the intent to hold the underlying collateral and which are collateralized by a security interest in the vehicles’ titles. Automobile loans held for investment consisted of approximately 18.1% with credit scores 680 and above, 48.7% with scores between 620 and 679 and 33.2% with scores below 620 at February 28, 2022. These loans are included in Receivables—fees, interest and other in our Consolidated Statements of Financial Condition and are not carried at fair value. The automobile loans have a fair value of $868.7 million at February 28, 2022, which would be classified as Level 3 in the fair value hierarchy.

~~Note 3. Accounting Developments~~

~~Adopted Accounting Standards~~

~~Income Taxes.~~ ~~In December 2019,~~Provision for credit losses are charged to income in amounts sufficient to maintain an allowance for credit losses inherent in automobile loans held for investment. The allowance for credit losses is established systematically by management based on the ~~FASB issued ASU No. 2019-12, Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes. The objective~~determination 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~~amount of ~~financial statements. We adopted the guidance~~credit losses inherent in the ~~first quarter of fiscal 2021 and the adoption did not have a material impact on our consolidated financial statements.~~

~~Consolidation.~~ ~~In October 2018, the FASB issued ASU No. 2018-17, Consolidation: Targeted Improvements to Related Party Guidance~~automobile loans held 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. We adopted the guidance in the first quarter of fiscal 2021 and the adoption did not have a material impact 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 costsinvestment as if the arrangement was an internal-use software project. We adopted the guidance in the first quarter of fiscal 2021 and elected to apply the guidance prospectively to implementation costs incurred after the adoption date. The adoption did not have an impact on our consolidated financial statements on the adoption date.

~~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~~reporting date. All automobile loans held for investment are collectively evaluated for impairment. Management's estimate of expected credit losses is based on an evaluation of relevant information about past events, current conditions, and reasonable and supportable forecasts that affect the future collectability of the reported amounts. We use static pool modeling techniques to ~~improve~~determine the ~~effectiveness~~allowance for loan losses expected over the remaining life of ~~disclosure requirements on defined benefit pension plans and other postretirement plans. We adopted~~ the ~~guidance in the first quarter~~loans, which is supplemented by management judgment. Expected losses are estimated for groups of ~~fiscal 2021 and the adoption did not 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. We adopted the guidance in the first quarter of fiscal 2021 and the adoption did not have a material impact on our consolidated financial statements.accounts aggregated by monthly vintage.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

~~Financial Instruments—Credit Losses.~~ ~~In June 2016,~~Generally, the FASB issued ASU No. 2016-13, Measurement of Credit Losses on Financial Instruments. The guidance provides for estimating credit losses on financial assets measured at amortized cost by introducing an approach based on expected losses over the financial asset's entire life, recorded at inception or purchase. We adopted the new credit loss guidance on December 1, 2020 and applied a modified retrospective approach through a cumulative-effect adjustment to retained earnings upon adoption. At transition on December 1, 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 methodologyare projected 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 becauseover the last eight years, more heavily weighted toward recent performance when determining the allowance to result in an estimate that is more reflective 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 adoption is outlined below.

~~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~~current internal and ~~the measurement of credit losses and any expected increases or decreases in expected credit losses are recognized in earnings. The~~external environments. Our estimate of expected credit losses ~~involves judgment~~includes a reasonable and supportable forecast period of two years and then reverts to an estimate based on ~~an assessment over~~historical losses. We review charge-off experience factors, contractual delinquency, historical collection rates, the ~~life~~value of underlying collateral and other information to make the necessary judgments as to credit losses expected in the portfolio as of the financial instrument taking into consideration forecasts of expected future economic conditions. In evaluating secured financing receivables (reverse repurchases agreements, securities borrowing arrangements,reporting date. While management utilizes the best information available to make its evaluations, changes in macroeconomic conditions, interest rate environments, or both, may significantly impact the assumptions and ~~margin loans),~~inputs used in determining the ~~underlying collateral maintenance provisions are taken into consideration. The underlying contractual collateral maintenance~~allowance 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~~Our charge-off policy 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,~~based on a loan by loan review of delinquent loans.

A rollforward of the allowance for credit losses ~~if any,~~related to our automobile loans for the three months ended February 28, 2022 is ~~limited~~as follows (in thousands):


Beginning balance (1)	$	67,236
Provision for doubtful accounts	7,545
Charge-offs, net of recoveries	(4,672)
Ending balance	$	70,109

(1)The beginning balance is at December 1, 2021 and is related to ~~the difference between the fair value~~Jefferies’ transfer of ~~the collateral at the reporting date and the amortized cost basis of the financial assets.~~

~~Our receivables from brokers, dealers, and clearing organizations include deposits of cash with exchange clearing organizations~~its investment in Foursight 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.us.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

Note 4.3. 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 ~~$1,017.8 million~~$1.16 billion and ~~$956.0 million~~$1.01 billion at February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, respectively, by level within the fair value hierarchy (in thousands):


		February 28, 2021											February 28, 2022
		Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (1)		Total			Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (1)		Total
Assets:	Assets:											Assets:
Financial instruments owned:	Financial instruments owned:											Financial instruments owned:
Corporate equity securities	Corporate equity securities	$	2,687,871	$	58,056	$	83,278	$	—	$	2,829,205	Corporate equity securities	$	3,136,424	$	114,692	$	108,156	$	—	$	3,359,272
Corporate debt securities	Corporate debt securities	0		3,451,794		6,811		—		3,458,605		Corporate debt securities	—		3,625,740		42,358		—		3,668,098
Collateralized debt obligations and collateralized loan obligations	Collateralized debt obligations and collateralized loan obligations	0		91,654		25,894		—		117,548		Collateralized debt obligations and collateralized loan obligations	—		870,505		45,219		—		915,724
U.S. government and federal agency securities	U.S. government and federal agency securities	2,485,813		73,550		0		—		2,559,363		U.S. government and federal agency securities	3,767,868		50,574		—		—		3,818,442
Municipal securities	Municipal securities	0		292,604		0		—		292,604		Municipal securities	—		480,000		—		—		480,000
Sovereign obligations	Sovereign obligations	1,668,975		799,239		0		—		2,468,214		Sovereign obligations	1,177,045		932,076		23		—		2,109,144
Residential mortgage-backed securities	Residential mortgage-backed securities	0		1,880,823		21,692		—		1,902,515		Residential mortgage-backed securities	—		798,936		1,186		—		800,122
Commercial mortgage-backed securities	Commercial mortgage-backed securities	0		37,013		2,671		—		39,684		Commercial mortgage-backed securities	—		181,635		3,732		—		185,367
Other asset-backed securities	Other asset-backed securities	0		63,956		60,594		—		124,550		Other asset-backed securities	—		624,575		62,382		—		686,957
Loans and other receivables	Loans and other receivables	0		3,099,917		79,055		—		3,178,972		Loans and other receivables	—		3,428,850		137,942		—		3,566,792
Derivatives	Derivatives	3,346		3,091,787		39,397		(2,604,607)		529,923		Derivatives	4,659		3,665,534		13,144		(3,245,884)		437,453
Investments at fair value	Investments at fair value	0		6,399		45,472		—		51,871		Investments at fair value	—		4,565		125,824		—		130,389
Total financial instruments owned, excluding Investments at fair value based on NAV	Total financial instruments owned, excluding Investments at fair value based on NAV	$	6,846,005	$	12,946,792	$	364,864	$	(2,604,607)	$	17,553,054	Total financial instruments owned, excluding Investments at fair value based on NAV	$	8,085,996	$	14,777,682	$	539,966	$	(3,245,884)	$	20,157,760

Securities received as collateral												Securities received as collateral	$	973	$	—	$	—	$	—	$	973

Liabilities:	Liabilities:											Liabilities:
Financial instruments sold, not yet purchased:	Financial instruments sold, not yet purchased:											Financial instruments sold, not yet purchased:
Corporate equity securities	Corporate equity securities	$	2,124,994	$	1,075	$	4,443	$	—	$	2,130,512	Corporate equity securities	$	2,031,781	$	13,988	$	5,666	$	—	$	2,051,435
Corporate debt securities	Corporate debt securities	0		1,824,458		1,571		—		1,826,029		Corporate debt securities	—		2,405,463		7,308		—		2,412,771
U.S. government and federal agency securities	U.S. government and federal agency securities	2,618,198		0		0		—		2,618,198		U.S. government and federal agency securities	4,615,370		—		—		—		4,615,370

Sovereign obligations	Sovereign obligations	1,343,920		1,016,688		0		—		2,360,608		Sovereign obligations	1,302,485		888,806		1,159		—		2,192,450

Commercial mortgage-backed securities	Commercial mortgage-backed securities	0		0		35		—		35		Commercial mortgage-backed securities	—		—		315		—		315
Loans	Loans	0		2,326,306		14,916		—		2,341,222		Loans	—		2,486,780		11,541		—		2,498,321
Derivatives	Derivatives	2,173		3,734,965		344,903		(2,997,103)		1,084,938		Derivatives	2,825		4,333,655		60,914		(3,485,329)		912,065
Total financial instruments sold, not yet purchased	Total financial instruments sold, not yet purchased	$	6,089,285	$	8,903,492	$	365,868	$	(2,997,103)	$	12,361,542	Total financial instruments sold, not yet purchased	$	7,952,461	$	10,128,692	$	86,903	$	(3,485,329)	$	14,682,727

Other secured financings	Other secured financings	$	0	$	0	$	2,168	$	—	$	2,168	Other secured financings	$	—	$	125,631	$	32,377	$	—	$	158,008

Obligation to return securities received as collateral												Obligation to return securities received as collateral	$	973	$	—	$	—	$	—	$	973
Long-term debt	Long-term debt	$	0	$	1,061,042	$	723,115	$	—	$	1,784,157	Long-term debt	$	—	$	967,703	$	794,460	$	—	$	1,762,163

(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											November 30, 2021
		Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (1)		Total			Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting (1)		Total
Assets:	Assets:											Assets:
Financial instruments owned:	Financial instruments owned:											Financial instruments owned:
Corporate equity securities	Corporate equity securities	$	2,331,440	$	58,159	$	75,797	$	—	$	2,465,396	Corporate equity securities	$	2,567,690	$	199,244	$	76,082	$	—	$	2,843,016
Corporate debt securities	Corporate debt securities	0		2,954,201		23,146		—		2,977,347		Corporate debt securities	—		3,836,303		11,803		—		3,848,106
Collateralized debt obligations and collateralized loan obligations	Collateralized debt obligations and collateralized loan obligations	0		64,155		10,513		—		74,668		Collateralized debt obligations and collateralized loan obligations	—		579,518		31,944		—		611,462
U.S. government and federal agency securities	U.S. government and federal agency securities	2,840,025		91,653		0		—		2,931,678		U.S. government and federal agency securities	3,045,295		68,784		—		—		3,114,079
Municipal securities	Municipal securities	0		453,881		0		—		453,881		Municipal securities	—		509,559		—		—		509,559
Sovereign obligations	Sovereign obligations	1,962,346		591,342		0		—		2,553,688		Sovereign obligations	899,086		654,199		—		—		1,553,285
Residential mortgage-backed securities	Residential mortgage-backed securities	0		1,100,849		21,826		—		1,122,675		Residential mortgage-backed securities	—		1,168,246		1,477		—		1,169,723
Commercial mortgage-backed securities	Commercial mortgage-backed securities	0		736,291		2,003		—		738,294		Commercial mortgage-backed securities	—		196,419		2,333		—		198,752
Other asset-backed securities	Other asset-backed securities	0		103,611		79,995		—		183,606		Other asset-backed securities	—		337,022		93,524		—		430,546
Loans and other receivables	Loans and other receivables	0		2,610,746		77,042		—		2,687,788		Loans and other receivables	—		3,363,050		74,585		—		3,437,635
Derivatives	Derivatives	1,523		2,000,752		21,678		(1,556,136)		467,817		Derivatives	4,429		3,858,848		10,248		(3,304,566)		568,959
Investments at fair value	Investments at fair value	0		6,122		67,108		—		73,230		Investments at fair value	—		4,236		34,557		—		38,793
Total financial instruments owned, excluding Investments at fair value based on NAV	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	Total financial instruments owned, excluding Investments at fair value based on NAV	$	6,516,500	$	14,775,428	$	336,553	$	(3,304,566)	$	18,323,915

Securities received as collateral	Securities received as collateral	$	7,517	$	0	$	0	$	—	$	7,517	Securities received as collateral	$	7,289	$	—	$	—	$	—	$	7,289

Liabilities:	Liabilities:											Liabilities:
Financial instruments sold, not yet purchased:	Financial instruments sold, not yet purchased:											Financial instruments sold, not yet purchased:
Corporate equity securities	Corporate equity securities	$	2,046,441	$	9,046	$	4,434	$	—	$	2,059,921	Corporate equity securities	$	1,671,696	$	19,654	$	4,635	$	—	$	1,695,985
Corporate debt securities	Corporate debt securities	0		1,237,631		141		—		1,237,772		Corporate debt securities	—		2,111,777		482		—		2,112,259
U.S. government and federal agency securities	U.S. government and federal agency securities	2,609,660		0		0		—		2,609,660		U.S. government and federal agency securities	2,457,420		—		—		—		2,457,420
Sovereign obligations	Sovereign obligations	1,050,771		624,740		0		—		1,675,511		Sovereign obligations	935,801		593,040		—		—		1,528,841
Residential mortgage-backed securities	Residential mortgage-backed securities	0		477		0		—		477		Residential mortgage-backed securities	—		719		—		—		719
Commercial mortgage-backed securities	Commercial mortgage-backed securities	0		0		35		—		35		Commercial mortgage-backed securities	—		—		210		—		210
Loans	Loans	0		1,776,446		16,635		—		1,793,081		Loans	—		2,476,087		15,770		—		2,491,857
Derivatives	Derivatives	551		2,391,478		47,695		(1,798,659)		641,065		Derivatives	1,815		5,024,682		78,017		(3,701,010)		1,403,504
Total financial instruments sold, not yet purchased	Total financial instruments sold, not yet purchased	$	5,707,423	$	6,039,818	$	68,940	$	(1,798,659)	$	10,017,522	Total financial instruments sold, not yet purchased	$	5,066,732	$	10,225,959	$	99,114	$	(3,701,010)	$	11,690,795
Short-term borrowings		$	0	$	5,067	$	0	$	—	$	5,067

Other secured financings	Other secured financings	$	0	$	0	$	1,543	$	—	$	1,543	Other secured financings	$	—	$	76,883	$	25,905	$	—	$	102,788
Obligation to return securities received as collateral	Obligation to return securities received as collateral	$	7,517	$	0	$	0	$	—	$	7,517	Obligation to return securities received as collateral	$	7,289	$	—	$	—	$	—	$	7,289
Long-term debt	Long-term debt	$	0	$	1,036,217	$	676,028	$	—	$	1,712,245	Long-term debt	$	—	$	961,866	$	881,732	$	—	$	1,843,598

(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.

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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 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.

•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. 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. High price volatility was observed for certain sovereign bonds given the recent geopolitical tensions in Eastern Europe, which resulted in Level 3 classification for certain obligations given the wide price dispersion in available external pricing data.

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.

•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”~~Ginnie Mae”) 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”~~Fannie Mae”) 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~~Ginnie Mae project loan bonds and ~~FNMA~~Fannie Mae 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~~automobile 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.

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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~~Ginnie Mae Project and Construction Loans: Valuations of participation certificates in ~~GNMA~~Ginnie Mae 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 2 of the fair value hierarchy where fair value is based on recent observations in the same receivable. 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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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.

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 internally or by third-party valuation services involving ~~quoted prices of or market~~performance data, ~~for comparable companies, similar~~ company ratios and multiples (e.g., price/EBITDA, price/book value), for comparable companies, 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):


		February 28, 2021					February 28, 2022
		Fair Value (1)		Unfunded Commitments			Fair Value (1)		Unfunded Commitments
Equity Long/Short Hedge Funds (2)	Equity Long/Short Hedge Funds (2)	$	345,570	$	0	Equity Long/Short Hedge Funds (2)	$	413,151	$	—
Equity Funds (3)	Equity Funds (3)	23,856		11,043		Equity Funds (3)	51,341		41,532
Commodity Funds (4)	Commodity Funds (4)	19,217		0		Commodity Funds (4)	23,636		—
Multi-asset Funds (5)	Multi-asset Funds (5)	580,269		0		Multi-asset Funds (5)	366,855		—
Other Funds (6)	Other Funds (6)	48,910		21,750		Other Funds (6)	304,424		25,335
Total	Total	$	1,017,822	$	32,793	Total	$	1,159,407	$	66,867


		November 30, 2020					November 30, 2021
		Fair Value (1)		Unfunded Commitments			Fair Value (1)		Unfunded Commitments
Equity Long/Short Hedge Funds (2)	Equity Long/Short Hedge Funds (2)	$	328,096	$	0	Equity Long/Short Hedge Funds (2)	$	466,231	$	—
Equity Funds (3)	Equity Funds (3)	23,821		11,242		Equity Funds (3)	32,412		10,593
Commodity Funds (4)	Commodity Funds (4)	17,747		0		Commodity Funds (4)	24,401		—
Multi-asset Funds (5)	Multi-asset Funds (5)	561,236		0		Multi-asset Funds (5)	390,224		—
Other Funds (6)	Other Funds (6)	25,084		5,000		Other Funds (6)	99,054		36,090
Total	Total	$	955,984	$	16,242	Total	$	1,012,322	$	46,683

(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 February 28, 2022 and November 30, 2021, approximately 73% and 74%, respectively, are redeemable quarterly with 90 days prior written notice on December 31, 2021. At both February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, approximately ~~94%~~21% 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 February 28, 2021 and~~ November 30, ~~2020, approximately 6% of the fair value of~~2023. The remaining investments ~~in this category~~ are redeemable quarterly with 60 days prior written notice.

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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~~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 to ~~eight~~thirteen 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 ~~both~~ February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, investments representing approximately ~~57%~~82% and 78%, respectively, of the fair value of investments in this category are redeemable monthly with 60 days prior written notice. At February 28, 2022 and November 30, 2021, approximately 18% and 22%, respectively, of the fair value of investments in this category are redeemable quarterly with 90 days prior written notice.

(6)This category ~~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. ~~These~~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 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. These financial instruments are typically categorized within Level 1 of the fair value hierarchy.

~~Short-term Borrowings / Long-term Debt~~Other Secured Financings

~~Short-term borrowings~~Other secured financings that are accounted for at fair value ~~include equity-linked notes, which~~ are ~~generally categorized~~classified within Level 2 or Level 3 of the fair value ~~hierarchy, as the fair~~hierarchy. Fair value is based on ~~the price~~estimates of ~~the underlying equity security.~~ future cash flows incorporating assumptions regarding recovery rates.

Long-term Debt

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 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 February 28, ~~2021~~2022 (in thousands):


		Three Months Ended February 28, 2021																					Three Months Ended February 28, 2022
		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 February 28, 2021		For instruments still held at February 28, 2021 changes in unrealized gains/(losses) included in:					Balance at November 30, 2021		Total gains/losses (realized and unrealized) (1)		Purchases		Sales		Settlements		Issuances		Net transfers into/ (out of) Level 3		Balance at February 28, 2022		For instruments still held at February 28, 2022 changes in unrealized gains/(losses) included in:
																		Earnings (1)		Other comprehensive income (1)																			Earnings (1)		Other comprehensive income (1)
Assets:	Assets:																					Assets:
Financial instruments owned:	Financial instruments owned:																					Financial instruments owned:
Corporate equity securities	Corporate equity securities	$	75,797	$	1,309	$	4,805	$	(4,647)	$	0	$	0	$	6,014	$	83,278	$	135	$	0	Corporate equity securities	$	76,082	$	7,325	$	18,786	$	(706)	$	(651)	$	—	$	7,320	$	108,156	$	6,566	$	—
Corporate debt securities	Corporate debt securities	23,146		266		130		(6)		0		0		(16,725)		6,811		297		0		Corporate debt securities	11,803		(1,176)		125,968		(103,602)		(9)		—		9,374		42,358		(1,929)		—
CDOs and CLOs	CDOs and CLOs	10,513		3,840		11,427		(8,007)		(5,652)		0		13,773		25,894		3,368		0		CDOs and CLOs	31,944		(671)		13,523		(7,740)		(1,643)		—		9,806		45,219		(906)		—

Sovereign obligations																						Sovereign obligations	—		(306)		3,780		(3,451)		—		—		—		23		(60)		—
RMBS	RMBS	21,826		1,327		791		(627)		(514)		0		(1,111)		21,692		1,347		0		RMBS	1,477		(69)		—		(187)		(35)		—		—		1,186		(44)		—
CMBS	CMBS	2,003		(29)		1,105		(393)		0		0		(15)		2,671		97		0		CMBS	2,333		1,177		—		—		—		—		222		3,732		1,655		—
Other ABS	Other ABS	79,995		2,361		14,604		(20,909)		(8,449)		0		(7,008)		60,594		1,721		0		Other ABS	93,524		2,033		11,590		(14,485)		(14,269)		—		(16,011)		62,382		(3,661)		—
Loans and other receivables	Loans and other receivables	77,042		1,642		8,758		(44,427)		(66)		0		36,106		79,055		1,656		0		Loans and other receivables	74,585		(4,737)		72,203		(17,710)		—		—		13,601		137,942		(4,585)		—
Investments at fair value	Investments at fair value	67,108		1,939		0		(23,575)		0		0		0		45,472		1,939		0		Investments at fair value	34,557		26,430		72,278		(6,826)		(615)		—		—		125,824		22,953		—
Liabilities:	Liabilities:																					Liabilities:
Financial instruments sold, not yet purchased:	Financial instruments sold, not yet purchased:																					Financial instruments sold, not yet purchased:
Corporate equity securities	Corporate equity securities	$	4,434	$	9	$	0	$	0	$	0	$	0	$	0	$	4,443	$	(22)	$	0	Corporate equity securities	$	4,635	$	(3,447)	$	(812)	$	5,050	$	—	$	—	$	240	$	5,666	$	3,447	$	—
Corporate debt securities	Corporate debt securities	141		1,430		0		0		0		0		0		1,571		(1,430)		0		Corporate debt securities	482		(8,866)		(63,714)		66,976		—		—		12,430		7,308		5,210		—

Sovereign obligations																						Sovereign obligations	—		(1,362)		(99,374)		101,911		—		—		(16)		1,159		54		—
CMBS	CMBS	35		0		(35)		35		0		0		0		35		0		0		CMBS	210		—		—		105		—		—		—		315		—		—
Loans	Loans	16,635		1,559		(6,821)		3,358		0		0		185		14,916		(1,559)		0		Loans	15,770		(46)		(13,125)		2,695		—		—		6,247		11,541		(135)		—
Net derivatives (2)	Net derivatives (2)	26,017		43,727		0		12,670		(92)		0		223,184		305,506		(43,727)		0		Net derivatives (2)	67,769		(54,836)		—		—		—		35,069		(232)		47,770		53,352		—
Other secured financings	Other secured financings	1,543		0		0		0		0		625		0		2,168		0		0		Other secured financings	25,905		—		—		—		—		6,472		—		32,377		—		—
Long-term debt	Long-term debt	676,028		25,357		0		0		0		21,730		0		723,115		15,501		(40,858)		Long-term debt	881,732		(92,871)		—		—		—		23,753		(18,154)		794,460		60,739		32,132

(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~~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.

Analysis of Level 3 Assets and Liabilities for the Three Months Ended February 28, 2022

During the three months ended February 28, 2022, transfers of assets of $64.8 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:

•CDOs and CLOs of $18.8 million, Loans and other receivables of $16.1 million, Other ABS of $12.9 million, Corporate debt securities of $9.4 million and Corporate equity securities of $7.4 million due to reduced pricing transparency.

During the three months ended February 28, 2022, transfers of assets of $40.5 million from Level 3 to Level 2 are primarily attributed to:

•Other ABS of $28.9 million, CDOs and CLOs of $9.0 million and Loans and other receivables of $2.4 million due to greater pricing transparency supporting classification into Level 2.

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JEFFERIES GROUP LLC AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

During the three months ended February 28, 2022, transfers of liabilities of $72.6 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:

•Net derivatives of $27.9 million, structured notes within Long-term debt of $25.8 million, Corporate debt securities of $12.4 million and Loans of $6.2 million due to reduced pricing and market transparency.

During the three months ended February 28, 2022, transfers of liabilities of $72.1 million from Level 3 to Level 2 of the fair value hierarchy are primarily attributed to:

•Structured notes within Long-term debt of $44.0 million and Net derivatives of $28.1 million due to greater market and pricing transparency.

Net gains on Level 3 assets were $30.0 million and net gains on Level 3 liabilities were $161.4 million for the three months ended February 28, 2022. Net gains on Level 3 assets were primarily due to increased market values across Investments at fair value and Corporate equity securities, partially offset by decreases in Loans and other receivables. Net gains on Level 3 liabilities were primarily due to decreased valuations of structured notes within Long-term debt, certain derivatives and Corporate debt securities.


	Three Months Ended February 28, 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 February 28, 2021		For instruments still held at February 28, 2021, changes in unrealized gains/(losses) included in:
																	Earnings (1)		Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	75,797	$	1,309	$	4,805	$	(4,647)	$	—	$	—	$	6,014	$	83,278	$	135	$	—
Corporate debt securities	23,146		266		130		(6)		—		—		(16,725)		6,811		297		—
CDOs and CLOs	10,513		3,840		11,427		(8,007)		(5,652)		—		13,773		25,894		3,368		—


RMBS	21,826		1,327		791		(627)		(514)		—		(1,111)		21,692		1,347		—
CMBS	2,003		(29)		1,105		(393)		—		—		(15)		2,671		97		—
Other ABS	79,995		2,361		14,604		(20,909)		(8,449)		—		(7,008)		60,594		1,721		—
Loans and other receivables	77,042		1,642		8,758		(44,427)		(66)		—		36,106		79,055		1,656		—
Investments at fair value	67,108		1,939		—		(23,575)		—		—		—		45,472		1,939		—

Liabilities:
Financial instruments sold, not yet purchased:
Corporate equity securities	$	4,434	$	9	$	—	$	—	$	—	$	—	$	—	$	4,443	$	(22)	$	—
Corporate debt securities	141		1,430		—		—		—		—		—		1,571		(1,430)		—

CMBS	35		—		(35)		35		—		—		—		35		—		—
Loans	16,635		1,559		(6,821)		3,358		—		—		185		14,916		(1,559)		—
Net derivatives (2)	26,017		43,727		—		12,670		(92)		—		223,184		305,506		(43,727)		—
Other secured financings	1,543		—		—		—		—		625		—		2,168		—		—
Long-term debt	676,028		25,357		—		—		—		21,730		—		723,115		15,501		(40,858)

(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)

Analysis of Level 3 Assets and Liabilities for the Three Months Ended February 28, 2021

During the three months ended February 28, 2021, transfers of assets of $75.8 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:

•Loans and other receivables of $42.9 million, CDOs and CLOs of $14.6 million, Corporate equity securities of $9.9 million and Other ABS of $7.5 million due to reduced pricing transparency.

During the three months ended February 28, 2021, transfers of assets of $44.7 million from Level 3 to Level 2 are primarily attributed to:

•Corporate debt securities of $17.5 million, Other ABS of $14.5 million and Loans and other receivables of $6.8 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 February 28, 2021, transfers of liabilities of $236.7 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:

•Net derivatives of $236.5 million due to reduced pricing transparency.

During the three months ended February 28, 2021, transfers of liabilities of $13.3 million from Level 3 to Level 2 of the fair value hierarchy are primarily attributed to:

•Net derivatives of $13.3 million due to greater pricing and market transparency.

Net gains on Level 3 assets were $12.7 million and net losses on Level 3 liabilities were $72.1 million for the three months ended February 28, 2021. Net gains on Level 3 assets were primarily due to increased market values across CDOs and CLOs, Other ABS, Investments at fair value, Loans and other receivables, RMBS and Corporate equity securities. Net losses on Level 3 liabilities were primarily due to increased valuations of certain derivatives and structured notes within long-term debt.

Three Months Ended February 29, 2020
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
February 29, 2020
For instruments still held at
February 29, 2020, changes in unrealized gains/(losses) included in:
Earnings (1) Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities $ 58,301 $ (8,195) $ 2,792 $ (1,934) $ 0 $ 0 $ 52,679 $ 103,643 $ (8,206) $ 0
Corporate debt securities 7,490 1,269 1,478 (503) (601) 0 15,957 25,090 879 0
CDOs and CLOs 20,081 (2,069) 17,594 (17,833) 0 0 3,179 20,952 (1,823) 0
RMBS 17,740 (280) 0 0 (3) 0 (487) 16,970 (250) 0
CMBS 6,110 (306) 0 0 (1,401) 0 (139) 4,264 571 0
Other ABS 42,563 (4,159) 81,323 (72,032) (1,974) 0 (3,818) 41,903 (3,797) 0
Loans and other receivables 64,240 (3,781) 12,940 (13,042) (7,087) 0 1,051 54,321 (5,109) 0
Investments at fair value 75,738 (20,392) 0 (76) 0 0 0 55,270 (20,392) 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 $ 291 $ (513) $ 0 $ 0 $ 0 $ 10 $ 4,275 $ 65 $ 0
Corporate debt securities 340 (189) (13,832) 14,079 369 0 0 767 (35) 0
CMBS 35 0 0 0 0 0 0 35 0 0
Loans 9,463 1 (9,872) 2,781 0 0 5,486 7,859 (1) 0
Net derivatives (2) 77,168 (17,528) (278) 5,627 192 0 45,662 110,843 17,460 0
Long-term debt 480,069 (9,016) 0 0 0 128,475 (56,065) 543,463 (5,590) 14,606

~~(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)~~

~~Analysis of Level 3 Assets and Liabilities for the Three Months Ended February 29, 2020~~

~~During the three months ended February 29, 2020, transfers of assets of $85.3 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:~~

•~~Corporate equity securities of $55.4 million, Corporate debt securities of $16.5 million and Loans and other receivables of $6.0 million due to reduced pricing transparency.~~

~~During the three months ended February 29, 2020, transfers of assets of $16.8 million from Level 3 to Level 2 are primarily attributed to:~~

•~~Other ABS of $6.3 million, Loans and other receivables of $4.9 million and Corporate equity securities of $2.7 million due to greater pricing transparency supporting classification into Level 2.~~

~~During the three months ended February 29, 2020, transfers of liabilities of $102.5 million from Level 2 to Level 3 of the fair value hierarchy are primarily attributed to:~~

•~~Net derivatives of $83.0 million and structured notes within long-term debt of $13.1 million due to reduced market and pricing transparency.~~

~~During the three months ended February 29, 2020, transfers of liabilities of $107.4 million from Level 3 to Level 2 of the fair value hierarchy are primarily attributed to:~~

•~~Structured notes within long-term debt of $69.1 million and net derivatives of $37.3 million due to greater market transparency.~~

Net losses on Level 3 assets were $37.9 million and net gains on Level 3 liabilities were $26.4 million for the three months ended February 29, 2020. Net losses on Level 3 assets were primarily due to decreased market values across Investments at fair value, Corporate equity securities, other ABS and Loans and other receivables. Net gains on Level 3 liabilities were primarily due to decreased market values across certain derivatives and valuations of certain structured notes within long-term debt.

Quantitative Information about Significant Unobservable Inputs used in Level 3 Fair Value Measurements at February 28, ~~2021~~2022 and November 30, ~~2020~~2021

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.

Table of Contents

JEFFERIES GROUP LLC AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

February 28, 2021
Financial Instruments Owned: Fair Value
(in thousands) Valuation Technique Significant Unobservable Input(s) Input / Range Weighted
Average
Corporate equity securities $ 83,278
Non-exchange traded securities Market approach Price $1 - $213 $76
EBITDA multiple 8.0 —
Corporate debt securities $ 6,811 Scenario analysis Estimated recovery percentage 20 % - 44% 30%
CDOs and CLOs $ 24,806 Discounted cash flows Constant prepayment rate 8 % - 20% 19%
Constant default rate 2% —
Loss severity 25 % - 35% 26%
Discount rate/yield 4 % - 21% 16%
RMBS $ 21,692 Discounted cash flows Discount rate/yield 3 % - 4% 3%
Cumulative loss rate 3% —
Duration (years) 3.0 - 5.5 4.9
Loss severity 35% —
CMBS $ 2,671 Discounted cash flows Loss severity 65% —
Discount rate/yield 16% —
Cumulative loss rate 10% —
Duration (years) 0.2 —
Other ABS $ 60,594 Discounted cash flows Discount rate/yield 3 % - 14% 9%
Cumulative loss rate 8 % - 19% 13%
Duration (years) 0.9 - 2.0 1.5
Market approach Price $100 —
Loans and other receivables $ 79,055 Market approach Price $31 - $101 $83
Scenario analysis Estimated recovery percentage 0 % - 100% 41%
Derivatives $ 38,014
Equity options Volatility benchmarking Volatility 41 % - 57% 54%
Interest rate swaps Market approach Basis points upfront 0.7 - 6.4 3.3
Investments at fair value $ 45,472
Private equity securities Market approach Price $6 - $169 $53
Scenario analysis Estimated recovery percentage 17% —
Financial Instruments Sold, Not Yet Purchased:
Corporate equity securities $ 4,443 Market approach Price $1 —
Corporate debt securities $ 1,571 Scenario analysis Estimated recovery percentage 20% —
Loans $ 14,916 Market approach Price $31 - $50 $35
Scenario analysis Estimated recovery percentage 5% —
Derivatives $ 344,903
Equity options Volatility benchmarking Volatility 29 % - 62% 46%
Interest rate swaps Market approach Basis points upfront 0.7 - 6.4 3.5
Other secured financings $ 2,168 Scenario analysis Estimated recovery percentage 19 % - 100% 61%
Long-term debt
Structured notes $ 723,115 Market approach Price $104 0
Price €82 - €112 €102


February 28, 2022
Financial Instruments Owned:	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input / Range				Weighted Average
Corporate equity securities	$	107,769
Non-exchange-traded securities			Market approach	Price	$0		-	$344	$141
Corporate debt securities	$	42,358	Market approach	Price	$13		-	$100	$91
				EBITDA multiple	3.4				—
CDOs and CLOs	$	45,219	Discounted cash flows	Constant prepayment rate	20%				—
				Constant default rate	2%				—
				Loss severity	25	%	-	70%	38%
				Discount rate/yield	4	%	-	18%	13%
			Market approach	Price	$73		-	$102	$93




CMBS	$	3,732	Market approach	Price	$600				—
			Scenario analysis	Estimated recovery percentage	81%				—


Other ABS	$	46,733	Discounted cash flows	Constant prepayment rate	0	%	-	9%	4%
				Constant default rate	2%				—
				Loss severity	50	%	-	88%	72%
				Discount rate/yield	1	%	-	23%	15%
				Cumulative loss rate	8	%	-	18%	14%
				Duration (years)	1.2		-	7.0	5.0
			Market approach	Price	$37				—
Loans and other receivables	$	136,716	Market approach	Price	$29		-	$102	$89

			Scenario analysis	Estimated recovery percentage	5	%	-	94%	33%
Derivatives	$	4,762
Equity options			Volatility benchmarking	Volatility	41%				—
Interest rate swaps			Market approach	Basis points upfront	0.0		-	8.7	4.4
Total return swaps				Price	$101				—
Investments at fair value	$	113,164
Private equity securities			Market approach	Price	$1		-	$15,852	$549
Financial Instruments Sold, Not Yet Purchased:
Corporate equity securities	$	5,666
Non-exchange-traded securities			Market approach	Price	$1				—

Loans	$	11,541	Market approach	Price	$98				—
			Scenario analysis	Estimated recovery percentage	5%				—
Derivatives	$	56,329
Equity options			Volatility benchmarking	Volatility	30	%	-	57%	45%
Interest rate swaps			Market approach	Basis points upfront	0.7		-	17.5	8.8
Total return swaps				Price	$101				—
Other secured financings	$	32,377	Scenario analysis	Estimated recovery percentage	13	%	-	36%	29%
			Market approach	Price	$87				—
Long-term debt
Structured notes	$	794,460	Market approach	Price	$66		-	$106	$83
				Price	€73		-	€106	€93

Table of Contents

JEFFERIES GROUP LLC AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)


November 30, 2020
November 30, 2021											November 30, 2021
Financial Instruments Owned	Financial Instruments Owned	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input / Range				Weighted Average	Financial Instruments Owned	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input / Range				Weighted Average
Corporate equity securities	Corporate equity securities	$	75,409								Corporate equity securities	$	75,694
Non-exchange-traded securities	Non-exchange-traded securities			Market approach	Price	$1		-	$213	$86	Non-exchange-traded securities			Market approach	Price	$1		-	$366	$208
					EBITDA multiple	4.0		-	8.0	5.7
Corporate debt securities	Corporate debt securities	$	23,146	Market approach	Price	$69				—	Corporate debt securities	$	11,803	Market approach	Price	$13		-	$100	$86
				Scenario analysis	Estimated recovery percentage	20	%	-	44%	30%
CDOs and CLOs	CDOs and CLOs	$	10,513	Discounted cash flows	Constant prepayment rate	20%				—	CDOs and CLOs	$	31,944	Discounted cash flows	Constant prepayment rate	20%				—
					Constant default rate	2%				—					Constant default rate	2%				—
					Loss severity	25	%	-	30%	26%					Loss severity	25	%	-	30%	26%
					Discount rate/yield	14	%	-	28%	20%					Discount rate/yield	8	%	-	19%	16%
RMBS		$	21,826	Discounted cash flows	Cumulative loss rate	2	%	-	3%	3%
														Market approach	Price	$86		-	$103	$93
CMBS											CMBS	$	2,333	Scenario analysis	Estimated recovery percentage	81%				—
Other ABS											Other ABS	$	86,099	Discounted cash flows	Constant prepayment rate	0	%	-	35%	31%
					Loss severity	35	%	-	50%	36%					Constant default rate	2	%	-	4%	4%
					Duration (years)	2.0		-	12.9	5.1					Loss severity	60	%	-	85%	55%
					Discount rate/yield	3	%	-	12%	4%
Other ABS		$	67,816	Discounted cash flows	Cumulative loss rate	1	%	-	28%	11%
					Loss severity	50	%	-	85%	54%					Discount rate/yield	3	%	-	16%	10%
					Duration (years)	0.2		-	2.1	1.3					Cumulative loss rate	7	%	-	20%	14%
					Discount rate/yield	1	%	-	16%	9%					Duration (years)	0.7		-	1.4	1.1
				Market approach	Price	$100				—				Market approach	Price	$37		-	$100	$94
Loans and other receivables	Loans and other receivables	$	76,046	Market approach	Price	$31		-	$100	$84	Loans and other receivables	$	73,361	Market approach	Price	$31		-	$101	$54
				Scenario analysis	Estimated recovery percentage	19	%	-	100%	52%				Scenario analysis	Estimated recovery percentage	9	%	-	100%	42%
Derivatives	Derivatives	$	19,951								Derivatives	$	6,501
Equity options	Equity options			Volatility benchmarking	Volatility	47%				—	Equity options			Volatility benchmarking	Volatility	46%				—
Interest rate swaps	Interest rate swaps			Market approach	Basis points upfront	1.2		-	8.0	4.8	Interest rate swaps			Market approach	Basis points upfront	0.1		-	8.7	3.3
Total return swaps											Total return swaps				Price	$100				—
Investments at fair value	Investments at fair value	$	67,108								Investments at fair value	$	34,557
Private equity securities	Private equity securities			Market approach	Price	$1		-	$169	$34	Private equity securities			Market approach	Price	$1		-	$152	$48
				Scenario analysis	Estimated recovery percentage	17%				—				Scenario analysis	Estimated recovery percentage	7%				—
Financial Instruments Sold, Not Yet Purchased:	Financial Instruments Sold, Not Yet Purchased:										Financial Instruments Sold, Not Yet Purchased:
Corporate equity securities	Corporate equity securities	$	4,434	Market approach	Price	$1				—	Corporate equity securities	$	4,635
Corporate debt securities		$	141	Scenario analysis	Estimated recovery percentage	20%				—
Non-exchange-traded securities											Non-exchange-traded securities			Market approach	Price	$1				—
Loans	Loans	$	16,635	Market approach	Price	$31		-	$99	$55	Loans	$	15,770	Market approach	Price	$31		-	$100	$43
														Scenario analysis	Estimated recovery percentage	50%				—
Derivatives	Derivatives	$	46,971								Derivatives	$	76,533
Equity options	Equity options			Volatility benchmarking	Volatility	33	%	-	50%	42%	Equity options			Volatility benchmarking	Volatility	26	%	-	77%	40%
Interest rate swaps	Interest rate swaps			Market approach	Basis points upfront	1.2		-	8.0	5.4	Interest rate swaps			Market approach	Basis points upfront	0.1		-	8.7	3.1
Total return swaps											Total return swaps				Price	$100				—
Other secured financings	Other secured financings	$	1,543	Scenario analysis	Estimated recovery percentage	19	%	-	55%	45%	Other secured financings	$	25,905	Scenario analysis	Estimated recovery percentage	13	%	-	98%	92%
Long-term debt	Long-term debt										Long-term debt
Structured notes	Structured notes	$	676,028	Market approach	Price	$100				0	Structured notes	$	881,732	Market approach	Price	$76		-	$115	$94
					Price	€76		-	€113	€99					Price	€81		-	€113	€103

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 February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, asset exclusions consisted of ~~$2.5~~$39.5 million and ~~$17.3~~$14.3 million, respectively, primarily comprised of ~~CDOs and CLOS,~~ other ABS, private equity securities, sovereign obligations, RMBS, CMBS, certain derivatives, loans and other receivables and corporate equity securities. At February 28, 2022 and November 30, ~~2020,~~2021, liability exclusions consisted of ~~$0.8~~$13.4 million and $2.2 million, respectively, primarily comprised of certain derivatives, sovereign obligations, corporate debt securities 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, CMBS, loans and other receivables, other ABS, private equity securities, certain derivatives, other secured financings 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 ~~equity~~debt securities, CDOs and ~~debt securities,~~CLOs, CMBS, other ABS, loans and other receivables, total return swaps, other secured financings 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~~debt securities would result in a significantly higher (lower) 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 interest rate swaps.

•Loans and other receivables, ~~corporate debt securities,~~CMBS, 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.

•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 –~~ Receivables—Brokers, dealers and clearing organizations, ~~Receivables –~~ Receivables—Customers, ~~Receivables –~~ Receivables—Fees, interest and other, ~~Payables –~~ Payables—Brokers, dealers and clearing organizations and ~~Payables –~~ 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.~~nature, except for our automobile loans. See Note 2, Summary of Significant Accounting Policies, for further details on our automobile loans.

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


		Three Months Ended				Three Months Ended February 28,
		February 28, 2021		February 29, 2020				2022		2021
Financial instruments owned:	Financial instruments owned:						Financial instruments owned:
Loans and other receivables	Loans and other receivables	$	10,696	$	1,739		Loans and other receivables	$	(2,287)	$	10,696
Financial instruments sold, not yet purchased:	Financial instruments sold, not yet purchased:						Financial instruments sold, not yet purchased:
Loans	Loans	$	0	$	(610)		Loans	$	1,548	$	—
Loan commitments		0		(661)
Short-term borrowings:
Changes in instrument specific credit risk (1)		$	0	$	57
Other changes in fair value (2)		0		12

Long-term debt:	Long-term debt:						Long-term debt:
Changes in instrument specific credit risk (1)		$	(91,982)	$	29,432
Changes in instrument-specific credit risk (1)							Changes in instrument-specific credit risk (1)	$	51,248	$	(91,982)
Other changes in fair value (2)	Other changes in fair value (2)	80,819		(37,642)			Other changes in fair value (2)	94,551		80,819

(1)Changes in ~~instrument specific~~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~~Other secured financings and ~~long-term~~Long-term debt measured at fair value under the fair value option (in thousands):


		February 28, 2021		November 30, 2020			February 28, 2022		November 30, 2021
Financial instruments owned:	Financial instruments owned:					Financial instruments owned:
Loans and other receivables (1)	Loans and other receivables (1)	$	5,826,957	$	1,662,647	Loans and other receivables (1)	$	5,533,863	$	5,600,648
Loans and other receivables on nonaccrual status and/or 90 days or greater past due (1) (2)	Loans and other receivables on nonaccrual status and/or 90 days or greater past due (1) (2)	252,790		287,889		Loans and other receivables on nonaccrual status and/or 90 days or greater past due (1) (2)	51,601		64,203
Long-term debt and short-term borrowings		(53,138)		(42,819)
Long-term debt						Long-term debt	107,282		(38,391)
Other secured financings	Other secured financings	2,782		2,782		Other secured financings	3,432		3,432

(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 ~~$30.2~~$16.8 million and ~~$30.0~~$19.7 million at February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, respectively.

The aggregate fair value of loans and other receivables on nonaccrual status and/or 90 days or greater past due was ~~$5.4~~$42.0 million and ~~$69.7~~$56.9 million at February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, respectively, which includes loans and other receivables 90 days or greater past due of ~~$4.1~~$11.9 million and ~~$3.8~~$23.5 million at February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, 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 $118.5 million and $34.2 million at February 28, 2021 and November 30, 2020, respectively.

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Note 5.4. 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) interest rate swaps that have been designated as fair value 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 4,3, Fair Value Disclosures, and Note ~~16,~~15, 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, ~~2020~~2021 for additional information regarding the offsetting of derivative contracts.

The following tables present the fair value and related number of derivative contracts at February 28, ~~2021~~2022 and November 30, ~~2020~~2021 categorized by type of derivative contract and the platform on which these derivatives are transacted. The fair value of assets/liabilities represents our receivable/payable for derivative financial instruments, gross of counterparty netting and cash collateral received and pledged. The following tables also provide information regarding 1) the extent to which, under enforceable master netting arrangements, such balances are presented net in 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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		February 28, 2021 (1)							February 28, 2022 (1)
		Assets			Liabilities				Assets			Liabilities
		Fair Value		Number of Contracts (2)	Fair Value		Number of Contracts (2)		Fair Value		Number of Contracts (2)	Fair Value		Number of Contracts (2)
Derivatives designated as accounting hedges:	Derivatives designated as accounting hedges:							Derivatives designated as accounting hedges:
Interest rate contracts:	Interest rate contracts:							Interest rate contracts:

Cleared OTC	Cleared OTC	$	45,638	1	$	32,653	1	Cleared OTC	$	13,714	1	$	56,705	2

Foreign exchange contracts:	Foreign exchange contracts:							Foreign exchange contracts:
Bilateral OTC	Bilateral OTC	0		0	45,420		18	Bilateral OTC	19,524		4	—		—
Total derivatives designated as accounting hedges	Total derivatives designated as accounting hedges	45,638			78,073			Total derivatives designated as accounting hedges	33,238			56,705

Derivatives not designated as accounting hedges:	Derivatives not designated as accounting hedges:							Derivatives not designated as accounting hedges:
Interest rate contracts:	Interest rate contracts:							Interest rate contracts:
Exchange-traded	Exchange-traded	2,626		46,454	2,305		16,056	Exchange-traded	3,787		32,961	2,896		75,002
Cleared OTC	Cleared OTC	404,775		4,746	305,691		4,364	Cleared OTC	1,110,870		3,824	1,038,884		3,865
Bilateral OTC	Bilateral OTC	489,918		660	450,254		1,491	Bilateral OTC	336,238		791	434,723		958
Foreign exchange contracts:	Foreign exchange contracts:							Foreign exchange contracts:
Exchange-traded		0		0	0		195

Bilateral OTC	Bilateral OTC	470,949		18,733	450,054		18,609	Bilateral OTC	869,171		15,664	858,003		15,520
Equity contracts:	Equity contracts:							Equity contracts:
Exchange-traded	Exchange-traded	1,185,344		951,246	1,220,922		845,486	Exchange-traded	935,862		1,706,804	715,512		1,589,013
Bilateral OTC	Bilateral OTC	495,951		2,435	1,529,978		2,487	Bilateral OTC	293,800		6,084	1,174,659		6,263
Commodity contracts:	Commodity contracts:							Commodity contracts:
Exchange-traded	Exchange-traded	304		3,057	0		2,070	Exchange-traded	78		1,931	30		1,860

Bilateral OTC		0		1	0		0

Credit contracts:	Credit contracts:							Credit contracts:
Cleared OTC	Cleared OTC	34,377		80	36,129		56	Cleared OTC	93,487		131	103,708		140
Bilateral OTC	Bilateral OTC	4,648		13	8,635		15	Bilateral OTC	6,806		14	12,274		14
Total derivatives not designated as accounting hedges	Total derivatives not designated as accounting hedges	3,088,892			4,003,968			Total derivatives not designated as accounting hedges	3,650,099			4,340,689
Total gross derivative assets/ liabilities:	Total gross derivative assets/ liabilities:							Total gross derivative assets/ liabilities:
Exchange-traded	Exchange-traded	1,188,274			1,223,227			Exchange-traded	939,727			718,438
Cleared OTC	Cleared OTC	484,790			374,473			Cleared OTC	1,218,071			1,199,297
Bilateral OTC	Bilateral OTC	1,461,466			2,484,341			Bilateral OTC	1,525,539			2,479,659
Amounts offset in our Consolidated Statements of Financial Condition (3):	Amounts offset in our Consolidated Statements of Financial Condition (3):							Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	Exchange-traded	(1,137,116)			(1,137,116)			Exchange-traded	(716,499)			(716,499)
Cleared OTC	Cleared OTC	(372,819)			(374,358)			Cleared OTC	(1,189,030)			(1,199,297)
Bilateral OTC	Bilateral OTC	(1,094,672)			(1,485,629)			Bilateral OTC	(1,340,355)			(1,569,533)
Net amounts per Consolidated Statements of Financial Condition (4)	Net amounts per Consolidated Statements of Financial Condition (4)	$	529,923		$	1,084,938		Net amounts per Consolidated Statements of Financial Condition (4)	$	437,453		$	912,065

(1)Exchange-traded derivatives include derivatives executed on an organized exchange. Cleared OTC derivatives include derivatives executed bilaterally and subsequently novated to and cleared through central clearing counterparties. Bilateral OTC derivatives include derivatives executed and settled bilaterally without the use of an organized exchange or central clearing counterparty.

(2)Number of exchange-traded contracts may include open futures contracts. The unsettled fair value of these futures contracts is included in Receivables from/Payables to brokers, dealers and clearing organizations in our Consolidated Statements of Financial Condition.

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

(4)We have not received or pledged additional collateral under master netting agreements and/or other credit support agreements that is eligible to be offset beyond what has been offset in our Consolidated Statements of Financial Condition.

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		November 30, 2020 (1)							November 30, 2021 (1)
		Assets			Liabilities				Assets			Liabilities
		Fair Value		Number of Contracts (2)	Fair Value		Number of Contracts (2)		Fair Value		Number of Contracts (2)	Fair Value		Number of Contracts (2)
Derivatives designated as accounting hedges:	Derivatives designated as accounting hedges:							Derivatives designated as accounting hedges:
Interest rate contracts:	Interest rate contracts:							Interest rate contracts:
Cleared OTC	Cleared OTC	$	67,381	1	$	6,891	1	Cleared OTC	$	35,726	2	$	32,200	1
Foreign exchange contracts:	Foreign exchange contracts:							Foreign exchange contracts:
Bilateral OTC	Bilateral OTC	0		0	3,306		11	Bilateral OTC	30,462		4	—		—
Total derivatives designated as accounting hedges	Total derivatives designated as accounting hedges	67,381			10,197			Total derivatives designated as accounting hedges	66,188			32,200

Derivatives not designated as accounting hedges:	Derivatives not designated as accounting hedges:							Derivatives not designated as accounting hedges:
Interest rate contracts:	Interest rate contracts:							Interest rate contracts:
Exchange-traded	Exchange-traded	2,442		52,620	439		42,611	Exchange-traded	1,262		23,888	756		39,195
Cleared OTC	Cleared OTC	17,379		3,785	114,524		4,307	Cleared OTC	373,355		4,505	367,134		4,467
Bilateral OTC	Bilateral OTC	626,210		1,493	317,534		466	Bilateral OTC	322,353		1,037	283,481		967
Foreign exchange contracts:	Foreign exchange contracts:							Foreign exchange contracts:
Exchange-traded		0		0	0		180

Bilateral OTC	Bilateral OTC	297,165		15,005	277,628		15,049	Bilateral OTC	1,428,712		17,792	1,437,116		17,576
Equity contracts:	Equity contracts:							Equity contracts:
Exchange-traded	Exchange-traded	558,304		1,147,486	564,951		971,938	Exchange-traded	1,206,606		1,582,713	1,036,019		1,450,624
Bilateral OTC	Bilateral OTC	429,304		2,374	1,125,944		2,421	Bilateral OTC	377,132		2,888	1,824,418		2,682
Commodity contracts:	Commodity contracts:							Commodity contracts:
Exchange-traded	Exchange-traded	64		3,207	0		2,654	Exchange-traded	448		1,394	223		1,457

Bilateral OTC								Bilateral OTC	—		1	—		—
Credit contracts:	Credit contracts:							Credit contracts:
Cleared OTC	Cleared OTC	24,696		39	26,298		31	Cleared OTC	84,180		132	108,999		128
Bilateral OTC	Bilateral OTC	1,008		11	2,209		11	Bilateral OTC	13,289		14	14,168		17
Total derivatives not designated as accounting hedges	Total derivatives not designated as accounting hedges	1,956,572			2,429,527			Total derivatives not designated as accounting hedges	3,807,337			5,072,314
Total gross derivative assets/liabilities:	Total gross derivative assets/liabilities:							Total gross derivative assets/liabilities:
Exchange-traded	Exchange-traded	560,810			565,390			Exchange-traded	1,208,316			1,036,998
Cleared OTC	Cleared OTC	109,456			147,713			Cleared OTC	493,261			508,333
Bilateral OTC	Bilateral OTC	1,353,687			1,726,621			Bilateral OTC	2,171,948			3,559,183
Amounts offset in our Consolidated Statements of Financial Condition (3):	Amounts offset in our Consolidated Statements of Financial Condition (3):							Amounts offset in our Consolidated Statements of Financial Condition (3):
Exchange-traded	Exchange-traded	(546,989)			(546,989)			Exchange-traded	(1,008,091)			(1,008,091)
Cleared OTC	Cleared OTC	(109,228)			(111,654)			Cleared OTC	(483,339)			(508,333)
Bilateral OTC	Bilateral OTC	(899,919)			(1,140,016)			Bilateral OTC	(1,813,136)			(2,184,586)
Net amounts per Consolidated Statements of Financial Condition (4)	Net amounts per Consolidated Statements of Financial Condition (4)	$	467,817		$	641,065		Net amounts per Consolidated Statements of Financial Condition (4)	$	568,959		$	1,403,504

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

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


		Three Months Ended					Three Months Ended February 28,
Gains (Losses)	Gains (Losses)	February 28, 2021		February 29, 2020		Gains (Losses)	2022		2021

Interest rate swaps	Interest rate swaps	$	(43,791)	$	24,465	Interest rate swaps	$	(43,998)	$	(43,791)
Long-term debt	Long-term debt	46,811		(24,867)		Long-term debt	50,542		46,811
Total	Total	$	3,020	$	(402)	Total	$	6,544	$	3,020

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


		Three Months Ended
Gains (Losses)		February 28, 2021		February 29, 2020

							Three Months Ended February 28,
(Losses)						(Losses)	2022		2021
Foreign exchange contracts	Foreign exchange contracts	$	(41,500)	$	0	Foreign exchange contracts	$	(10,938)	$	(41,500)

Total	Total	$	(41,500)	$	0	Total	$	(10,938)	$	(41,500)

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 February 28,
		Three Months Ended
Gains (Losses)	Gains (Losses)	February 28, 2021		February 29, 2020		Gains (Losses)	2022		2021

Interest rate contracts	Interest rate contracts	$	(42,124)	$	(1,089)	Interest rate contracts	$	(41,592)	$	(42,124)
Foreign exchange contracts	Foreign exchange contracts	47,030		(2,900)		Foreign exchange contracts	2,624		47,030
Equity contracts	Equity contracts	(89,697)		136,888		Equity contracts	210,937		(89,697)
Commodity contracts	Commodity contracts	809		(6,072)		Commodity contracts	(1,808)		809
Credit contracts	Credit contracts	821		1,830		Credit contracts	4,432		821
Total	Total	$	(83,161)	$	128,657	Total	$	174,593	$	(83,161)

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

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OTC Derivatives. The following tables set forth by remaining contract maturity the fair value of OTC derivative assets and liabilities at February 28, ~~2021~~2022 (in thousands):


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

Equity options and forwards	Equity options and forwards	$	29,936	$	1,526	$	13,544	$	(20,365)	$	24,641	Equity options and forwards	$	10,211	$	2,998	$	—	$	(4,086)	$	9,123
Credit default swaps	Credit default swaps	2		759		0		0		761		Credit default swaps	—		15		—		—		15
Total return swaps	Total return swaps	130,651		16,711		0		(4,147)		143,215		Total return swaps	80,255		44,438		158		(8,263)		116,588
Foreign currency forwards, swaps and options	Foreign currency forwards, swaps and options	85,919		13,318		0		(5,524)		93,713		Foreign currency forwards, swaps and options	339,685		4,081		—		(4,111)		339,655

Fixed income forwards												Fixed income forwards	5,285		—		—		—		5,285
Interest rate swaps, options and forwards	Interest rate swaps, options and forwards	163,707		138,245		154,279		(29,567)		426,664		Interest rate swaps, options and forwards	59,302		155,998		84,286		(45,314)		254,272
Total	Total	$	410,215	$	170,559	$	167,823	$	(59,603)	688,994		Total	$	494,738	$	207,530	$	84,444	$	(61,774)	724,938
Cross product counterparty netting	Cross product counterparty netting									(24,263)		Cross product counterparty netting									(8,869)
Total OTC derivative assets included in Financial instruments owned	Total OTC derivative assets included in Financial instruments owned									$	664,731	Total OTC derivative assets included in Financial instruments owned									$	716,069

(1)At February 28, ~~2021,~~2022, we held net exchange-traded derivative assets and other credit agreements with a fair value of ~~$61.4~~$226.9 million, which are not included in this table.

(2)OTC derivative assets in the table above are gross of collateral received. OTC derivative assets are recorded net of collateral received in our Consolidated Statements of Financial Condition. At February 28, ~~2021,~~2022, cash collateral received was ~~$196.2~~$505.5 million.

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

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


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

Equity options and forwards	Equity options and forwards	$	19,834	$	522,218	$	143,586	$	(20,365)	$	665,273	Equity options and forwards	$	9,871	$	534,211	$	33,407	$	(4,086)	$	573,403
Credit default swaps	Credit default swaps	20		3,530		0		0		3,550		Credit default swaps	—		10,236		—		—		10,236
Total return swaps	Total return swaps	152,604		382,556		1,641		(4,147)		532,654		Total return swaps	124,832		324,482		—		(8,263)		441,051
Foreign currency forwards, swaps and options	Foreign currency forwards, swaps and options	114,279		8,811		0		(5,524)		117,566		Foreign currency forwards, swaps and options	307,174		5,271		—		(4,111)		308,334
Fixed income forwards	Fixed income forwards	5,359		0		0		0		5,359		Fixed income forwards	2,879		—		—		—		2,879
Interest rate swaps, options and forwards	Interest rate swaps, options and forwards	140,177		56,586		114,364		(29,567)		281,560		Interest rate swaps, options and forwards	43,259		124,965		200,069		(45,314)		322,979
Total	Total	$	432,273	$	973,701	$	259,591	$	(59,603)	1,605,962		Total	$	488,015	$	999,165	$	233,476	$	(61,774)	1,658,882
Cross product counterparty netting	Cross product counterparty netting									(24,263)		Cross product counterparty netting									(8,869)
Total OTC derivative liabilities included in Financial instruments sold, not yet purchased	Total OTC derivative liabilities included in Financial instruments sold, not yet purchased									$	1,581,699	Total OTC derivative liabilities included in Financial instruments sold, not yet purchased									$	1,650,013

(1)At February 28, ~~2021,~~2022, we held net exchange-traded derivative liabilities and other credit agreements with a fair value of ~~$91.9~~$7.0 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 February 28, ~~2021,~~2022, cash collateral pledged was ~~$588.7~~$744.9 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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The following table presents the counterparty credit quality with respect to the fair value of our OTC derivative assets at February 28, ~~2021~~2022 (in thousands):


Counterparty credit quality (1):
A- or higher	$	~~162,505~~467,918
BBB- to BBB+	~~38,774~~15,109
BB+ or lower	~~201,073~~119,477
Unrated	~~262,379~~113,565
Total	$	~~664,731~~716,069

(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):


		February 28, 2021									February 28, 2022
		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:									Credit protection sold:
Index credit default swaps	Index credit default swaps	$	921.0	$	459.0	$	0	$	1,380.0	Index credit default swaps	$	2,674.4	$	1,262.8	$	—	$	3,937.2
Single name credit default swaps	Single name credit default swaps	87.2		6.2		0.2		93.6		Single name credit default swaps	—		—		0.2		0.2


		November 30, 2020									November 30, 2021
		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:									Credit protection sold:
Index credit default swaps	Index credit default swaps	$	62.0	$	262.8	$	0	$	324.8	Index credit default swaps	$	2,612.0	$	1,298.8	$	—	$	3,910.8
Single name credit default swaps	Single name credit default swaps	0		6.2		0.2		6.4		Single name credit default swaps	—		17.6		0.2		17.8

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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):


		February 28, 2021		November 30, 2020			February 28, 2022		November 30, 2021
Derivative instrument liabilities with credit-risk-related contingent features	Derivative instrument liabilities with credit-risk-related contingent features	$	464.6	$	284.6	Derivative instrument liabilities with credit-risk-related contingent features	$	642.0	$	821.5
Collateral posted	Collateral posted	(33.0)		(129.8)		Collateral posted	(313.7)		(160.5)
Collateral received	Collateral received	244.1		141.4		Collateral received	117.6		369.3
Return of and additional collateral required in the event of a credit rating downgrade below investment grade (1)	Return of and additional collateral required in the event of a credit rating downgrade below investment grade (1)	675.7		296.2		Return of and additional collateral required in the event of a credit rating downgrade below investment grade (1)	446.0		1,030.4

(1)These potential outflows include initial margin received from counterparties at the execution of the derivative contract. The initial margin will be returned if counterparties elect to terminate the contract after a downgrade.

Note 6.5. 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.

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

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	February 28, 2022
	Securities Lending Arrangements		Repurchase Agreements		Obligation to Return Securities Received as Collateral, at Fair Value		Total
Collateral Pledged:
Corporate equity securities	$	1,431,940	$	429,316	$	973	$	1,862,229
Corporate debt securities	347,323		2,521,386		—		2,868,709
Mortgage-backed and asset-backed securities	—		1,869,580		—		1,869,580
U.S. government and federal agency securities	21,530		9,787,873		—		9,809,403
Municipal securities	—		294,824		—		294,824
Sovereign obligations	8,103		3,493,773		—		3,501,876
Loans and other receivables	—		905,073		—		905,073
Total	$	1,808,896	$	19,301,825	$	973	$	21,111,694

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February 28, 2021
Securities Lending Arrangements Repurchase Agreements Total
Collateral Pledged:
Corporate equity securities $ 2,067,474 $ 245,823 $ 2,313,297
Corporate debt securities 372,966 2,113,427 2,486,393
Mortgage-backed and asset-backed securities 0 1,378,273 1,378,273
U.S. government and federal agency securities 20,353 9,417,370 9,437,723
Municipal securities 0 138,344 138,344
Sovereign obligations 58,284 2,584,304 2,642,588
Loans and other receivables 0 981,487 981,487
Total $ 2,519,077 $ 16,859,028 $ 19,378,105


		November 30, 2020									November 30, 2021
		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:									Collateral Pledged:
Corporate equity securities	Corporate equity securities	$	1,371,978	$	157,912	$	7,517	$	1,537,407	Corporate equity securities	$	1,160,916	$	150,602	$	7,289	$	1,318,807
Corporate debt securities	Corporate debt securities	369,218		1,869,844		0		2,239,062		Corporate debt securities	321,356		2,684,458		—		3,005,814
Mortgage-backed and asset-backed securities	Mortgage-backed and asset-backed securities	0		1,547,140		0		1,547,140		Mortgage-backed and asset-backed securities	—		1,209,442		—		1,209,442
U.S. government and federal agency securities	U.S. government and federal agency securities	14,789		7,149,992		0		7,164,781		U.S. government and federal agency securities	6,348		8,426,536		—		8,432,884
Municipal securities	Municipal securities	0		278,470		0		278,470		Municipal securities	—		413,073		—		413,073
Sovereign obligations	Sovereign obligations	54,763		2,763,032		0		2,817,795		Sovereign obligations	37,101		2,422,901		—		2,460,002
Loans and other receivables	Loans and other receivables	0		1,392,883		0		1,392,883		Loans and other receivables	—		712,388		—		712,388
Total	Total	$	1,810,748	$	15,159,273	$	7,517	$	16,977,538	Total	$	1,525,721	$	16,019,400	$	7,289	$	17,552,410

February 28, 2021
Overnight and Continuous Up to 30 Days 31-90 Days Greater than 90 Days Total
Securities lending arrangements $ 1,080,237 $ 0 $ 482,281 $ 956,559 $ 2,519,077
Repurchase agreements 7,711,109 3,146,550 3,313,696 2,687,673 16,859,028
Total $ 8,791,346 $ 3,146,550 $ 3,795,977 $ 3,644,232 $ 19,378,105


		November 30, 2020											February 28, 2022
		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	Securities lending arrangements	$	636,256	$	59,735	$	459,455	$	655,302	$	1,810,748	Securities lending arrangements	$	973,963	$	—	$	292,966	$	541,967	$	1,808,896
Repurchase agreements	Repurchase agreements	5,510,476		1,747,526		5,019,885		2,881,386		15,159,273		Repurchase agreements	10,491,946		2,288,295		2,686,587		3,834,997		19,301,825
Obligation to return securities received as collateral, at fair value	Obligation to return securities received as collateral, at fair value	7,517		0		0		0		7,517		Obligation to return securities received as collateral, at fair value	973		—		—		—		973
Total	Total	$	6,154,249	$	1,807,261	$	5,479,340	$	3,536,688	$	16,977,538	Total	$	11,466,882	$	2,288,295	$	2,979,553	$	4,376,964	$	21,111,694

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	November 30, 2021
	Overnight and Continuous		Up to 30 Days		31-90 Days		Greater than 90 Days		Total
Securities lending arrangements	$	595,628	$	1,318	$	539,623	$	389,152	$	1,525,721
Repurchase agreements	6,551,934		1,798,716		4,361,993		3,306,757		16,019,400
Obligation to return securities received as collateral, at fair value	7,289		—		—		—		7,289
Total	$	7,154,851	$	1,800,034	$	4,901,616	$	3,695,909	$	17,552,410

We receive securities as collateral under resale agreements, securities borrowing transactions and customer margin loans. We also receive securities as collateral in connection with securities-for-securities transactions in which we are the lender of securities. In many instances, we are permitted by contract to rehypothecate the securities received as collateral. These securities may be used to secure repurchase agreements, enter into securities lending transactions, satisfy margin requirements on derivative transactions or cover short positions. At February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, the approximate fair value of securities received as collateral by us that may be sold or repledged was ~~$32.8~~$34.59 billion and ~~$25.9~~$31.97 billion, respectively. At February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, a substantial portion of the securities received by us had been sold or repledged.

Offsetting of Securities Financing Agreements

To manage our exposure to credit risk associated with securities financing transactions, we may enter into master netting agreements and collateral arrangements with counterparties. Generally, transactions are executed under standard industry agreements, including, but not limited to, master securities lending agreements (securities lending transactions) and master repurchase agreements (repurchase transactions). See Note 2, Summary of Significant Accounting Policies, in our consolidated financial statements included in Part II, Item 8 of our Annual Report on Form 10-K for the year ended November 30, ~~2020~~2021 for additional information regarding the offsetting of securities financing agreements.

The following tables provide information regarding repurchase agreements, securities borrowing and lending arrangements and securities received as collateral, at fair value, and obligation to return securities received as collateral, at fair value, that are recognized in our Consolidated Statements of Financial Condition and 1) the extent to which, under enforceable master netting arrangements, such balances are presented net in our Consolidated Statements of Financial Condition as appropriate under U.S. GAAP and 2) the extent to which other rights of setoff associated with these arrangements exist and could have an effect on our financial position (in thousands).


		February 28, 2021													February 28, 2022
		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:													Assets:
Securities borrowing arrangements	Securities borrowing arrangements	$	7,150,657	$	0	$	7,150,657	$	(567,061)	$	(1,984,216)	$	4,599,380	Securities borrowing arrangements	$	7,110,757	$	—	$	7,110,757	$	(666,368)	$	(1,374,501)	$	5,069,888
Reverse repurchase agreements	Reverse repurchase agreements	16,331,676		(9,651,392)		6,680,284		(283,889)		(6,328,407)		67,988		Reverse repurchase agreements	16,925,395		(10,368,182)		6,557,213		(669,010)		(5,845,969)		42,234

Securities received as collateral, at fair value														Securities received as collateral, at fair value	973		—		973		—		(973)		—
Liabilities:	Liabilities:													Liabilities:
Securities lending arrangements	Securities lending arrangements	$	2,519,077	$	0	$	2,519,077	$	(567,061)	$	(1,908,973)	$	43,043	Securities lending arrangements	$	1,808,896	$	—	$	1,808,896	$	(666,368)	$	(1,091,177)	$	51,351
Repurchase agreements	Repurchase agreements	16,859,028		(9,651,392)		7,207,636		(283,889)		(6,408,994)		514,753		Repurchase agreements	19,301,825		(10,368,182)		8,933,643		(669,010)		(7,788,211)		476,422

Obligation to return securities received as collateral, at fair value														Obligation to return securities received as collateral, at fair value	973		—		973		—		(973)		—

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		November 30, 2020													November 30, 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 (4)			Gross Amounts		Netting in Consolidated Statement of Financial Condition		Net Amounts in Consolidated Statement of Financial Condition		Additional Amounts Available for Setoff (1)		Available Collateral (2)		Net Amount (4)
Assets:	Assets:													Assets:
Securities borrowing arrangements	Securities borrowing arrangements	$	6,934,762	$	0	$	6,934,762	$	(395,342)	$	(1,706,046)	$	4,833,374	Securities borrowing arrangements	$	6,409,420	$	—	$	6,409,420	$	(271,475)	$	(1,528,206)	$	4,609,739
Reverse repurchase agreements	Reverse repurchase agreements	11,939,773		(6,843,004)		5,096,769		(412,327)		(4,578,560)		105,882		Reverse repurchase agreements	15,215,785		(7,573,301)		7,642,484		(540,312)		(7,048,823)		53,349
Securities received as collateral, at fair value	Securities received as collateral, at fair value	7,517		0		7,517		0		0		7,517		Securities received as collateral, at fair value	7,289		—		7,289		—		(7,289)		—
Liabilities:	Liabilities:													Liabilities:
Securities lending arrangements	Securities lending arrangements	$	1,810,748	$	0	$	1,810,748	$	(395,342)	$	(1,397,550)	$	17,856	Securities lending arrangements	$	1,525,721	$	—	$	1,525,721	$	(271,475)	$	(1,213,563)	$	40,683
Repurchase agreements	Repurchase agreements	15,159,273		(6,843,004)		8,316,269		(412,327)		(7,122,422)		781,520		Repurchase agreements	16,019,400		(7,573,301)		8,446,099		(540,312)		(7,136,585)		769,202
Obligation to return securities received as collateral, at fair value	Obligation to return securities received as collateral, at fair value	7,517		0		7,517		0		0		7,517		Obligation to return securities received as collateral, at fair value	7,289		—		7,289		—		(7,289)		—

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

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

(3)Amounts include ~~$4,511.4 million~~$5.01 billion of securities borrowing arrangements for which we have received securities collateral of ~~$4,383.8 million,~~$4.87 billion, and ~~$505.0~~$470.0 million of repurchase agreements, for which we have pledged securities collateral of ~~$520.2~~$485.1 million, which are subject to master netting agreements, but we have not determined the agreements to be legally enforceable.

(4)Amounts include ~~$4,757.8 million~~$4.51 billion of securities borrowing arrangements for which we have received securities collateral of ~~$4,617.0 million,~~$4.35 billion, and ~~$720.0~~$765.0 million of repurchase agreements, for which we have pledged securities collateral of ~~$733.9~~$781.8 million, which are subject to master netting agreements, but we have not determined the agreements to be legally enforceable.

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

Cash and securities segregated in accordance with regulatory regulations and deposited with clearing and depository organizations totaled ~~$615.1~~$838.1 million and ~~$604.3 million~~$1.02 billion at February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, respectively. Segregated cash and securities consist of deposits in accordance with Rule 15c3-3 of the Securities Exchange Act of 1934, which subjects Jefferies LLC as a broker-dealer carrying customer accounts to requirements related to maintaining cash or qualified securities in segregated special reserve bank accounts for the exclusive benefit of its customers.

Other Assets

Restricted cash, which is comprised of cash reserve balances required by securitization agreements and cash collections associated with automobile loans pledged to warehouse credit facilities, is included in Other assets in our Consolidated Statement of Financial Condition at February 28, 2022. These restricted cash balances are held by trustees and are distributed monthly by the trustees per the various securitization and warehouse credit facility agreements. Restricted cash may also include amounts related to pre-funding arrangements put in place for securitizations, which are funds that remain in an escrow account managed by a trustee until we pledge additional automobile loans to meet the collateral requirements of the related notes, at which time the funds become available for our use.

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Note 7.6. Securitization Activities

We engage in securitization activities related to corporate loans, mortgage loans, consumer loans and mortgage-backed and other asset-backed securities. In our securitization transactions, we transfer these assets to special purpose entities (“SPEs”) and act as the placement or structuring agent for the beneficial interests sold to investors by the SPE. A significant portion of our securitization transactions are the securitization of assets issued or guaranteed by U.S. government agencies. These SPEs generally meet the criteria of VIEs; however, we generally do not consolidate the SPEs as we are not considered the primary beneficiary for these SPEs. See Note 8,7, Variable Interest Entities, for further discussion on VIEs and our determination of the primary beneficiary.

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~~(Unaudited)~~

We account for our securitization transactions as sales, provided we have relinquished control over the transferred assets. Transferred assets are carried at fair value with unrealized gains and losses reflected in Principal transactions revenues in our Consolidated Statements of Earnings prior to the identification and isolation for securitization. Subsequently, revenues recognized upon securitization are reflected as net underwriting revenues. We generally receive cash proceeds in connection with the transfer of assets to an SPE. We may, however, have continuing involvement with the transferred assets, which is limited to retaining one or more tranches of the securitization (primarily senior and subordinated debt securities in the form of mortgage-backed and other-asset backed securities or CLOs). These securities are included in Financial instruments owned, at fair value in our Consolidated Statements of Financial Condition and are generally initially categorized as Level 2 within the fair value hierarchy. For further information on fair value measurements and the fair value hierarchy, refer to Note 4,3, Fair Value Disclosures, herein, and Note 2, Summary of Significant Accounting Policies, in our consolidated financial statements included in Part II, Item 8 of our Annual Report on Form 10-K for the year ended November 30, ~~2020.~~2021.

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


		Three Months Ended				Three Months Ended February 28,
		February 28, 2021		February 29, 2020				2022		2021
Transferred assets	Transferred assets	$	3,583.5	$	2,334.6		Transferred assets	$	1,080.6	$	3,583.5
Proceeds on new securitizations	Proceeds on new securitizations	3,583.1		2,334.7			Proceeds on new securitizations	1,080.6		3,583.1
Cash flows received on retained interests	Cash flows received on retained interests	6.3		7.0			Cash flows received on retained interests	8.9		6.3

We have no explicit or implicit arrangements to provide additional financial support to these SPEs, have no liabilities related to these SPEs and do not have any outstanding derivative contracts executed in connection with these securitization activities at February 28, ~~2021~~2022 and November 30, ~~2020.~~2021.

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


		February 28, 2021				November 30, 2020					February 28, 2022				November 30, 2021
Securitization Type	Securitization Type	Total Assets		Retained Interests		Total Assets		Retained Interests		Securitization Type	Total Assets		Retained Interests		Total Assets		Retained Interests
U.S. government agency RMBS	U.S. government agency RMBS	$	505.5	$	6.8	$	562.5	$	7.8	U.S. government agency RMBS	$	278.4	$	4.9	$	330.2	$	4.9
U.S. government agency CMBS	U.S. government agency CMBS	2,051.0		102.3		2,461.2		205.2		U.S. government agency CMBS	1,842.3		54.0		2,201.8		69.2
CLOs	CLOs	5,712.5		70.2		3,345.5		39.5		CLOs	3,984.1		31.7		3,382.3		31.0
Consumer and other loans	Consumer and other loans	1,428.9		77.8		1,290.6		56.6		Consumer and other loans	2,541.2		141.7		2,271.4		136.4

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

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Although not obligated, in connection with secondary market-making activities we may make a market in the securities issued by these SPEs. In these market-making transactions, we buy these securities from and sell these securities to investors. Securities purchased through these market-making activities are not considered to be continuing involvement in these SPEs. To the extent we purchased securities through these market-making activities and we are not deemed to be the primary beneficiary of the VIE, these securities are included in agency and non-agency mortgage-backed and asset-backed securitizations in the nonconsolidated VIEs section presented in Note 8,7, Variable Interest Entities.

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Note 8.7. Variable Interest Entities

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

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

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

•Retained interests held as a result of securitization activities;

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

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

•Acting as servicer for a fee to automobile loan financing vehicles;

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

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

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

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

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Consolidated VIEs

The following table presents information about our consolidated VIEs at February 28, ~~2021~~2022 and November 30, ~~2020~~2021 (in millions). The assets and liabilities in the tables below are presented prior to consolidation and thus a portion of these assets and liabilities are eliminated in consolidation.


		February 28, 2021				November 30, 2020					February 28, 2022				November 30, 2021
		Secured Funding Vehicles		Other		Secured Funding Vehicles		Other			Secured Funding Vehicles		Other		Secured Funding Vehicles		Other
Cash ~~(1)~~	Cash ~~(1)~~	$	0	$	1.2	$	0	$	1.2	Cash ~~(1)~~	$	11.6	$	—	$	3.8	$	—
Financial instruments owned	Financial instruments owned	0		12.6		0		5.2		Financial instruments owned	239.5		64.7		173.1		146.4
Securities purchased under agreements to resell ~~(2)~~(1)	Securities purchased under agreements to resell ~~(2)~~(1)	3,934.3		0		2,908.9		0		Securities purchased under agreements to resell ~~(2)~~(1)	2,554.8		18.0		3,697.1		—
Receivable from brokers		0		31.2		0		12.9
Other assets		0		0.2		0		0.1

Receivables from brokers (2)										Receivables from brokers (2)	—		54.0		—		40.6
Other receivables										Other receivables	742.9		—		0.6		—
Other assets (3)										Other assets (3)	133.7		—		—		—
Total assets	Total assets	$	3,934.3	$	45.2	$	2,908.9	$	19.4	Total assets	$	3,682.5	$	136.7	$	3,874.6	$	187.0
Financial instruments sold, not yet purchased	Financial instruments sold, not yet purchased	$	0	$	9.4	$	0	$	2.5	Financial instruments sold, not yet purchased	$	—	$	18.0	$	—	$	109.1
Other secured financings ~~(3)~~(4)	Other secured financings ~~(3)~~(4)	3,933.2		0		2,907.8		0		Other secured financings ~~(3)~~(4)	3,609.5		—		3,828.6		—

Other liabilities (4)		1.1		0.5		1.1		0.4
Repurchase agreements										Repurchase agreements	—		47.1		—		—
Payables to broker dealers										Payables to broker dealers	50.1		—		44.2		—
Other liabilities (5)										Other liabilities (5)	2.8		75.3		1.8		75.3
Total liabilities	Total liabilities	$	3,934.3	$	9.9	$	2,908.9	$	2.9	Total liabilities	$	3,662.4	$	140.4	$	3,874.6	$	184.4

(1)Approximately $1.2 million and $0.7 million of the cash amounts at February 28, 2021 and November 30, 2020, respectively, represent cash on deposit with related consolidated entities and are eliminated in consolidation.

~~(2)~~Securities purchased under agreements to resell primarily represent amounts due under collateralized transactions on related consolidated entities, which are eliminated in consolidation. At February 28, 2022, approximately $18.0 million was not eliminated in consolidation.

~~(3)~~(2)Approximately ~~$131.2~~$1.4 million and ~~$138.2~~$1.2 million of ~~the other secured financings amounts~~receivables from brokers at February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, respectively, are with related consolidated entities, which are eliminated in consolidation.

(3)Approximately $45.7 million of the other assets at February 28, 2022 represent intercompany receivables with related consolidated entities, which are eliminated in consolidation.

(4)Approximately ~~$0.3~~$58.6 million and $36.7 million of the other secured financings at February 28, 2022 and November 30, 2021, respectively, are with related consolidated entities and are eliminated in consolidation.

(5)Approximately $75.2 million and $75.3 million of the other liabilities amounts at ~~both~~ February 28, ~~2021~~2022 and November 30, ~~2020 represent intercompany payables~~2021, respectively, are with related consolidated entities, which are eliminated in consolidation.

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

At February 28, 2022, we are the primary beneficiary of automobile loan financing vehicles to which we transfer automobile loans, act as servicer of the automobile loans for a fee and retain equity interests in the vehicles. The assets of these VIEs consist primarily of automobile loans, which are accounted for as loans held for investment at amortized cost and included within Receivables—fees, interest and other on the Consolidated Statement of Financial Condition. The liabilities of these VIEs consist of notes issued by the VIEs, which are accounted for at amortized cost and included within Other secured financings on the Consolidated Statement of Financial Condition and do not have recourse to our general credit. The automobile loans are pledged as collateral for the related notes and available only for the benefit of the note holders.

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

~~Nonconsolidated VIEs~~

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

February 28, 2021
Carrying Amount Maximum Exposure to Loss VIE Assets
Assets Liabilities
CLOs $ 163.4 $ 5.4 $ 1,343.5 $ 9,595.0
Consumer loan and other asset-backed vehicles 266.9 0 363.3 2,580.5
Related party private equity vehicles 18.7 0 29.5 52.3
Other investment vehicles 751.5 0 752.7 11,072.6
Total $ 1,200.5 $ 5.4 $ 2,489.0 $ 23,300.4

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

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


	February 28, 2022
	Carrying Amount				Maximum Exposure to Loss		VIE Assets
	Assets		Liabilities
CLOs	$	851.1	$	2.9	$	3,500.2	$	8,461.2
Asset-backed vehicles	485.8		—		510.6		5,022.5
Related party private equity vehicles	26.2		—		36.9		74.7
Other investment vehicles	1,239.8		—		1,333.5		14,685.4
Total	$	2,602.9	$	2.9	$	5,381.2	$	28,243.8


	November 30, 2021
	Carrying Amount				Maximum Exposure to Loss		VIE Assets
	Assets		Liabilities
CLOs	$	582.2	$	2.0	$	2,557.1	$	10,277.5
Asset-backed vehicles	281.9		—		359.3		3,474.6
Related party private equity vehicles	27.1		—		37.8		78.9
Other investment vehicles	907.6		—		908.5		12,536.8
Total	$	1,798.8	$	2.0	$	3,862.7	$	26,367.8

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

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

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

•Warehouse funding arrangements in the form of:

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

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

◦Senior and subordinated notes issued in connection with CLO warehousing activities.

•Trading positions in securities issued in CLO transactions; and

•Investments in variable funding notes issued by CLOs.

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

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Related Party Private Equity Vehicles. We committed to invest in private equity funds, (the “JCP Funds”, including JCP Fund V (see Note 9,8, Investments)) managed by Jefferies Capital Partners, LLC (the “JCP Manager”). Additionally, we committed to invest in the general partners of the JCP Funds (the “JCP General Partners”) and the JCP Manager. Our variable interests in the JCP Funds, JCP General Partners and JCP Manager (collectively, the “JCP Entities”) consist of equity interests that, in total, provide us with limited and general partner investment returns of the JCP Funds, a portion of the carried interest earned by the JCP General Partners and a portion of the management fees earned by the JCP Manager. At both February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, our total equity commitment in the JCP Entities was $133.0 million, of which ~~$122.1 million and $122.0~~$122.3 million had been ~~funded, respectively.~~funded. The carrying value of our equity investments in the JCP Entities was ~~$18.7~~$26.2 million and ~~$19.0~~$27.1 million at February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, respectively. Our exposure to loss is limited to the total of our carrying value and unfunded equity commitment. The assets of the JCP Entities primarily consist of private equity and equity related investments.

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Other Investment Vehicles. At February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, we had equity commitments to invest ~~$634.2 million~~$1.07 billion and ~~$749.3~~$760.0 million, respectively, in various other investment vehicles, of which ~~$633.0~~$976.0 million and ~~$748.1~~$759.1 million was funded, respectively. The carrying value of our equity investments was ~~$751.5 million~~$1.24 billion and ~~$739.7~~$907.6 million at February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, respectively. Our exposure to loss is limited to the total of our carrying value and unfunded equity commitment. These investment vehicles have assets primarily consisting of private and public equity investments, debt instruments, trade and insurance claims and various oil and gas assets.

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

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

At February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, we held ~~$1,642.6 million~~$1.05 billion and ~~$1,571.6 million~~$1.31 billion of agency mortgage-backed securities, respectively, and ~~$193.8~~$207.0 million and ~~$252.0~~$253.9 million of non-agency mortgage-backed and other asset-backed securities, respectively, as a result of our secondary trading and market-making activities, and underwriting, placement and structuring activities. Our maximum exposure to loss on these securities is limited to the carrying value of our investments in these securities. These mortgage-backed and other asset-backed secured funding vehicles discussed are not included in the above table containing information about our variable interests in nonconsolidated VIEs.

Note 9.8. Investments

At February 28, ~~2021,~~2022, we had investments in ~~Jefferies Finance~~JFIN Parent LLC (“Jefferies Finance”) and Berkadia. We hold an equity interest in JFIN Parent LLC and Jefferies Finance LLC is a direct subsidiary of JFIN Parent LLC. Our investments in Jefferies Finance and Berkadia have been accounted for under the equity method and have been included in Loans to and investments in related parties in our Consolidated Statements of Financial Condition with our share of the investees’ earnings recognized in Other revenues in our Consolidated Statements of Earnings. We have limited partnership interests of 11% and ~~50%~~51% in Jefferies Capital Partners V L.P. and the Jefferies SBI USA Fund L.P. (together, “JCP Fund V”), respectively, which are private equity funds managed by a team led by one of our directors and our Chairman of the Executive Committee.

In addition, at December 1, 2021, in connection with the transfer of certain securities and partnership interests from Jefferies to us, we have investments in Monashee Holdings LLC (“Monashee”); Oak Hill Capital Management LLC, OHCP GenPar Holdco, LP, Oak Hill Capital Management Partners III, LP and Oak Hill Capital Partners IV (Management), LP (collectively the “Oak Hill entities”) and ApiJect Systems, Corp. (“ApiJect”).

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Jefferies Finance

Jefferies Finance, aour 50/50 joint venture entity pursuant to an agreement with Massachusetts Mutual Life Insurance Company (“MassMutual”), is a commercial finance company that structures, underwrites and ~~arranges~~syndicates primarily senior secured loans to corporate ~~borrowers, as well as~~borrowers; and manages ~~loan funds~~proprietary and ~~CLOs.~~third-party investments for both broadly syndicated and direct lending loans. Jefferies Finance conducts its operations primarily through 2 business lines, Leveraged Finance Arrangement and Portfolio and Asset Management. Loans are originated primarily through ~~the~~our investment banking efforts ~~of Jefferies LLC.~~and Jefferies Finance ~~may also underwrite~~typically syndicates to third-party investors substantially all of its arranged volume through us. The Portfolio and ~~arrange other debt products such~~Asset Management business lines, collectively referred to as ~~second lien term, bridge and mezzanine~~Jefferies Credit Partners, manages a broad portfolio of assets under management comprised of portions of loans it has arranged, as well as ~~related equity co-investments. In addition,~~loan positions that it has purchased in the primary and secondary markets. Jefferies ~~Finance~~Credit Partners is acomprised of three registered ~~investment advisor under the~~ Investment ~~Advisers Act of 1940 and, through two of its wholly-owned subsidiaries,~~Advisors: Jefferies Finance, Apex Credit Partners LLC and JFIN Asset Management LLC, ~~acts~~which serve as ~~an investment advisor for various loan~~a private credit platform managing proprietary and third-party capital across commingled funds, separately managed accounts and ~~CLOs managing direct lending and broadly syndicated loan products.~~CLOs.

At February 28, ~~2021,~~2022, we and MassMutual each had equity commitments to Jefferies Finance of $750.0 million, for a combined total commitment of ~~$1.5~~$1.50 billion. The equity commitment is reduced quarterly based on our share of any undistributed earnings from Jefferies Finance and the commitment is increased only to the extent the share of such earnings are distributed. At February 28, ~~2021, we had funded $652.4 million of~~2022, our ~~$750.0 million~~remaining commitment ~~leaving $97.6 million unfunded.~~to Jefferies Finance was $15.4 million. The investment commitment is scheduled to expire on March 1, ~~2022~~2023 with automatic one year extensions absent a 60 days termination notice by either party.

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Jefferies Finance has executed a Secured Revolving Credit Facility with us and MassMutual, to be funded equally, to support loan underwritings by Jefferies Finance, which bears interest based on the interest rates of the related Jefferies Finance underwritten loans and is secured by the underlying loans funded by the proceeds of the facility. The total Secured Revolving Credit Facility is a committed amount of $500.0 million at February 28, ~~2021.~~2022. Advances are shared equally between us and MassMutual. The facility is scheduled to mature on March 1, ~~2022~~2023 with automatic one year extensions absent a 60 days termination notice by either party. At February 28, ~~2021,~~2022, we had funded $0.0 million of our $250.0 million commitment. The following summarizes the activity included in our Consolidated Statements of Earnings related to the facility (in millions):


		Three Months Ended				Three Months Ended February 28,
		February 28, 2021		February 29, 2020				2022		2021
Interest income	Interest income	$	0.3	$	0.8		Interest income	$	0.1	$	0.3
Unfunded commitment fees	Unfunded commitment fees	0.3		0.3			Unfunded commitment fees	0.3		0.3

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

February 28, 2021 November 30, 2020
Our total equity balance $ 635.2 $ 604.6


	February 28, 2022		November 30, 2021



Our total equity balance	$	734.6	$	707.4

Three Months Ended
February 28, 2021 February 29, 2020
Net earnings $ 61.3 $ 20.7


	Three Months Ended February 28,
	2022		2021
Net earnings	$	57.5	$	61.3

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


		Three Months Ended				Three Months Ended February 28,
		February 28, 2021		February 29, 2020				2022		2021
Origination and syndication fee revenues (1)	Origination and syndication fee revenues (1)	$	70.3	$	37.7		Origination and syndication fee revenues (1)	$	114.9	$	70.3
Origination fee expenses (1)	Origination fee expenses (1)	12.3		5.6			Origination fee expenses (1)	15.9		12.3
CLO placement fee revenues (2)	CLO placement fee revenues (2)	2.4		0.4			CLO placement fee revenues (2)	0.7		2.4

Underwriting fees (3)	Underwriting fees (3)	0.5		0.3			Underwriting fees (3)	—		0.5
Service fees (4)	Service fees (4)	31.5		25.2			Service fees (4)	50.0		31.5

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

(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 February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, 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.

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

Receivables from Jefferies Finance, included in Other assets in our Consolidated Statements of Financial Condition, were ~~$12.4~~$37.2 million and ~~$24.2~~$26.2 million at February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, respectively. ~~Payables~~At February 28, 2022 and November 30, 2021, payables to Jefferies Finance, related to cash deposited with us and included in ~~Accrued expenses and other liabilities~~Payables to customers in our Consolidated Statements of Financial Condition, were ~~$13.7~~$2.5 million ~~at both February 28, 2021~~ and ~~November 30, 2020.~~

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$8.5 million, respectively.

Berkadia

Berkadia is a commercial mortgage banking and servicing joint venture that was formed in 2009 by Jefferies and Berkshire Hathaway Inc. On October 1, 2018, Jefferies transferred its 50% voting equity interest in Berkadia and related arrangements to us. As a result, we are entitled to receive 45% of the profits of Berkadia. Berkadia originates commercial/multifamily real estate loans that are sold to U.S. government agencies or other investors. Berkadia also is an investment sales advisor focused on the multifamily industry. Berkadia is a servicer of commercial real estate loans in the U.S., performing primary, master and special servicing functions for U.S. government agency programs, commercial mortgage-backed securities transactions, banks, insurance companies and other financial institutions.

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

February 28, 2021 November 30, 2020
Our total equity balance $ 330.8 $ 301.2


	February 28, 2022		November 30, 2021



Our total equity balance	$	412.3	$	373.4

Three Months Ended
February 28, 2021 February 29, 2020
Net earnings $ 66.7 $ 48.7


	Three Months Ended February 28,
	2022		2021
Net earnings	$	86.4	$	66.7

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

Three Months Ended
February 28, 2021 February 29, 2020
Distributions $ 0.3 $ 36.2


	Three Months Ended February 28,
	2022		2021
Distributions	$	0.2	$	0.3

At February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, we had commitments to purchase ~~$580.1~~$431.0 million and ~~$401.0~~$425.6 million, respectively, inof agency CMBS from Berkadia.

JCP Fund V

The amount of our investments in JCP Fund V included in Financial instruments owned, at fair value in our Consolidated Statements of Financial Condition was ~~$17.0~~$24.6 million and ~~$17.4~~$25.4 million at February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, respectively. We account for these investments at fair value based on the NAV of the funds provided by the fund managers (see Note 2, Summary of Significant Accounting Policies, in our consolidated financial statements included in Part II, Item 8 of our Annual Report on Form 10-K for the year ended November 30, ~~2020)~~2021). The following summarizes the results from these investments which are included in Principal transactions revenues in our Consolidated Statements of Earnings (in millions):

Three Months Ended
February 28, 2021 February 29, 2020
Net gains (losses) from our investments in JCP Fund V $ (0.5) $ 1.5


	Three Months Ended February 28,
	2022		2021
Net gains (losses) from our investments in JCP Fund V	$	0.9	$	(0.5)

At both February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, we were committed to invest equity of up to $85.0 million in JCP Fund V. At both February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, our unfunded commitment relating to JCP Fund V was ~~$8.9 million and $9.1 million, respectively.~~$8.7 million.

The following is a summary of the Net change in net assets resulting from operations for 100.0% of JCP Fund V, in which we owned effectively ~~35.2%~~35.7% at February 28, ~~2021of~~2022 of the combined equity interests (in thousands):

Three Months Ended December 31,
2020 2019
Net decrease in net assets resulting from operations (1) $ (1,024) $ (1,397)


	Three Months Ended December 31,
	2021		2020
Net decrease in net assets resulting from operations (1)	$	(3,159)	$	(1,024)

(1)Financial information for JCP Fund V within our results of operations for the three months ended February 28, ~~2021~~2022 and ~~February 29, 2020~~2021 is included based on the presented periods.

Asset Management Investments

We have investments in various asset management entities with an aggregate carrying amount of $183.0 million at February 28, 2022. These equity method investments consist of our shares in Monashee, an investment management company, registered investment advisor and general partner of various investment management funds and provide us with a 50% voting rights interest and the rights to distributions of 47.5% of the annual net profits of Monashee’s operations if certain thresholds are met. These investments also consist of membership interests and limited partnership interests of approximately 15% in the Oak Hill investment management company and registered investment adviser and the Oak Hill general partner entity, which is entitled to carried interest from certain Oak Hill managed funds. A portion of the carrying amount of these investments relates to contract and customer relationship and client relationship intangible assets and goodwill. The intangible assets are amortized over their useful life and the goodwill is not amortized. Our proportionate share of the allocated net profits of the investments are reported within Other revenues in the Consolidated Statement of Earnings.

ApiJect

At February 28, 2022, we owned shares which represent a 36% economic interest in ApiJect. Our investment in ApiJect is accounted for at fair value by electing the fair value option available under U.S. GAAP and included within corporate equity securities in Financial instruments owned, at fair value, in our Consolidated Statement of Financial Condition. The valuation of our investment at February 28, 2022 is calibrated using the last funding round and is included within Level 3 of the fair value hierarchy. There was no change in the fair value of our investment in ApiJect for the three months ended February 28, 2022.

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We have entered into a term loan agreement with ApiJect for $25.0 million, and a term loan agreement with a principal of ApiJect for $25.0 million, both maturing on April 15, 2022. These loans are accounted for at cost plus accrued interest and are reported within Other assets in our Consolidated Statement of Financial Condition. Interest income of $1.1 million was recognized related to the loans for the three months ended February 28, 2022 and are recognized in Interest revenues in our Consolidated Statement of Earnings. These loans have a fair value of $54.6 million at February 28, 2022, which would be classified as Level 3 in the fair value hierarchy.

Note ~~10.~~9. Goodwill and Intangible Assets

Goodwill

Goodwill, which is all attributed to our Investment Banking and Capital Markets reportable business ~~segments are as follows (in thousands):~~

February 28, 2021 November 30, 2020
Investment Banking and Capital Markets $ 1,650,213 $ 1,646,523
Asset Management 429 410
Total goodwill $ 1,650,642 $ 1,646,933
segment, amounted to $1.65 billion at both February 28, 2022 and November 30, 2021.

The following table is a summary of the changes to goodwill for the three months ended February 28, ~~2021~~2022 (in thousands):


Balance at November 30, ~~2020~~2021	$	~~1,646,933~~1,645,317

Currency translation and other adjustments	~~3,709~~643


Balance at February 28, ~~2021~~2022	$	~~1,650,642~~1,645,960

Intangible Assets

Intangible assets are included in Other assets in our Consolidated Statements of Financial Condition. The following tables present the gross carrying amount, changes in carrying amount, net carrying amount and weighted average amortization period of identifiable intangible assets at February 28, ~~2021~~2022 and November 30, ~~2020~~2021 (dollars in thousands):


		February 28, 2021		Weighted average remaining lives (years)			February 28, 2022								Weighted average remaining lives (years)
		Gross cost				Accumulated amortization				Net carrying amount			Gross cost			Accumulated amortization			Weighted average remaining lives (years)	Net carrying amount
Customer relationships	Customer relationships	$	126,608	$	(78,216)			$	48,392		9.3	Customer relationships	$	126,019						$	(86,130)		9.0
Trade name	Trade name	129,604		(29,680)				99,924			27.0	Trade name	128,919				(33,207)			95,712		26.0
Exchange and clearing organization membership interests and registrations	Exchange and clearing organization membership interests and registrations	7,923		—				7,923			N/A	Exchange and clearing organization membership interests and registrations	7,727				—			7,727		N/A
Total	Total	$	264,135	$	(107,896)			$	156,239			Total	$	262,665			$	(119,337)		$	143,328


		November 30, 2020		Weighted average remaining lives (years)			November 30, 2021						Weighted average remaining lives (years)
		Gross cost				Accumulated amortization				Net carrying amount					Weighted average remaining lives (years)		Accumulated amortization					Net carrying amount
Customer relationships	Customer relationships	$	126,080	$	(75,776)			$	50,304		9.4	Customer relationships	$	125,921				$	41,942			9.0
Trade name	Trade name	128,840		(28,585)				100,255			27.3	Trade name	128,753				(32,244)					96,509		26.3
Exchange and clearing organization membership interests and registrations	Exchange and clearing organization membership interests and registrations	7,884		—				7,884			N/A	Exchange and clearing organization membership interests and registrations	7,732		—					7,732			N/A
Total	Total	$	262,804	$	(104,361)			$	158,443			Total	$	262,406	$	(116,223)				$	146,183

Amortization Expense

For finite life intangible assets, aggregate amortization expense amounted to $3.0 million for both the three months ended February 28, ~~2021~~2022 and ~~February 29, 2020.~~2021. These expenses are included in Other expenses in our Consolidated Statements of Earnings.

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


Remainder of fiscal ~~2021~~year 2022	$	~~9,136~~
~~Year ending November 30, 2022~~	~~9,239~~6,194
Year ending November 30, 2023	8,258
Year ending November 30, 2024	8,258
Year ending November 30, 2025	8,258
Year ending November 30, 2026	8,258

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Note ~~11.~~10. Short-Term Borrowings

Short-term borrowings at February 28, ~~2021~~2022 and November 30, ~~2020~~2021 mature in one year or less and include the following (in thousands):


		February 28, 2021		November 30, 2020			February 28, 2022		November 30, 2021
Bank loans (1)	Bank loans (1)	$	876,141	$	752,848	Bank loans (1)	$	461,053	$	215,063

Floating rate puttable notes (1)	Floating rate puttable notes (1)	6,800		6,800		Floating rate puttable notes (1)	6,800		6,800
Equity-linked notes (2)		0		5,067

Total short-term borrowings	Total short-term borrowings	$	882,941	$	764,715	Total short-term borrowings	$	467,853	$	221,863

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

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

At February 28, ~~2021,~~2022, the weighted average interest rate on short-term borrowings outstanding is ~~1.82%~~1.52% per annum.

~~Our~~At February 28, 2022 and November 30, 2021, our borrowings under credit facilities classified within bank loans in Short-term borrowings in our Consolidated Statements of Financial Condition were $400.0 million and $200.0 million, respectively. Our borrowings include credit facilities that contain certain covenants that, among other things, require us to maintain a specified level of tangible net worth, require a minimum regulatory net capital requirement for our U.S. broker-dealer, Jefferies LLC, and impose certain restrictions on the future indebtedness of certain of our subsidiaries that are borrowers. Interest is based on rates at spreads over the federal funds rate or other adjusted rates, as defined in the various credit agreements, or at a rate as agreed between the bank and us in reference to the bank’s cost of funding. At February 28, ~~2021,~~2022, we were in compliance with all covenants under these credit facilities. ~~Our facilities included within bank loans at February 28, 2021 and November 30, 2020 were as follows (in thousands):~~

February 28, 2021 November 30, 2020
Bank of New York Mellon Master Loan Agreement (1) $ 300,000 $ 300,000
JPMorgan Chase Bank, N.A. Credit Facility (2) 274,000 246,000
Royal Bank of Canada Credit Facility (3) 200,000 200,000
Bank of New York Mellon Credit Facility (4) 100,000 0
Total $ 874,000 $ 746,000

~~(1)Interest is generally based at spreads over the Federal Funds Rate as defined in this master loan agreement.~~

~~(2)~~
~~Interest is based on an annual alternative base rate or an adjusted London Interbank Offered Rate (“LIBOR”), as defined in this credit facility agreement.~~

~~(3)Interest is based on a rate per annum equal to LIBOR plus an applicable margin of 2.05%.~~

~~(4)Interest is based on a rate per annum equal to the Federal Funds Rate plus 2%.~~

In addition, 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 our U.S. broker-dealer, Jefferies LLC. At February 28, 2021, we were in compliance with all debt covenants under the Intraday Credit Facility.

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Note ~~12.~~11. Long-Term Debt

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


		Maturity	Effective Interest Rate	February 28, 2021		November 30, 2020			Maturity	Effective Interest Rate	February 28, 2022		November 30, 2021
Unsecured long-term debt:	Unsecured long-term debt:							Unsecured long-term debt:

2.250% Euro Medium Term Notes		July 13, 2022	0%	$	0	$	4,638
5.125% Senior Notes		January 20, 2023	4.47%	758,792		759,901
1.000% Euro Medium Term Notes	1.000% Euro Medium Term Notes	July 19, 2024	1.00%	602,401		595,700		1.000% Euro Medium Term Notes	July 19, 2024	1.00%	$	559,925	$	564,985
4.850% Senior Notes (1)	4.850% Senior Notes (1)	January 15, 2027	4.93%	790,942		809,039		4.850% Senior Notes (1)	January 15, 2027	4.93%	757,872		775,550
6.450% Senior Debentures	6.450% Senior Debentures	June 8, 2027	5.46%	368,445		369,057		6.450% Senior Debentures	June 8, 2027	5.46%	365,909		366,556
4.150% Senior Notes	4.150% Senior Notes	January 23, 2030	4.26%	989,807		989,574		4.150% Senior Notes	January 23, 2030	4.26%	990,769		990,525
2.750% Senior Notes (1)	2.750% Senior Notes (1)	October 15, 2032	2.85%	456,828		485,134		2.750% Senior Notes (1)	October 15, 2032	2.85%	445,542		460,724
6.250% Senior Debentures	6.250% Senior Debentures	January 15, 2036	6.03%	510,724		510,834		6.250% Senior Debentures	January 15, 2036	6.03%	505,151		505,267
6.500% Senior Notes	6.500% Senior Notes	January 20, 2043	6.09%	419,719		419,826		6.500% Senior Notes	January 20, 2043	6.09%	409,815		409,926
2.625% Senior Notes (1)								2.625% Senior Notes (1)	October 15, 2031	2.73%	970,927		988,059
Floating Rate Senior Notes								Floating Rate Senior Notes	October 29, 2071	—%	61,706		61,703
Unsecured Credit Facility								Unsecured Credit Facility	August 3, 2023	1.63%	349,105		348,951
Structured notes (2)	Structured notes (2)	Various	Various	1,784,157		1,712,245		Structured notes (2)	Various	Various	1,762,163		1,843,598
Total unsecured long-term debt	Total unsecured long-term debt			6,681,815		6,655,948		Total unsecured long-term debt			7,178,884		7,315,844
Secured long-term debt	Secured long-term debt							Secured long-term debt
Revolving Credit Facility				189,893		189,732
Secured Credit Facilities								Secured Credit Facilities			609,091		623,982
Secured Bank Loan	Secured Bank Loan	September 27, 2021		50,000		50,000		Secured Bank Loan			100,000		100,000
Total long-term debt (3)	Total long-term debt (3)			$	6,921,708	$	6,895,680	Total long-term debt (3)			$	7,887,975	$	8,039,826

(1)The carrying values of these senior notes ~~includes a~~include net ~~gain~~gains of ~~$46.8~~$50.5 million and ~~a net loss of $24.9~~$46.8 million in the three months ended February 28, ~~2021~~2022 and ~~February 29, 2020,~~2021, respectively, associated with interest rate swaps based on designation as fair value hedges. See Note 5,4, Derivative Financial Instruments, for further information.

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

(3)The Total Long-term debt has a fair value of ~~$7,589.0 million~~$8.21 billion and ~~$7,575.2 million~~$8.64 billion at February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, respectively, which would be classified as Level 2 and Level 3 in the fair value hierarchy.

During the three months ended February 28, ~~2021,~~2022, long-term debt ~~increased $26.0~~decreased by $151.9 million to $7.89 billion at February 28, 2022, as presented in our Consolidated Statements of Financial Condition, primarily due to ~~approximately $54.1 million of~~fair value changes in our structured notes ~~issuances, net of retirements,~~ and ~~changes in instrument specific credit risk~~decreases on ~~structured~~our senior notes ~~partially offset by losses~~ associated with interest rate swaps based on their designation as fair value ~~hedges.~~hedges, partially offset by structured notes issuances, net of retirements, of approximately $71.2 million. At February 28, ~~2021,~~2022, 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. Gains and losses in the fair value of structured notes resulting from non-credit components are recognized within Other adjustments on the Consolidated Statements of Cash Flow.

At February 28, 2022 and November 30, 2021, our borrowings under several credit facilities classified within Long-term debt in our Consolidated Statements of Financial Condition amounted to $958.2 million and $972.9 million, respectively. Interest on these credit facilities is based on adjusted LIBOR rates or other adjusted rates, as defined in the various credit agreements. The credit facility agreements contain certain covenants that, among other things, require us to maintain specified levels of tangible net worth and liquidity amounts, and impose certain restrictions on future indebtedness of and require specified levels of regulated capital and cash reserves for certain of our subsidiaries. At February 28, 2022, we were in compliance with all covenants under theses credit facilities.

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We have a Revolving Credit Facility with a group of commercial banks. At February 28, 2021, borrowings under the Revolving Credit Facility amounted to $189.9 million. Interest is based on an annual alternative base rate or an adjusted LIBOR, as defined in the Revolving Credit Facility 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 February 28, 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.

~~One~~In addition one of our subsidiaries 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~~At both February 28, 2022 and November 30, 2021, borrowings under the Secured Bank Loan amounted to $100.0 million and are also classified within Long-term debt in our Consolidated Statements of Financial Condition. The Secured Bank Loan matures on September 13, 2024 and is collateralized by certain trading ~~securities. Interest on the Secured Bank Loan is~~securities with an interest rate of 1.25% plus LIBOR. The agreement contains certain covenants that, among other things, ~~restrict~~restricts lien or encumbrance upon any of the pledged collateral. At February 28, ~~2021,~~2022, we were in compliance with all covenants under the ~~Loan and Security Agreement.~~Secured Bank Loan.

Note ~~13.~~12. Revenues from Contracts with Customers

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


		Three Months Ended				Three Months Ended February 28,
		February 28, 2021		February 29, 2020				2022		2021
Revenues from contracts with customers:	Revenues from contracts with customers:						Revenues from contracts with customers:
Commissions and other fees	Commissions and other fees	$	236,938	$	179,535		Commissions and other fees	$	229,453	$	236,938
Investment banking	Investment banking	1,003,662		592,002			Investment banking	945,048		1,003,662
Asset management fees	Asset management fees	6,913		4,404			Asset management fees	12,569		6,913
Total revenue from contracts with customers	Total revenue from contracts with customers	1,247,513		775,941			Total revenue from contracts with customers	1,187,070		1,247,513
Other sources of revenue:	Other sources of revenue:						Other sources of revenue:
Principal transactions	Principal transactions	791,219		371,902			Principal transactions	260,026		791,219
Revenue from strategic affiliates	Revenue from strategic affiliates	30,470		7,316			Revenue from strategic affiliates	26,982		30,470
Interest	Interest	219,021		294,668			Interest	212,790		219,021
Other	Other	60,588		29,729			Other	65,791		60,588
Total revenues	Total revenues	$	2,348,811	$	1,479,556		Total revenues	$	1,752,659	$	2,348,811

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

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

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

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

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

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

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

Disaggregation of Revenue

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


		Three Months Ended												Three Months Ended February 28,
		February 28, 2021						February 29, 2020							2022		2021
		Reportable Segment						Reportable Segment								Reportable Segment					Reportable Segment
		Investment Banking and Capital Markets		Asset Management		Total		Investment Banking and Capital Markets		Asset Management		Total							Investment Banking and Capital Markets		Asset Management		Total		Investment Banking and Capital Markets		Asset Management		Total
Major business activity:	Major business activity:																	Major business activity:
Investment banking - Advisory	Investment banking - Advisory	$	311,439	$	0	$	311,439	$	343,158	$	0	$	343,158					Investment banking - Advisory	$	543,769	$	—	$	543,769	$	311,439	$	—	$	311,439
Investment banking - Underwriting	Investment banking - Underwriting	692,223		0		692,223		248,844		0		248,844						Investment banking - Underwriting	401,279		—		401,279		692,223		—		692,223
Equities (1)	Equities (1)	233,539		0		233,539		176,249		0		176,249						Equities (1)	226,068		—		226,068		233,539		—		233,539
Fixed income (1)	Fixed income (1)	3,399		0		3,399		3,286		0		3,286						Fixed income (1)	3,385		—		3,385		3,399		—		3,399
Asset management	Asset management	0		6,913		6,913		0		4,404		4,404						Asset management	—		12,569		12,569		—		6,913		6,913
Total	Total	$	1,240,600	$	6,913	$	1,247,513	$	771,537	$	4,404	$	775,941					Total	$	1,174,501	$	12,569	$	1,187,070	$	1,240,600	$	6,913	$	1,247,513
Primary geographic region:	Primary geographic region:																	Primary geographic region:
Americas	Americas	$	1,026,916	$	6,584	$	1,033,500	$	649,069	$	980	$	650,049					Americas	$	937,070	$	12,569	$	949,639	$	1,026,916	$	6,584	$	1,033,500
Europe	Europe	163,737		329		164,066		79,438		3,424		82,862						Europe	166,172		—		166,172		163,737		329		164,066
Asia Pacific	Asia Pacific	49,947		0		49,947		43,030		0		43,030						Asia Pacific	71,259		—		71,259		49,947		—		49,947
Total	Total	$	1,240,600	$	6,913	$	1,247,513	$	771,537	$	4,404	$	775,941					Total	$	1,174,501	$	12,569	$	1,187,070	$	1,240,600	$	6,913	$	1,247,513

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

Refer to Note ~~18,~~17, Segment Reporting, for a further discussion on the allocation of revenues to geographic regions.

Information on Remaining Performance Obligations and Revenue Recognized from Past Performance

We do not disclose information about remaining performance obligations pertaining to contracts that have an original expected duration of one year or less. The transaction price allocated to remaining unsatisfied or partially unsatisfied performance obligations with an original expected duration exceeding one year was not material at February 28, ~~2021.~~2022. Investment banking advisory fees that are contingent upon completion of a specific milestone and fees associated with certain distribution services are also excluded as the fees are considered variable and not included in the transaction price at February 28, ~~2021.~~2022.

During the three months ended February 28, ~~2021~~2022 and ~~February 29, 2020,~~2021, we recognized ~~$8.2~~$35.0 million and ~~$6.4~~$33.6 million, respectively, of revenue related to performance obligations satisfied (or partially satisfied) in previous periods, mainly due to resolving uncertainties in variable consideration that was constrained in prior periods. In addition, ~~we recognized $2.9 million, and $5.6 million,~~ during the three months ended February 28, 2022 and 2021, we recognized $3.5 million, and ~~February 29, 2020,~~$2.9 million, respectively, of revenues primarily associated with distribution services, a portion of which relates to prior periods.

Contract Balances

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

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Our deferred revenue primarily relates to retainer and milestone fees received in investment banking advisory engagements where the performance obligation has not yet been satisfied. Deferred revenues at February 28, ~~2021~~2022 and November 30, ~~2020~~2021 were ~~$11.5~~$4.0 million and ~~$10.0~~$14.9 million, respectively, which are recorded in Accrued expenses and other liabilities in our Consolidated Statements of Financial Condition. During the three months ended February 28, ~~2021~~2022 and ~~February 29, 2020,~~2021, we recognized revenues of ~~$3.4~~$11.4 million and ~~$2.6~~$3.4 million, respectively, that were recorded as deferred revenue at the beginning of the periods.

We had receivables related to revenues from contracts with customers of ~~$303.0~~$203.8 million and ~~$278.5~~$232.6 million at February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, respectively. We estimate an allowance for credit losses on our investment banking fee receivables using a provisioning matrix based on the shared risk characteristics and historical loss experience for such receivables. In some instances, we may adjust the allowance calculated based on the provision matrix to incorporate a specific allowance based on the unique credit risk profile of a receivable. The provisioning matrix is periodically updated to reflect changes in the underlying portfolio's credit characteristics and most recent historical loss data.

The allowance for credit losses on our investment banking fee receivables for the three months ended February 28, ~~2021~~2022 and ~~February 29, 2020~~2021 is as ~~follows:~~follows (in thousands):


		Three Months Ended					Three Months Ended February 28,
		February 28, 2021		February 29, 2020			2022		2021
Beginning balance	Beginning balance	$	19,788	$	6,817	Beginning balance	$	4,824	$	19,788
Adjustment for change in accounting principle for current expected credit losses	Adjustment for change in accounting principle for current expected credit losses	(3,594)		0		Adjustment for change in accounting principle for current expected credit losses	—		(3,594)
Bad debt expense, net of reversals	Bad debt expense, net of reversals	626		1,340		Bad debt expense, net of reversals	340		626
Charge-offs	Charge-offs	(425)		(207)		Charge-offs	(50)		(425)
Recoveries collected	Recoveries collected	(2,384)		(301)		Recoveries collected	(605)		(2,384)
Ending balance (1)	Ending balance (1)	$	14,011	$	7,649	Ending balance (1)	$	4,509	$	14,011

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

Contract Costs

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

At February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, capitalized costs to fulfill a contract were ~~$1.3~~$1.1 million and ~~$1.8~~$1.6 million, respectively, which are recorded in ~~Receivables –~~ Receivables—Fees, interest and other in our Consolidated Statements of Financial Condition. For the three months ended February 28, ~~2021~~2022 and ~~February 29, 2020,~~2021, we recognized expenses of ~~$1.2~~$1.0 million and ~~$1.9~~$1.2 million, respectively, related to costs to fulfill a contract that were capitalized as of the beginning of the period. There were no significant impairment charges recognized in relation to these capitalized costs during the three months ended February 28, ~~2021~~2022 and ~~February 29, 2020.~~2021.

Note ~~14.~~13. Compensation Plans

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

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During the three months ended February 28, 2021, Jefferies also granted to certain of our senior executives nonqualified stock options pursuant to the Incentive Compensation Plan and granted stock appreciation rights. The total initial fair value of the share-based awards was recognized immediately as compensation expense at the time the award was granted as the awards have no future service requirements. The stock appreciation rights will be settled on a cash basis or, at the sole discretion of the Compensation Committee of the Board of Directors of Jefferies, may be converted irrevocably to a share-settled awards and are considered to be liability-classified share-based awards. Subsequent changes in the fair value of the outstanding stock appreciation rights are recognized currently on an ongoing basis in Compensation and benefits expense.

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

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


		Three Months Ended				Three Months Ended February 28,
		February 28, 2021		February 29, 2020				2022		2021
Components of compensation cost:	Components of compensation cost:						Components of compensation cost:
Restricted cash awards ~~(1)~~	Restricted cash awards ~~(1)~~	$	49.1	$	77.3		Restricted cash awards ~~(1)~~	$	32.1	$	49.1
Stock options and stock appreciation rights		39.4		0
Stock options and Stock appreciation rights							Stock options and Stock appreciation rights	—		39.4
Restricted stock and RSUs ~~(2)~~(1)	Restricted stock and RSUs ~~(2)~~(1)	4.2		6.5			Restricted stock and RSUs ~~(2)~~(1)	7.1		4.2
Profit sharing plan	Profit sharing plan	4.0		4.1			Profit sharing plan	5.3		4.0
Total compensation cost	Total compensation cost	$	96.7	$	87.9		Total compensation cost	$	44.5	$	96.7

(1)The decrease is primarily a result of the accelerated amortization recognized in the year ended November 30, 2020 of certain cash-based awards that had been granted during previous years, which were amended to remove any service requirements for vesting in the awards.

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

Remaining unamortized amounts related to certain compensation plans at February 28, ~~2021~~2022 are as follows (dollars in millions):


		Remaining Unamortized Amounts		Weighted Average Vesting Period (in Years)		Remaining Unamortized Amounts		Weighted Average Vesting Period (in Years)
Non-vested share-based awards	Non-vested share-based awards	$	25.0	2	Non-vested share-based awards	$	96.9	4
Restricted cash awards (1)	Restricted cash awards (1)	423.0		3	Restricted cash awards (1)	298.1		3
Total	Total	$	448.0		Total	$	395.0

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

For detailed descriptions on the Company’s compensation plans, see Note 16, Compensation Plans, in our consolidated financial statements included in Part II, Item 8 of our Annual Report on Form 10-K for the year ended November 30, ~~2020.~~2021.

Note ~~15.~~14. Income Taxes

In the first quarter of fiscal 2022, we changed our accounting policy election as it relates to where we record interest accrued on unrecognized tax benefits in order to align our accounting policy and income statement presentation with that of Jefferies. Beginning with the first quarter of fiscal 2022, we record interest on unrecognized tax benefits as a component of the provision for income taxes and reported financial information for historical comparable periods has not been revised. Prior to the first quarter of fiscal 2022, interest on unrecognized tax benefits was recorded in Interest expense in our Consolidated Statements of Earnings. In addition, penalties, if any, are recognized in the provision for income taxes. This change did not have a material impact on our consolidated financial statements and has no impact on Net earnings in our historical periods.

At February 28, ~~2021~~2022 and November 30, ~~2020, we had approximately $190.7 million and $168.6 million, respectively, of~~2021, our total gross unrecognized tax ~~benefits.~~benefits were $287.1 million and $198.9 million, respectively. The increase is primarily attributable to the inclusion of $77.5 million of accrued interest at February 28, 2022 related to the change in accounting policy discussed above. At February 28, 2022 and November 30, 2021, we had interest accrued of approximately $77.5 million and $74.3 million, respectively, included in Accrued expenses and other liabilities in our Consolidated Statements of Financial Condition. The total amount of unrecognized benefits that, if recognized, would favorably affect the effective tax rate was ~~$151.3~~$227.2 million and ~~$133.9~~$157.8 million (net of Federal benefit) at February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, respectively.

We recognize interest accrued related to unrecognized tax benefits in Interest expense. Penalties, if any, are recognized in Other expenses in our Consolidated Statements of Earnings. At February 28, 2021 and November 30, 2020, we had interest accrued of approximately $68.2 million and $65.4 million, respectively, included in Accrued expenses and other liabilities. NaN material penalties were accrued for the three months ended February 28, 2021 and the year ended November 30, 2020.

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

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


Jurisdiction			Tax Year
United States			~~2017~~
~~New Jersey~~			~~2010~~2018
New York State			2001
New York City			2006
United Kingdom			~~2019~~
~~Italy~~			~~2012~~2020
Hong Kong			2015
~~India~~Germany			~~2010~~2017

For the three months ended February 28, 2022, the provision for income taxes was $95.8 million, equating to an effective tax rate of 21.9%. For the three months ended February 28, 2021, the provision for income taxes was $177.3 million, equating to an effective tax rate of 26.4%. ~~For the three months ended February 29, 2020, the provision for income taxes was $64.0 million, equating to an effective tax rate of 27.2%.~~

Note ~~16.~~15. Commitments, Contingencies and Guarantees

Commitments

The following table summarizes our commitments at February 28, ~~2021~~2022 (in millions):


		Expected Maturity Date (fiscal years)													Expected Maturity Date (fiscal years)
		2021		2022		2023 and 2024		2025 and 2026		2027 and Later		Maximum Payout			2022		2023		2024 and 2025		2026 and 2027		2028 and Later		Maximum Payout
Equity commitments (1)	Equity commitments (1)	$	208.9	$	99.0	$	0	$	0	$	23.5	$	331.4	Equity commitments (1)	$	84.9	$	27.2	$	2.7	$	4.1	$	35.2	$	154.1
Loan commitments (1)	Loan commitments (1)	49.5		260.0		25.0		1.4		0		335.9		Loan commitments (1)	—		275.3		—		60.0		—		335.3

Underwriting commitments	Underwriting commitments	224.0		0		0		0		0		224.0		Underwriting commitments	116.9		—		—		—		—		116.9
Forward starting reverse repos (2)	Forward starting reverse repos (2)	5,703.8		193.7		4.2		0		0		5,901.7		Forward starting reverse repos (2)	9,616.7		—		—		—		—		9,616.7
Forward starting repos (2)	Forward starting repos (2)	3,627.2		0		4.2		0		0		3,631.4		Forward starting repos (2)	6,215.0		—		—		—		—		6,215.0
Other unfunded commitments (1)	Other unfunded commitments (1)	135.3		25.0		136.1		0		0		296.4		Other unfunded commitments (1)	25.0		477.0		5.4		—		—		507.4
Total commitments	Total commitments	$	9,948.7	$	577.7	$	169.5	$	1.4	$	23.5	$	10,720.8	Total commitments	$	16,058.5	$	779.5	$	8.1	$	64.1	$	35.2	$	16,945.4

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

(2)At February 28, ~~2021, $5,894.4 million~~2022, $9.58 billion within forward starting securities purchased under agreements to resell and ~~$3,631.4 million within~~all of the forward starting securities sold under agreements to repurchase settled within three business days.

Equity Commitments. Includes a commitment to invest in our joint venture, Jefferies Finance, and commitments to invest in private equity funds and in Jefferies Capital Partners, LLC, the manager of the private equity funds, which consists of a team led by one of our directors and Chairman of the Executive Committee. At February 28, ~~2021,~~2022, our outstanding commitments relating to Jefferies Capital Partners, LLC and its private equity funds were ~~$10.8~~$10.7 million.

See Note 9,8, Investments, for additional information regarding our investments in Jefferies Finance.

Additionally, at February 28, ~~2021,~~2022, we had ~~other~~ outstanding equity commitments to invest up to ~~$200.0~~$71.8 million ~~to strategic affiliates~~in the Oak Hill entities and ~~up to $22.9~~$56.2 million toin various other investments.

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Loan Commitments. From time to time we make commitments to extend credit to investment banking and other clients in loan syndication and acquisition finance, and to strategic affiliates. These commitments and any related drawdowns of these facilities typically have fixed maturity dates and are contingent on certain representations, warranties and contractual conditions applicable to the borrower. At February 28, ~~2021,~~2022, we had ~~$80.0~~$85.3 million of outstanding loan commitments to ~~clients and $5.9 million to strategic affiliates.~~clients.

Loan commitments outstanding at February 28, ~~2021~~2022 also include our portion of the outstanding secured revolving credit facility provided to Jefferies Finance, to support loan underwritings by Jefferies Finance. See Note 9,8, Investments, for additional information.

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

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

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

Guarantees

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

The following table summarizes the notional amounts associated with our derivative contracts meeting the definition of a guarantee under U.S. GAAP at February 28, ~~2021~~2022 (in millions):


		Expected Maturity Date (Fiscal Years)													Expected Maturity Date (Fiscal Years)
		2021		2022		2023 and 2024		2025 and 2026		2027 and Later		Notional/ Maximum Payout			2022		2023		2024 and 2025		2026 and 2027		2028 and Later		Notional/ Maximum Payout
Guarantee Type:	Guarantee Type:													Guarantee Type:
Derivative contracts—non-credit related	Derivative contracts—non-credit related	$	11,232.2	$	2,940.1	$	8,807.2	$	394.1	$	12.1	$	23,385.7	Derivative contracts—non-credit related	$	13,370.4	$	8,083.3	$	6,874.9	$	1,621.7	$	—	$	29,950.3
Written derivative contracts—credit related	Written derivative contracts—credit related	0		0		6.4		87.2		0		93.6		Written derivative contracts—credit related	—		—		0.2		—		—		0.2
Total derivative contracts	Total derivative contracts	$	11,232.2	$	2,940.1	$	8,813.6	$	481.3	$	12.1	$	23,479.3	Total derivative contracts	$	13,370.4	$	8,083.3	$	6,875.1	$	1,621.7	$	—	$	29,950.5

The derivative contracts deemed to meet the definition of a guarantee under U.S. GAAP are before consideration of hedging transactions and only reflect a partial or “one-sided” component of any risk exposure. Written equity options and written credit default swaps are often executed in a strategy that is in tandem with long cash instruments (e.g., equity and debt securities). We substantially mitigate our exposure to market risk on these contracts through hedges, such as other derivative contracts and/or cash instruments, and we manage the risk associated with these contracts in the context of our overall risk management framework. We believe notional amounts overstate our expected payout and that fair value of these contracts is a more relevant measure of our obligations. At February 28, ~~2021,~~2022, the fair value of derivative contracts meeting the definition of a guarantee is approximately ~~$305.3~~$398.1 million.

Standby Letters of Credit. At February 28, ~~2021,~~2022, we provided guarantees to certain counterparties in the form of standby letters of credit in the amount of ~~$20.4~~$6.1 million, ~~all~~with a weighted average maturity of ~~which expire within~~approximately one year. Standby letters of credit commit us to make payment to the beneficiary if the guaranteed party fails to fulfill its obligation under a contractual arrangement with that beneficiary. Since commitments associated with these collateral instruments may expire unused, the amount shown does not necessarily reflect the actual future cash funding requirement.

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

Note ~~17.~~16. Net Capital Requirements

As a broker-dealer registered with the SEC and a member firm of the Financial Industry Regulatory Authority (“FINRA”), Jefferies LLC is subject to the SEC Uniform Net Capital Rule (“Rule 15c3-1”), which requires the maintenance of minimum net capital, and has elected to calculate minimum capital requirements using the alternative method permitted by Rule 15c3-1 in calculating net capital. Jefferies LLC, as a dually-registered U.S. 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 February 28, 2021, Jefferies LLC’s net capital and excess net capital were as follows (in thousands):~~

Net Capital Excess Net Capital
Jefferies LLC $ 2,019,268 $ 1,902,913

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

The Dodd-Frank Wall Street Reform and Consumer Protection Act (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. Jefferies Financial Services, Inc. (“JFSI”), a registered swap dealer, is subject to the CFTC’s regulatory capital requirements and holds regulatory capital in excess of the minimum regulatory requirement. Additionally, JFSI is registered as a security-based swap dealer with the SEC and is subject to the SEC’s security-based swap dealer regulatory rules. Further, JFSI is approved by the SEC as an OTC derivatives dealer, and is subject to compliance with the SEC’s net capital requirements. As a security-based swap dealer and swap dealer, JFSI is subject to the net capital requirements of the SEC, CFTC and the NFA, as a member of the NFA. JFSI is required to maintain minimum net capital, as defined under SEC Rule 18a-1 of not less than the greater of 2% of the risk margin amount, as defined, or $20 million.

At February 28, 2022, Jefferies LLC and JFSI’s net capital and excess net capital were as follows (in thousands):


	Net Capital		Excess Net Capital
Jefferies LLC	$	1,788,293	$	1,679,136
JFSI	427,645		407,645

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

Note ~~18.~~17. Segment Reporting

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

On December 1, 2021, we have expanded the activities of our Asset Management reportable business segment to include alternative investment strategies. Previously reported results are presented on a comparable basis.

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

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

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

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~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED~~

~~(Unaudited)~~

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

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


		Three Months Ended				Three Months Ended February 28,
		February 28, 2021		February 29, 2020				2022		2021
Investment Banking and Capital Markets:	Investment Banking and Capital Markets:						Investment Banking and Capital Markets:
Net revenues	Net revenues	$	1,959.5	$	1,148.8		Net revenues	$	1,481.8	$	1,958.8
Non-interest expenses	Non-interest expenses	1,416.2		898.9			Non-interest expenses	1,060.9		1,416.2
Earnings before income taxes	Earnings before income taxes	$	543.3	$	249.9		Earnings before income taxes	$	420.9	$	542.6
Asset Management:	Asset Management:						Asset Management:
Net revenues	Net revenues	$	169.9	$	21.9		Net revenues	$	60.0	$	170.6
Non-interest expenses	Non-interest expenses	42.0		36.4			Non-interest expenses	44.0		42.0
Earnings (loss) before income taxes		$	127.9	$	(14.5)
Earnings before income taxes							Earnings before income taxes	$	16.0	$	128.6
Total:	Total:						Total:
Net revenues	Net revenues	$	2,129.4	$	1,170.7		Net revenues	$	1,541.8	$	2,129.4
Non-interest expenses	Non-interest expenses	1,458.2		935.3			Non-interest expenses	1,104.9		1,458.2
Earnings before income taxes	Earnings before income taxes	$	671.2	$	235.4		Earnings before income taxes	$	436.9	$	671.2

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


		February 28, 2021		November 30, 2020			February 28, 2022		November 30, 2021
Investment Banking and Capital Markets	Investment Banking and Capital Markets	$	48,694.6	$	44,488.1	Investment Banking and Capital Markets	$	52,729.5	$	51,697.4
Asset Management	Asset Management	2,691.8		3,263.9		Asset Management	3,169.9		3,071.5
Total assets	Total assets	$	51,386.4	$	47,752.0	Total assets	$	55,899.4	$	54,768.9

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

Net Revenues by Geographic Region

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


		Three Months Ended				Three Months Ended February 28,
		February 28, 2021		February 29, 2020				2022		2021
Americas (1)	Americas (1)	$	1,750.6	$	950.1		Americas (1)	$	1,211.1	$	1,750.6
Europe (2)	Europe (2)	298.8		159.3			Europe (2)	255.0		298.8
Asia Pacific	Asia Pacific	80.0		61.3			Asia Pacific	75.7		80.0
Net revenues	Net revenues	$	2,129.4	$	1,170.7		Net revenues	$	1,541.8	$	2,129.4

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

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

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(Unaudited)

Note ~~19.~~18. Related Party Transactions

Officers, Directors and Employees. The following sets forth information regarding related party transactions with our officers, directors and employees:

•At February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, we had ~~$27.7~~$20.9 million and ~~$28.9~~$23.1 million, respectively, of loans outstanding to certain of our officers and employees (none of whom are executive officers or directors) that are included in Other assets in our Consolidated Statements of Financial Condition.

•Receivables from and payables to customers include balances arising from officers’, directors’ and employees’ individual security transactions. These transactions are subject to the same regulations as all customer transactions and are provided on substantially the same terms.

•~~One of our directors had an investment in a hedge fund managed by us of approximately $0.8 million at November 30, 2020. This investment was fully redeemed in February 2021.~~

See Note 8,7, Variable Interest Entities, and Note ~~16,~~15, Commitments, Contingencies and Guarantees, for further information regarding related party transactions with our officers, directors and employees.

Jefferies. The following is a description of our related party transactions with Jefferies and its affiliates:

•We provide services to and receive services from Jefferies under service agreements (in millions):


			Three Months Ended
			February 28, 2021		February 29, 2020
		Three Months Ended February 28,

								2022		2021
Charges to Jefferies for services provided	Charges to Jefferies for services provided		$	15.6	$	10.4	Charges to Jefferies for services provided	$	7.2	$	15.6
Charges from Jefferies for services received	Charges from Jefferies for services received		9.9		8.0		Charges from Jefferies for services received	5.1		9.9

•We also provide investment banking and capital markets and asset management services to Jefferies and its affiliates. The following table presents the revenues earned by type of services provided (in millions):


			Three Months Ended
			February 28, 2021		February 29, 2020
		Three Months Ended February 28,

								2022		2021
Investment banking	Investment banking		$	13.6	$	0	Investment banking	$	—	$	13.6
Commissions and other fees	Commissions and other fees		0.3		0.3		Commissions and other fees	0.3		0.3

•Receivables from and payables to Jefferies, included in Other assets and Accrued expenses and other liabilities, respectively, in our Consolidated Statements of Financial Condition (in millions):


		February 28, 2021		November 30, 2020			February 28, 2022		November 30, 2021
Receivable from Jefferies	Receivable from Jefferies	$	4.0	$	1.3	Receivable from Jefferies	$	111.1	$	0.3
Payable to Jefferies	Payable to Jefferies	3.2		7.1		Payable to Jefferies	1.4		10.9

•During the three months ended February 28, ~~2021,~~2022, we paid distributions of ~~$153.6~~$193.0 million to Jefferies, based on our results for the three months ended November 30, ~~2020. In addition, during the three months ended February 28, 2021, we received a contribution of $153.6 million from Jefferies and paid an additional distribution of $153.6 million to Jefferies.~~2021. At February 28, ~~2021,~~2022, we have accrued a distribution payable of ~~$247.0~~$170.7 million, included in Accrued expenses and other liabilities, in our Consolidated Statements of Financial Condition, based on our results for the three months ended February 28, ~~2021.~~2022.

•Pursuant to a tax sharing agreement entered into between us and Jefferies, payments are made between us and Jefferies to settle current tax receivables and payables. At February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, we had net current tax ~~payables to~~receivables from Jefferies of ~~$244.2~~$54.0 million and ~~$111.1~~$130.6 million, respectively, included in ~~Accrued expenses and other liabilities,~~Other assets, in our Consolidated Statements of Financial Condition. ~~Subsequent to quarter-end, in March 2021, we made payments totaling $175.0 million to Jefferies, which reduced the cumulative net current tax payable.~~

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - CONTINUED

(Unaudited)

•We purchase securities from and sell securities to Jefferies, at fair value (in millions). There were 0no gains or losses on these transactions.

Three Months Ended
February 28,
2021 February 29,
2020
Securities purchased from Jefferies $ 9.1 $ 26.1
Securities sold to Jefferies 0.5 0




	Three Months Ended February 28,
		2021
Securities purchased from Jefferies		$	9.1
Securities sold to Jefferies		0.5

•At February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, we have ~~customer account payables~~a payable to ~~entities~~an entity of Jefferies totaling ~~$1.1~~$1.0 million and ~~$2.2~~$0.5 million, respectively, included in Payables—customers, in our Consolidated Statements of Financial Condition.

•In connection with foreign exchange contracts entered into under a prime brokerage agreement with an affiliate of Jefferies, we have ~~$0.1~~$0.6 million and ~~$2.7~~$0.7 million at February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, respectively, included in Payables—brokers, dealers and clearing organizations, in our Consolidated Statements of Financial Condition.

•We enter into OTC foreign exchange contracts with a subsidiary of Jefferies. ~~In connection with these contracts, we had $0.1 million recorded in Financial instruments owned, at fair value, in our Consolidated Statements of Financial Condition at November 30, 2020.~~ Net gains (losses) relating to these contracts, which are included in Principal transactions revenues in our Consolidated Statements of Earnings, are as follows (in millions):

Three Months Ended
February 28,
2021 February 29,
2020
Net gains (losses) on foreign exchange contracts $ 0.1 $ (0.6)

•We had investments in a hedge fund managed by Jefferies of $239.0 million at November 30, 2020, included in Financial instruments owned, at fair value, in our Consolidated Statement of Financial Condition. In January 2021, Jefferies transferred one of its asset management divisions, the investment manager of this fund, to us, in return for a payment of $2.2 million. Net gains on our investments in this hedge fund for the three months ended February 29, 2020, were $3.8 million, which were included in Principal transactions revenues in our Consolidated Statement of Earnings.




	Three Months Ended February 28,
	2021
Net gains on foreign exchange contracts	$	0.1

•In connection with our capital markets activities, from time to time we make a market in long-term debt securities of Jefferies (i.e., we buy and sell debt securities issued by Jefferies). At February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, approximately ~~$0.2~~$3.3 million and ~~$2.6~~$2.3 million, respectively, of debt issued by Jefferies is included in Financial instruments owned, at fair value, ~~and at February 28, 2021, $0.1 million is included in Financial instruments sold, not yet purchased, at fair value,~~ in our Consolidated Statements of Financial Condition.

•~~For~~We have entered into an investment management agreement whereby Monashee provides asset management services to us for certain separately managed accounts. Our net investment balance in the separately managed accounts was $8.0 million and $13.6 million at February 28, 2022 and November 30, 2021, respectively, for which we recognized a loss of $2.1 million and a gain of $2.4 million for the three months ended February 28, 2022 and 2021, werespectively, which are recorded ~~asset~~in Principal transactions revenues in our Consolidated Statement of Earnings. We also recorded management ~~expenses~~fees of $0.2 million and $0.5 million for the three months ended February 28, 2022 and 2021, respectively, which are included in Floor brokerage and clearing fees in our Consolidated Statements of Earnings.

•We owned limited partnership interests in certain Oak Hill managed funds of $4.1 million at February 28, 2022, which are measured at the NAV of the funds and included within Investments at fair value in Financial instruments owned, at fair value, in our Consolidated Statement of ~~Earnings, relating to an investment~~Financial Condition. Changes in ~~a separately managed account, which is managed by a strategic affiliate.~~the fair value of the investments in the funds are reported within Principal transactions revenues in our Consolidated Statement of Earnings.

•We have ~~entered into~~ a sublease agreement with an affiliate of Jefferies for office space. ~~For both the three months ended February 28, 2021 and February 29, 2020, we~~Payments received ~~payments~~ from this affiliate for rent and other expenses ~~of $0.2 million.~~are as follows (in millions):




	Three Months Ended February 28,


	2022		2021
Payments received	$	0.2	$	0.2

For information on transactions with our equity method investees, see Note 9,8, Investments.

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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, ~~2020~~2021 and filed with the Securities and Exchange Commission (“SEC”) on January ~~29, 2021;~~28, 2022;

•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 I, Item 1A of our Annual Report on Form 10-K for the year ended November 30, ~~2020.~~2021.

Consolidated Results of Operations

Transfers from Jefferies Financial Group Inc.

On December 1, 2021, Jefferies Financial Group Inc. (“Jefferies”), our parent company, transferred certain loans and certain investments in securities and limited partnerships to us. In addition, Jefferies transferred its investment in Foursight Capital LLC (“Foursight”), a subsidiary of Jefferies, to us. These transfers were accomplished as a capital contribution from Jefferies, and since we are under common control, these loans and investments and the assets and liabilities of Foursight were recorded at their carrying amounts on December 1, 2021. As a result of these transfers, our total assets increased by $1.27 billion, total liabilities increased by $800.4 million and total equity increased by $476.5 million in our Consolidated Statement of Financial Condition. See Note 1, Organization and Basis of Presentation for further details.

The transferred securities and limited partnership interests are subsequently accounted for in accordance with our existing accounting policies for Financial instruments owned and Loans to and investments in related parties. Certain transferred loans have been classified within Other assets in our Consolidated Statement of Financial Condition and are accounted for at amortized cost as the transfer did not qualify as an event upon which the fair value option for these loans could be elected. Principal transactions revenues related to the change in fair value of the investments classified in Financial instruments owned, at fair value, Other revenue related to our share of the investees’ earnings for investments classified in Loans to and investments in related parties and interest income on transferred loans are included within our results of operations as of the period beginning December 1, 2021 and, accordingly, for the three months ended February 28, 2022.

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From December 1, 2021, Foursight is consolidated by us. Foursight is engaged primarily in automobile lending. The net assets of Foursight consist primarily of automobile loans classified within Receivables—Fees, interest and other and are accounted for at amortized cost, with a provision for current expected credit losses, and Other secured financings in our Consolidated Statement of Financial Condition. The results of operations of Foursight, which consist primarily of Interest income, Other revenues related to servicing activities and operating expenses are included within our results of operations as of the period beginning December 1, 2021 and, accordingly, for the three months ended February 28, 2022.

Overview

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


		Three Months Ended						% Change		Three Months Ended February 28,							% Change
		February 28, 2021			February 29, 2020						2022					2021				% Change
Net revenues	Net revenues	$	2,129,366		$	1,170,696		81.9	%			Net revenues	$	1,541,774			$	2,129,366			(27.6)	%
Non-interest expenses	Non-interest expenses	1,458,196			935,318			55.9	%			Non-interest expenses	1,104,880				1,458,196				(24.2)	%
Earnings before income taxes	Earnings before income taxes	671,170			235,378			185.1	%			Earnings before income taxes	436,894				671,170				(34.9)	%
Income tax expense	Income tax expense	177,305			64,013			177.0	%			Income tax expense	95,751				177,305				(46.0)	%
Net earnings	Net earnings	493,865			171,365			188.2	%			Net earnings	341,143				493,865				(30.9)	%
Net loss attributable to noncontrolling interests		(203)			(2,024)			(90.0)	%
Net losses attributable to noncontrolling interests												Net losses attributable to noncontrolling interests	(267)				(203)				31.5	%
Net earnings attributable to Jefferies Group LLC	Net earnings attributable to Jefferies Group LLC	494,068			173,389			184.9	%			Net earnings attributable to Jefferies Group LLC	341,410				494,068				(30.9)	%

Effective tax rate	Effective tax rate	26.4		%	27.2		%					Effective tax rate	21.9		%		26.4		%

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~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

Executive Summary

Three Months Ended February 28, ~~2021~~2022

Consolidated Results

•Net revenues for the three months ended February 28, ~~2021~~2022 were ~~an all-time quarterly record of $2.13~~$1.54 billion, ~~up 81.9%~~down 27.6% compared with ~~$1.17~~$2.13 billion for the three months ended February ~~29, 2020, which was then an all-time quarterly record.~~

•~~Our first quarter~~28, 2021, reflecting solid results ~~reflect record~~in investment banking and lower net revenues in ~~investment banking,~~ equities, fixed income and asset management, as ~~well~~we returned to a more normal trading environment as ~~solid results in fixed income.~~compared to the prior year’s exceptional comparable quarter.

•~~Our investment banking results reflect our increased market share, including record net revenues in equity underwriting, and solid performance in investment banking advisory and debt underwriting.~~Earnings before income taxes of $436.9 million were down 34.9% over the prior year comparable quarter.

•~~Our record equity and solid fixed income net revenues~~Net earnings attributable to Jefferies Group LLC of $341.4 million were ~~primarily due to higher market volumes, a favorable trading backdrop and increased market share, as~~down 30.9% over the ~~momentum in market share gains we experienced in 2020 continued.~~prior year comparable quarter.

Business Results

•Our investment banking net revenues ~~of $1.03~~were $1.00 billion for the three months ended February 28, ~~2021 were an increase of 79.0% from~~2022, compared with $1.06 billion in the prior year comparable quarter, ~~reflecting record underwriting~~on advisory revenues of ~~$692.2~~$543.8 million, ~~up $443.4~~as mergers and acquisitions activity was strong, with an increase of 74.6% over the prior year comparable quarter. Underwriting revenues of $401.3 million ~~or 178.2%,~~were down $290.9 million over the prior year comparable quarter, ~~while our advisory~~which reflected record net revenues ~~remained strong at $311.4 million.~~ in equity underwriting for that prior period.

•Our investment banking results ~~also~~for the three months ended February 28, 2022 include net revenues of ~~$30.6~~$27.2 million from our share of the net earnings of our Jefferies Finance ~~LLC (“Jefferies Finance”)~~ joint venture, compared with net revenues of ~~$10.4~~$30.6 million in the prior year comparable quarter, ~~reflecting an increase~~partially offset by expenses in ~~loan arrangement volumes, as well as a reduction in loan loss reserves.~~

•~~Our equities net revenues increased 116.2% compared to the prior year comparable quarter, driven by all-time record results in almost all our businesses~~connection with transactions between us and ~~across each~~Jefferies Finance of ~~our core regions. Our equities business benefited significantly from the trading environment~~$8.2 million and ~~the continued expansion of our businesses both from a product and geographic perspective.~~

•~~Our fixed income net revenues were up 46.4% compared to the prior year comparable quarter, driven by continued strong client activity across most products and regions.~~

•~~Our asset management net revenues of $169.9~~$3.1 million for the ~~three months ended February 28, 2021, were significantly higher than the $21.9~~periods. In addition, results in both periods also included revenues of $0.3 million ~~recorded in the prior year comparable quarter, driven by meaningfully higher investment returns across most platforms and a substantial increase in asset management fees and revenues.~~from Jefferies Finance to us. Results in the current year quarter also include $37.4 million in management and performance fees and similar revenues earned directly or through our strategic affiliates in the current year quarter, as compared with $11.7 million in the prior year comparable quarter. 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 three months ended February 28, 2021 were $31.6 million, compared with~~ net revenues of $77.5 million in the prior year comparable quarter. The results in the prior year comparable quarter included gains of $61.5 million from macro hedges that were bought and sold in the prior year comparable quarter at the onset of the coronavirus (“COVID-19”) pandemic. Results in the current year quarter include higher net revenues of $30.0$38.9 million from our share of the net income ~~from~~of Berkadia Commercial Mortgage Holding LLC (“Berkadia”), compared with ~~$21.9~~$30.0 million of net revenues from Berkadia in the prior year comparable ~~quarter.~~

~~Expenses~~

•~~Non-interest expenses~~quarter, primarily due to increased mortgage origination at Berkadia. Revenues from our share of the net earnings of Jefferies Finance and Berkadia are partially offset by allocated interest expense associated with our investments in Jefferies Finance and Berkadia. Our other investment banking results for the three months ended February 28, 2021 increased $522.9 million, or 55.9%, to $1.46 billion, compared with $935.3 million for the prior year comparable quarter. This 55.9% increase, which is primarily due to higher compensation and benefits expense, is meaningfully lower than our 81.9% increase in2022 also include net revenues ~~demonstrating the operating leverage inherent in our business model. As a result, our pre-tax operating margin increased to 31.5% in the current year quarter~~of $21.8 million from ~~20.1% in the prior year comparable quarter.~~Foursight.

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•Our equities net revenues of $277.0 million are 47.8% lower than those of the prior year’s exceptionally strong comparable quarter, as our results were impacted by challenging market conditions for equity trading as a result of the market volatility and global instability. This compares to all-time record results in predominately all our equities businesses and across each of our regions during the three months ended February 28, 2021. Last year’s first quarter benefited from all-time record results in predominately all our equities businesses and across each of our regions.

•Our fixed income net revenues of $202.8 million were down 44.2% compared to the prior year comparable quarter, as a result of reduced client activity across most products and regions, as increased inflation and interest rate concerns resulted in lower volumes. Last year’s first quarter benefited from particularly strong client activity and robust revenues from high levels of volatility.

•Overall net revenues in our asset management business were $60.0 million, compared with a record $170.5 million in the prior year comparable quarter, due to significantly lower investment returns on our capital for the three months ended February 28, 2022, on lower performance by strategies that had exceptionally strong returns during the prior year comparable quarter.

Expenses

•Non-interest expenses of $1.10 billion for the three months ended February 28, 2022 decreased $353.3 million, or 24.2%, compared with $1.46 billion for the prior year comparable quarter. The decrease is largely due to the decline in compensation and benefits expense consistent with the decline in net revenues.

•Compensation and benefits expense for the three months ended February 28, ~~2021~~2022 was ~~$1.12 billion, an increase~~$744.2 million, a decrease of ~~$484.7~~$375.7 million, or ~~76.3%~~33.5%, from the prior year comparable ~~quarter, modestly below the 81.9% growth in our net revenues.~~quarter. Compensation and benefits expense as a percentage of Net revenues was ~~52.6%~~48.3% for the three months ended February 28, ~~2021,~~2022, compared with ~~54.3%,~~52.6% in the prior year comparable ~~quarter.~~quarter and 47.9% for the year ended November 30, 2021.

•Non-compensation expenses for the three months ended February 28, ~~2021~~2022 increased ~~$38.2~~$22.4 million to ~~$338.3~~$360.7 million, compared with ~~$300.1~~$338.3 million for the prior year comparable quarter. This 12.7% increase is again meaningfully lower than our 81.9% increase in net revenues, as a meaningful portion of our non-compensation expenses are fixed in nature. The modest absolute 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, strong fixed income net revenues and record investment banking net revenues. The increase was ~~also~~primarily due to higher Technology and communication expenses ~~partially offset by meaningfully lower~~related to the development of various trading and management systems and increased market data costs, higher Business development expenses as business travel and events ~~remained~~increased from the prior year comparable quarter which was substantially curtailed due to ~~COVID-19.~~COVID-19 and higher Other expenses, which included expenses related to the operations of Foursight. This increase was partially offset by lower Underwriting costs due to a decrease in the volume of equity underwriting transactions.

Headcount

•At February 28, ~~2021,~~2022, we had ~~3,984~~4,808 employees globally, an increase of ~~162~~824 employees from our headcount of ~~3,822~~3,984 at February ~~29, 2020.~~28, 2021. Our headcount increased across all regions, primarily ~~in the Americas and Europe~~ as a result of ~~continued investment to support and drive the~~ growth ofin our investment banking ~~and equities~~ businesses, including the addition of 202 employees as ~~well as~~a result of the transfer of Foursight from Jefferies to us. The increase was also due to additions in technology and other corporate services staff to support our ~~growth. The increase was partially offset by reductions in our asset management business due to the wind down of an asset management platform.~~

increased growth and other strategic priorities.

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.

We have made a change to the presentation of our “Revenues by Source” to present our share of the net earnings of Berkadia within Other investment banking net revenues, which was previously presented within our Other business category. We believe that this change to our revenue reporting better aligns with management’s current view of our business activities related to commercial real estate investment banking and management reporting. Previously reported results are presented on a comparable basis in the tables below.

On December 1, 2021, we have also expanded the activities of our asset management business to include alternative investment strategies. Previously reported results are presented on a comparable basis in the tables below. Additionally, our other investment banking activities reflects the operations of Foursight.

The changes to the manner in which we describe and disclose the performance of our business activities has no effect on our historical consolidated results of operation. These changes do not impact our reportable segments and we will continue to report our activities in two business segments: (1) Investment Banking and Capital Markets and (2) Asset Management.

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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
February 28, 2021 February 29, 2020
Amount % of Net Revenues Amount % of Net Revenues % Change
Advisory $ 311,439 14.6 % $ 343,158 29.3 % (9.2) %
Equity underwriting 494,806 23.2 131,692 11.2 275.7 %
Debt underwriting 197,417 9.3 117,152 10.0 68.5 %
Total underwriting 692,223 32.5 248,844 21.2 178.2 %
Other investment banking 29,825 1.4 (14,529) (1.2) N/M
Total investment banking 1,033,487 48.5 577,473 49.3 79.0 %
Equities 531,016 24.9 245,641 21.0 116.2 %
Fixed income 363,359 17.1 248,182 21.2 46.4 %
Total capital markets 894,375 42.0 493,823 42.2 81.1 %
Other 31,647 1.5 77,533 6.6 (59.2) %
Total Investment Banking and Capital Markets (1) (2) 1,959,509 92.0 1,148,829 98.1 70.6 %
Asset management fees and revenues 37,383 1.8 11,720 1.0 219.0 %
Investment return (3) (4) 142,873 6.7 20,839 1.8 585.6 %
Allocated net interest (3) (5) (10,399) (0.5) (10,692) (0.9) (2.7) %
Total Asset Management 169,857 8.0 21,867 1.9 676.8 %
Net revenues $ 2,129,366 100.0 % $ 1,170,696 100.0 % 81.9 %

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	Three Months Ended February 28,
	2022				2021
	Amount		% of Net Revenues		Amount		% of Net Revenues		% Change
Advisory	$	543,769	35.3	%	$	311,439	14.6	%	74.6	%

Equity underwriting	156,100		10.1		494,806		23.2		(68.5)	%
Debt underwriting	245,179		15.9		197,417		9.3		24.2	%
Total underwriting	401,279		26.0		692,223		32.5		(42.0)	%
Other investment banking	58,134		3.8		54,323		2.6		7.0	%
Total investment banking	1,003,182		65.1		1,057,985		49.7		(5.2)	%

Equities	277,047		18.0		531,016		24.9		(47.8)	%
Fixed income	202,800		13.2		363,359		17.1		(44.2)	%
Total capital markets	479,847		31.2		894,375		42.0		(46.3)	%

Other	(1,211)		(0.2)		6,486		0.3		N/M

Total Investment Banking and Capital Markets (1)	1,481,818		96.1		1,958,846		92.0		(24.4)	%

Asset management fees and revenues	44,502		2.9		37,383		1.8		19.0	%
Investment return (2)	29,530		1.9		143,536		6.7		(79.4)	%
Allocated net interest (2)	(14,076)		(0.9)		(10,399)		(0.5)		35.4	%
Total Asset Management	59,956		3.9		170,520		8.0		(64.8)	%

Net revenues	$	1,541,774	100.0	%	$	2,129,366	100.0	%	(27.6)	%

N/M — Not Meaningful

(1)~~Includes net interest revenues of $12.2 million and $2.9 million for the three months ended February 28, 2021 and February 29, 2020, 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)~~(2)~~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~~represents an allocation to Asset Management of our long-term debt interest expense, 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.

~~(4)~~

~~Includes direct net interest expenses~~Table of ~~$2.3 million and $6.4 million for the three months ended February 28, 2021 and February 29, 2020, respectively.~~Contents

~~(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.~~JEFFERIES GROUP LLC AND SUBSIDIARIES

Investment Banking Revenues

Investment banking is comprised of revenues from:

•advisory services with respect to ~~mergers~~mergers/acquisitions, restructurings/recapitalizations and ~~acquisitions and restructurings and recapitalizations;~~private capital advisory transactions;

•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;

•our 45% share of net earnings from our commercial real estate joint venture, Berkadia;

•the results of operations of Foursight, our wholly-owned subsidiary engaged in the lending and servicing of automobile loans; and

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

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

Three Months Ended % Change
February 28, 2021 February 29, 2020
Advisory $ 311,439 $ 343,158 (9.2) %
Equity underwriting 494,806 131,692 275.7 %
Debt underwriting 197,417 117,152 68.5 %
Total underwriting 692,223 248,844 178.2 %
Other investment banking 29,825 (14,529) N/M
Total investment banking $ 1,033,487 $ 577,473 79.0 %

~~N/M — Not Meaningful~~


	Three Months Ended February 28,				% Change
	2022		2021

Advisory	$	543,769	$	311,439	74.6	%

Equity underwriting	156,100		494,806		(68.5)	%
Debt underwriting	245,179		197,417		24.2	%
Total underwriting	401,279		692,223		(42.0)	%
Other investment banking	58,134		54,323		7.0	%
Total investment banking	$	1,003,182	$	1,057,985	(5.2)	%

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


		Deals Completed		Aggregate Value		Deals Completed					Aggregate Value
		Three Months Ended			Three Months Ended						Three Months Ended February 28,			Three Months Ended February 28,
		February 28, 2021	February 29, 2020				February 28, 2021		February 29, 2020				2022	2021	2022		2021
Advisory transactions	Advisory transactions	65	66				$	82.2	$	57.7		Advisory transactions	132	65	$	138.8	$	82.2
Public and private equity and convertible offerings												Public and private equity and convertible offerings	47	116	12.1		43.8
Public and private debt financings	Public and private debt financings	163	152				76.7		69.6			Public and private debt financings	176	163	88.1		76.7
Public and private equity and convertible offerings		116	56				43.8		11.8

Three Months Ended February 28, ~~2021~~2022

•Investment banking revenues for the three months ended February 28, ~~2021~~2022 were ~~a record of $1.03~~$1.00 billion, compared with ~~$577.5 million~~$1.06 billion for the three months ended February ~~29, 2020,~~28, 2021, reflecting ~~record revenues in equity underwriting and solid performance in debt underwriting and slightly lower~~higher revenues in mergers and ~~acquisitions.~~acquisitions and debt underwriting, more than offset by lower revenues in equity underwriting.

•Our advisory revenues were $543.8 million, up $232.4 million, or 74.6%, compared to the prior year comparable quarter, as activity in the mergers and acquisitions markets remained strong and the number of our completed transactions continued to increase.

•Total underwriting revenues for the three months ended February 28, 2022 were $401.3 million, a decrease of 42.0% from $692.2 million in the prior year comparable quarter, reflecting lower net revenues of $156.1 million in equity underwriting, partially offset by strong quarterly net revenues of $245.2 million in debt underwriting. The decline in our equity underwriting net revenues was consistent with the substantial reduction in industry-wide deal activity, including a slowdown in Special Purpose Acquisition Companies (“SPACs”) transactions as compared with the prior year comparable quarter.

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•Our underwriting revenues for the three months ended February 28, 2021 were a record $692.2 million, an increase of 178.2% from $248.8 million in the prior year comparable quarter, with record quarterly net revenues in equity underwriting of $494.8 million and solid net revenues of $197.4 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. In addition, our equity underwriting results in the current year quarter include revenues of $129.2 million generated from our underwriting activities on 22 Special Purpose Acquisition Companies (“SPACs”) offerings and other SPAC-related transactions. Our advisory revenues were $311.4 million, a decrease of $31.8 million, or 9.2%, from the prior year comparable quarter.

•Other investment banking net revenues were ~~$29.8~~$58.1 million for the three months ended February 28, ~~2021,~~2022, compared with ~~a loss~~net revenues of ~~$14.5~~$54.3 million for the three months ended February ~~29, 2020.~~28, 2021. Other investment banking revenues during the three months ended February 28, ~~2021~~2022 include net revenues of ~~$30.6~~$27.2 million from our share of the net earnings of our Jefferies Finance joint venture, compared with net revenues of ~~$10.4~~$30.6 million in the prior year comparable ~~quarter. This is reflective~~quarter, partially offset by expenses in connection with transactions between us and Jefferies Finance of ~~an increase~~$8.2 million and $3.1 million for the periods. In addition, results in ~~committed loan arrangement volumes during~~both periods also included revenues of $0.3 million from Jefferies Finance to us. Results in the current year ~~quarter. Additionally,~~quarter also include net revenues of $38.9 million due to our share of the net income of Berkadia compared with net revenues of $30.0 million from Berkadia in the prior year comparable quarter, primarily due to increased mortgage origination at Berkadia. Revenues from our share of the net earnings of Jefferies Finance and Berkadia are partially offset by allocated interest expense associated with our investments in Jefferies Finance and Berkadia. In addition, our other investment banking results ~~during~~for the three months ended February ~~29, 2020, included a higher level~~28, 2022 include net revenues of ~~reserves recorded on the loan portfolio and unrealized~~$21.8 million from Foursight. Other investment banking net revenues also include net mark-to-market losses of $13.7 million related to ~~the write-down of~~ certain ~~equity~~ investments, ~~due to the impact of COVID-19 on the markets and the economy, as~~ compared with ~~minimal portfolio reserves and~~net mark-to-market ~~activity on equity investments~~gains of $8.5 million in the ~~current year quarter. The~~ prior year comparable ~~quarter also included unrealized write-downs of private equity investments received or acquired in connection with~~quarter.

•At February 28, 2022, the new issue markets are somewhat sluggish and while our investment banking ~~activities. Our Other investment banking~~backlog remains strong, our realization of this backlog is sensitive to market conditions. As an indicator of net revenues ~~are reduced~~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 ~~allocated interest expense~~factors we do not control. Transactions not included in our backlog may be completed, and ~~the amortization of costs related to our investment in the Jefferies Finance business.~~expected transactions may be modified or cancelled.

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 and other prime brokerage services offered to clients, including capital ~~intelligence~~introductions and outsourced trading; and

•wealth management services.

Three Months Ended February 28, ~~2021~~2022

•Total equities net revenues were ~~$531.0~~$277.0 million for the three months ended February 28, ~~2021, an increase of 116.2%,~~2022, compared with ~~$245.6~~$531.0 million for the prior year comparable quarter, ~~driven by~~which included all-time record results in predominately all our equities businesses and across each of our ~~core~~ regions. ~~Our equities franchise benefited significantly from the favorable trading environment and SPAC-related activity in the U.S.~~

•~~In the last several months, we received recognition from leading third-party market surveys - Our international convertibles franchise was ranked 1~~stResults in ~~both European and Asian, excluding Japan, convertibles by Greenwich Associates. Bloomberg ranked~~ our ~~electronic trading platform as 2~~nd ~~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~~ global cash equities business reflected lower client activity across regions versus strong market volumes in the prior year comparable quarter. The prior year comparable quarter also benefited from trading opportunities related to SPACs. Our global convertibles business also had ~~record net~~lower revenues primarily driven by ~~meaningfully higher trading revenue, with~~weaker equity markets and widening credit spreads compared to a strong ~~client activity and~~issuance market ~~volumes.~~ ~~Our electronic trading businesses~~ in ~~Europe and Asia achieved record results, while our U.S. electronic trading business delivered strong results, all driven by increased global market volumes and new client activity.~~ ~~Record results in our global convertibles franchise were driven by increased client activity and higher trading revenues on~~ the back of a significant increase in new issuance in this market. Our prime services franchise, consisting of prime brokerage and securities finance, recorded record results driven by increased client balances and customer trading activity, and the addition of new clients in our outsourced trading business. ~~Our equity derivatives business had record quarterly results driven by a higher volatility trading environment and an increase in client activity.~~prior year comparable quarter.

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;

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•interest rate derivatives and credit derivatives; and

•financing services offered to clients.

Three Months Ended February 28, ~~2021~~2022

•Fixed income net revenues totaled $202.8 million for the three months ended February 28, 2022, a decrease of 44.2% from net revenues of $363.4 million for the three months ended February 28, 2021, ~~an increase~~primarily due to lower trading volumes in the face of ~~46.4% from net revenues~~inflation concerns and interest rate uncertainty and a reduction in investor demand for securitized products. The prior year comparable quarter results were reflective of ~~$248.2 million for the three months ended February 29, 2020, driven by continued~~particularly strong client activity ~~across most products~~ and ~~geographies, and our ongoing investments to grow our business, particularly in Europe.~~robust revenues from high levels of volatility.

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•~~Net revenues in the current year quarter were higher in our U.S. and international securitized markets groups due to increased demand in the securitization markets for~~Results across most of ~~these product classes,~~our credit franchise and emerging markets business were lower on a slowdown in trading opportunities, as ~~compared with~~results in the prior year comparable quarter as the relative higher yields on securitized products drove investor demand in the current year quarter. Our revenues also benefited from our expansion in European collateralized loan obligations (“CLOs”) origination and trading.

•~~Strong results across our global credit franchise resulted from~~reflected robust revenues across regions and products, due to increased client ~~activity and higher levels of volatility~~trading activity. Additionally, trading conditions were difficult for municipal securities as compared to strong results in the ~~current~~prior year quarter, as well as continued tightening of already record low credit spreads throughout most of the quarter and a strong issuance calendar. We have also made strategic hires in our European credit franchise which contributed to our revenue growth.comparable quarter.

•The ~~record~~lower results were partially offset by ~~lower~~higher revenues in our ~~U.S.~~global rates ~~business~~businesses due to ~~a decline~~an increase in trading opportunities, ~~which was impacted by volatile Treasury yields~~as increased inflation expectations drove an increase in rates during the current year quarter.

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, ~~or related parties and~~which are not part of our Leucadia Asset Management ~~platform;~~platform, and other strategic investment positions; and

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

Three Months Ended February 28, ~~2021~~2022

•Our other net revenues totaled ~~$31.6~~$1.2 million for the three months ended February 28, ~~2021,~~2022, a decrease of ~~$45.9~~$7.7 million compared with net revenues of ~~$77.5~~$6.5 million for the three months ended February ~~29, 2020.~~28, 2021.

•The results in the prior year comparable quarter included gains of $61.5 million from macro hedges that were bought and sold in the prior year comparable quarter at the onset of the COVID-19 pandemic.

•~~Results in the current year quarter include net revenues of $30.0 million due to our share of the net income of Berkadia compared with $21.9 million in the prior year comparable quarter.~~

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Asset Management

~~Our asset management business is~~We operate a diversified alternative asset management platform offering institutional clients an innovative range of investment strategies directly and through ~~us and~~ our affiliated asset managers. We provide certain of our affiliated asset managers access to our 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~~marketing business development.

Asset management revenue includes the following:

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

•revenue from affiliated asset managers ~~in which~~where we ~~hold interests that entitle us~~are entitled to portions of their revenues and/or ~~profits;~~profits, as well as earnings on our ownership interests in our affiliated asset managers; and

•investment income from capital invested in and managed by us, Jefferies and our affiliated asset ~~managers.~~managers; and

•alternative investing activities across a range of sectors.

The key components of asset management revenues are the level of assets under management and the performance return, for the most part on an absolute basis, and, 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~~In some instances, performance fees and similar revenues are ~~generally~~ recognized once a year, ~~typically in December,~~ when they become fixed and determinable and are not probable of being significantly ~~reversed.~~reversed, typically in December. As a result, a significant portion of our performance fees and similar revenues generated from investment returns in a calendar year are ~~generally realized and~~ recognized in ~~the first quarter~~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				% Change		Three Months Ended February 28,						% Change
		February 28, 2021		February 29, 2020					2022				2021			% Change
Asset management fees:	Asset management fees:									Asset management fees:
Equities	Equities	$	4,999	$	2,874	73.9	%			Equities	$	5,290		$	4,999				5.8	%
Multi-asset	Multi-asset	1,914		1,530		25.1	%			Multi-asset	7,279			1,914			280.3	%
Total asset management fees	Total asset management fees	6,913		4,404		57.0	%			Total asset management fees	12,569			6,913			81.8	%
Revenue from strategic affiliates (1)	Revenue from strategic affiliates (1)	30,470		7,316		316.5	%			Revenue from strategic affiliates (1)	31,933			30,470			4.8	%
Total asset management fees and revenues	Total asset management fees and revenues	37,383		11,720		219.0	%			Total asset management fees and revenues	44,502			37,383			19.0	%
Investment return	Investment return	142,873		20,839		585.6	%			Investment return	29,530			143,536			(79.4)	%
Allocated net interest	Allocated net interest	(10,399)		(10,692)		(2.7)	%			Allocated net interest	(14,076)			(10,399)			35.4	%
Total Asset Management	Total Asset Management	$	169,857	$	21,867	676.8	%			Total Asset Management	$	59,956		$	170,520		(64.8)	%

(1)These amounts include our share of fees received by affiliated asset management companies with which we have revenue and profit share ~~arrangements.~~arrangements, as well as earnings on our ownership interest in affiliated asset managers.

Three Months Ended February 28, ~~2021~~2022

•~~Asset~~Total asset management ~~net~~fees and revenues in the three months ended February 28, ~~2021~~2022 were ~~a record $169.9~~$44.5 million, ~~significantly higher than the $21.9~~compared with $37.4 million ~~recorded~~ in the prior year comparable ~~quarter, driven by meaningfully~~quarter. The increase was due to higher ~~investment returns across most platforms and a substantial increase in~~ asset management fees on funds managed by us and ~~revenues. Results~~a modest increase in ~~the current year quarter include $37.4 million in management~~performance and ~~performance~~similar fees and ~~similar~~ revenues earned directly or through our strategic ~~affiliates~~affiliates.

•Our investment return in the ~~current year quarter, as~~three months ended February 28, 2022 was $29.5 million, compared with ~~$11.7~~$143.5 million in the prior year comparable quarter, as our strategies were significantly impacted by a difficult environment for long/short equity funds, multi-strategy funds and energy funds and lower performance by strategies that had very strong returns during the prior year comparable quarter. ~~Performance fees~~Results were partially offset by fair value increases for the period on certain investments transferred to us from Jefferies. Results in the current year quarter also include allocated net interest expenses of $14.1 million, compared with $10.4 million in the prior year comparable quarter.

Assets under Management

We and ~~similar revenues~~our affiliated asset managers have aggregate net asset values or net asset value equivalent assets under management of approximately $23.6 billion and $14.3 billion at February 28, 2022 and November 30, 2021, 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 or the net capital invested in a separately managed account. These include the following:

•Net asset values of investments made by us or by Jefferies in funds or separately managed accounts were $2.6 billion at February 28, 2022 and $2.6 billion at November 30, 2021. We invest in certain strategies using our own capital often before opening a strategy to outside capital. The net asset values include our capital of $1.7 billion at February 28, 2022 and $1.6 billion at November 30, 2021 plus amounts financed of $0.9 billion at February 28, 2022 and $1.0 billion at November 30, 2021. 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 $20.0 billion at February 28, 2022 and $10.9 billion at November 30, 2021, primarily reflecting increases from the transfer of investments from Jefferies to us on December 1, 2021 (see Note 1, Organization and Basis of Presentation for further details). In some instances, due to the timing of payments and crystallization of underlying profits or revenue, the revenue related to these relationships will generally be realized and recognized once aper year ~~in the first quarter of our fiscal year and are attributable to performance realized in respect of~~at the calendar ~~year ending during~~year-end (during our first fiscal ~~quarter.~~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.

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~~Assets under Management~~•Third-party investments actively managed by our wholly-owned managers were $1.0 billion at February 28, 2022 and $0.8 billion at November 30, 2021. 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.

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):

February 28, 2021 November 30, 2020
Assets under management (1):
Equities $ 418 $ 481
Multi-asset 355 173
Total $ 773 $ 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”).


	February 28, 2022		November 30, 2021
Assets under management:
Equities	$	355	$	349
Multi-asset	637		482
Total	$	992	$	831

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


		Three Months Ended				Three Months Ended February 28,
		February 28, 2021		February 29, 2020				2022		2021
Asset under management:	Asset under management:						Asset under management:
Balance, beginning of period	Balance, beginning of period	$	654	$	840		Balance, beginning of period	$	831	$	654
Net cash flows in	Net cash flows in	97		139			Net cash flows in	157		97
Net market appreciation (depreciation)		22		(55)
Net market appreciation							Net market appreciation	4		22
Balance, end of period	Balance, end of period	$	773	$	924		Balance, end of period	$	992	$	773

The ~~increase~~change in assets under management during the three months ended February 28, 2022 is primarily due to new subscriptions and investments from third-parties. The change in ~~our wholly-owned managers~~assets under management during the three months ended February 28, 2021 is primarily due to the transfer of third-party net assets from Jefferies to us, as well as market appreciation. The increase in assets under management during the three months ended February 29, 2020 is primarily due to new subscriptions and investments from third-parties, partially offset by market depreciation.

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

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Asset Management Investments

~~In connection with building our business and growing the revenues we participate in via our affiliated managers, our~~Our asset management business makes seed and additional strategic investments directly in alternative asset management separately managed accounts and co-mingled funds where we ~~or our Parent~~ act as the asset manager or in affiliated asset managers where we have strategic relationships and participate in the ~~earnings~~revenues or profits of the affiliated manager. ~~Our asset management investments generated an investment return of $142.9 million and $20.8 million for the three months ended February 28, 2021 and February 29, 2020, respectively.~~ The following table represents our investments by type of asset manager (in thousands):


		February 28, 2021		November 30, 2020			February 28, 2022		November 30, 2021
Jefferies Group LLC; as manager:	Jefferies Group LLC; as manager:					Jefferies Group LLC; as manager:
Fund investments ~~(2)~~(1)	Fund investments ~~(2)~~(1)	$	312,051	$	25,292	Fund investments ~~(2)~~(1)	$	182,990	$	221,359
Separately managed accounts ~~(3)~~(2)	Separately managed accounts ~~(3)~~(2)	271,943		342,443		Separately managed accounts ~~(3)~~(2)	241,237		251,665
Total	Total	$	583,994	$	367,735	Total	$	424,227	$	473,024

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

Total		$	—	$	233,601

Strategic affiliates; as asset manager:	Strategic affiliates; as asset manager:					Strategic affiliates; as asset manager:
Fund investments(1)	Fund investments(1)	$	665,463	$	641,185	Fund investments(1)	$	1,001,126	$	825,503
Separately managed accounts ~~(3)~~(2)	Separately managed accounts ~~(3)~~(2)	239,961		261,273		Separately managed accounts ~~(3)~~(2)	222,538		307,723

Investments in asset managers (3)						Investments in asset managers (3)	223,928		—
Total	Total	$	905,424	$	902,458	Total	$	1,447,592	$	1,133,226

Total asset management investments	Total asset management investments	$	1,489,418	$	1,503,794	Total asset management investments	$	1,871,819	$	1,606,250

(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 February 28, ~~2021~~2022 and November 30, ~~2020, $20.3~~2021, $70.1 million and ~~$0.1~~$76.5 million, respectively, ~~represents~~represent net investments in funds that have been consolidated in our financial statements.

(2)~~In the three months ended February 28, 2021, certain fund investments that Jefferies Financial Group Inc. had acted as the manager for were transferred to us as the manager.~~

~~(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 $22.4 billion and $21.0 billion at February 28, 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 (February 28, 2021) and $2.6 billion (November 30, 2020). We incubate certain strategies using our own capital during the institutional buildout phase before opening investments to outside capital. The net asset values include our seed capital of $1.5 billion (February 28, 2021) and $1.5 billion (November 30, 2020) plus amounts financed of $0.9 billion (February 28, 2021) and $1.1 billion (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 $7.6 billion (February 28, 2021) and $6.9 billion (November 30, 2020). In some instances, due to the timing of payments and crystallization of underlying profits or revenue, the majority of 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.

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•(3)~~Third-party~~On December 1, 2021, Jefferies transferred certain investments ~~actively managed by our wholly-owned divisions were $0.8 billion (February 28, 2021)~~to us. See Note 1, Organization and ~~$0.7 billion (November 30, 2020). We earn asset management fees as a result~~Basis 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, our joint venture with Massachusetts Mutual Life Insurance Company, were $11.6 billion (February 28, 2021) and $10.8 billion (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 accountedPresentation for ~~under the equity method and presented in Other revenues on the Consolidated Statement of Earnings.~~further details.

Non-interest Expenses

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


		Three Months Ended				% Change		Three Months Ended February 28,						% Change
		February 28, 2021		February 29, 2020					2022				2021			% Change
Compensation and benefits	Compensation and benefits	$	1,119,894	$	635,230	76.3	%			Compensation and benefits	$	744,212		$	1,119,894		(33.5)	%
Non-compensation expenses:	Non-compensation expenses:									Non-compensation expenses:
Floor brokerage and clearing fees	Floor brokerage and clearing fees	76,580		60,580		26.4	%			Floor brokerage and clearing fees	83,961			76,580			9.6	%
Underwriting costs										Underwriting costs	8,128			36,136			(77.5)	%
Technology and communications	Technology and communications	104,341		89,184		17.0	%			Technology and communications	119,822			104,341			14.8	%
Occupancy and equipment rental	Occupancy and equipment rental	27,990		27,503		1.8	%			Occupancy and equipment rental	30,905			27,990			10.4	%
Business development	Business development	17,981		29,957		(40.0)	%			Business development	27,371			17,981			52.2	%
Professional services	Professional services	44,288		44,665		(0.8)	%			Professional services	51,118			44,288			15.4	%
Underwriting costs		36,136		17,529		106.1	%
Other	Other	30,986		30,670		1.0	%			Other	39,363			30,986			27.0	%
Total non-compensation expenses	Total non-compensation expenses	338,302		300,088		12.7	%			Total non-compensation expenses	360,668			338,302			6.6	%
Total non-interest expenses	Total non-interest expenses	$	1,458,196	$	935,318	55.9	%			Total non-interest expenses	$	1,104,880		$	1,458,196		(24.2)	%

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.

•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~~such awards granted at year end as part of annual compensation is recorded during the year of the award. Compensation and benefits expense also includes amortization expense ~~associated with these~~related to awards ~~to the extent~~granted where vesting is contingent on future service. In addition, the ~~senior executive~~ awards to our Chief Executive Officer and Chairman and our Chairman of the Executive Committee contain market and performance conditions and the awards are amortized over their service periods.

•Compensation and benefits expense was $744.2 million for the three months ended February 28, 2022, compared with $1.12 billion for the three months ended February 28, 2021, ~~compared with $635.2 million for the three months ended February 29, 2020, increasing in line~~consistent with the ~~significant increase~~decrease in our net revenues. A significant portion of our compensation expense is highly variable with net revenues.

•Compensation and benefits expense as a percentage of Net revenues was 48.3% for the three months ended February 28, 2022, compared with 52.6% for the three months ended February 28, 2021 ~~compared with 54.3%~~and 47.9% for the ~~three months~~year ended ~~February 29, 2020.~~November 30, 2021.

•Compensation expense related to the amortization of share- and cash-based awards amounted to $39.2 million for the three months ended February 28, 2022, compared with $42.1 million for the three months ended February 28, 2021, compared with $83.8 million for the three months ended February 29, 2020. 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.2021.

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•Employee headcount was ~~3,984~~4,808 at February 28, ~~2021,~~2022, an increase of ~~162~~824 employees from our headcount of ~~3,822~~3,984 at February ~~29, 2020.~~28, 2021. Our headcount increased across all regions, primarily ~~in the Americas and Europe~~ as a result of ~~continued investment to support and drive the~~ growth ofin our investment banking ~~and equities businesses,~~business, including the addition of 202 employees as ~~well as~~a result of the transfer of Foursight from Jefferies to us. The increase was also due to additions in technology and other corporate services staff to support our ~~growth. The increase was partially offset by reductions in our asset management business due to the wind down of an asset management platform.~~increased growth and other strategic priorities.

•Refer to Note ~~14,~~13, Compensation Plans, in our consolidated financial statements included in this Quarterly Report on Form 10-Q, for further details on compensation and benefits.

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Non-Compensation Expenses

Three Months Ended February 28, ~~2021~~2022

•Non-compensation expenses were ~~$338.3~~$360.7 million for the three months ended February 28, ~~2021,~~2022, an increase of ~~$38.2~~$22.4 million, or ~~12.7%~~6.6%, compared with ~~$300.1~~$338.3 million in the three months ended February ~~29, 2020.~~28, 2021.

•The ~~modest absolute~~ increase ~~in non-compensation expenses was~~is 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 and higher Technology and communication expenses ~~primarily~~ related to ~~costs associated with~~ the development of various trading and management systems and increased market data ~~costs.~~

•Non-compensation expenses in the current year quarter 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 quarter included our $2.4 million donation made to various charities in support of the Australian wildfire relief effort.

•~~The increase in non-compensation expenses was partially offset by meaningfully lower~~costs, higher Business development expenses as business travel and events ~~remained~~increased from the prior year comparable quarter which was substantially curtailed due to ~~COVID-19.~~COVID-19 and higher Other expenses, which included expenses related to the operations of Foursight on December 1, 2021. This increase was partially offset by lower Underwriting costs due to a decrease in the volume of investment banking transactions.

•Non-compensation expenses as a percentage of Net revenues was ~~15.9%~~23.4% and ~~25.6%~~15.9% for the three months ended February 28, 2022 and 2021, ~~and February 29, 2020, respectively, demonstrating the operating leverage inherent in our business.~~respectively.

Income Taxes

•For the three months ended February 28, 2022, the provision for income taxes was $95.8 million, equating to an effective tax rate of 21.9%. For the three months ended February 28, 2021, the provision for income taxes was $177.3 million, equating to an effective tax rate of 26.4%. ~~For the three months ended February 29, 2020, the provision for income taxes was $64.0 million, equating to an effective tax rate of 27.2%.~~

•The decrease in the effective tax rate for the three months ended February 28, ~~2021,~~2022, as compared to the prior year comparable quarter, is primarily due to ~~our substantially higher earnings before income taxes minimizing~~ the ~~impact~~recognition of ~~nondeductible expenses.~~excess tax benefits on restricted stock units distributed in the current year quarter.

•Refer to Note ~~15,~~14, 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~~There are no accounting standard updates, which we have either determined are applicable or expected to have a ~~discussion of recently issued accounting developments and their~~material 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.~~statements.

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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, ~~2020.~~2021 and Note 2, Summary of Significant Accounting Policies, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

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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 4,3, 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~~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, ~~2020~~2021 and Note 4,3, 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 4,3, Fair Value Disclosures, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

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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.

Goodwill

At February 28, ~~2021,~~2022, Goodwill recorded in our Consolidated Statement of Financial Condition is ~~$1,650.6 million (3.2%~~$1.65 billion (2.9% 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, ~~2020~~2021 and Note ~~10,~~9, 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.~~2021.

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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 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 of fair value of each reporting unit on a controlling basis.

The carrying values of goodwill by reporting unit at February 28, ~~2021~~2022 are as follows: ~~$567.5~~$566.1 million in Investment Banking, ~~$161.2~~$160.7 million in Equities and Wealth Management, ~~$921.5~~and $919.2 million in Fixed ~~Income and $0.4 million in Asset Management.~~Income.

The results of our assessment on August 1, ~~2020~~2021 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,~~9, 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 selected balance sheet items (dollars in millions):


		February 28, 2021		November 30, 2020		% Change			February 28, 2022		November 30, 2021		% Change
Total assets	Total assets	$	51,386.4	$	47,752.0	7.6	%	Total assets	$	55,899.4	$	54,768.9	2.1	%

Cash and cash equivalents	Cash and cash equivalents	6,707.5		7,111.9		(5.7)	%	Cash and cash equivalents	6,719.6		8,813.6		(23.8)	%
Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations	Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations	615.1		604.3		1.8	%	Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations	838.1		1,015.1		(17.4)	%

Financial instruments owned	Financial instruments owned	18,570.9		17,686.1		5.0	%	Financial instruments owned	21,317.2		19,336.2		10.2	%
Financial instruments sold, not yet purchased	Financial instruments sold, not yet purchased	12,361.5		10,017.5		23.4	%	Financial instruments sold, not yet purchased	14,682.7		11,690.8		25.6	%
Total Level 3 assets	Total Level 3 assets	364.9		379.1		(3.7)	%	Total Level 3 assets	540.0		336.6		60.4	%

Securities borrowed	Securities borrowed	$	7,150.7	$	6,934.8	3.1	%	Securities borrowed	$	7,110.8	$	6,409.4	10.9	%
Securities purchased under agreements to resell	Securities purchased under agreements to resell	6,680.3		5,096.8		31.1	%	Securities purchased under agreements to resell	6,557.2		7,642.5		(14.2)	%
Total securities borrowed and securities purchased under agreements to resell	Total securities borrowed and securities purchased under agreements to resell	$	13,831.0	$	12,031.6	15.0	%	Total securities borrowed and securities purchased under agreements to resell	$	13,668.0	$	14,051.9	(2.7)	%

Securities loaned	Securities loaned	$	2,519.1	$	1,810.7	39.1	%	Securities loaned	$	1,808.9	$	1,525.7	18.6	%
Securities sold under agreements to repurchase	Securities sold under agreements to repurchase	7,207.6		8,316.3		(13.3)	%	Securities sold under agreements to repurchase	8,933.6		8,446.1		5.8	%
Total securities loaned and securities sold under agreements to repurchase	Total securities loaned and securities sold under agreements to repurchase	$	9,726.7	$	10,127.0	(4.0)	%	Total securities loaned and securities sold under agreements to repurchase	$	10,742.5	$	9,971.8	7.7	%

Total assets at February 28, ~~2021~~2022 and November 30, ~~2020~~2021 were ~~$51.4~~$55.90 billion and ~~$47.8~~$54.77 billion, respectively, an increase of ~~7.6%~~2.1%. On December 1, 2021, Jefferies transferred certain loans and certain investments in securities and limited partnerships to us. In addition, Jefferies transferred its investment in Foursight, a subsidiary of Jefferies, to us. These transfers contributed significantly to the increase in our total assets from November 30, 2021 to February 28, 2022. During the three months ended February 28, ~~2021,~~2022, average total assets were approximately ~~12.8%~~10.0% higher than total assets at February 28, ~~2021.~~2022.

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Our total Financial instruments owned inventory was ~~$18.6~~$21.32 billion at February 28, ~~2021,~~2022, an increase of ~~5.0%~~10.2%, from ~~$17.7~~$19.34 billion at November 30, ~~2020.~~2021. During the three months ended February 28, ~~2021,~~2022, our total Financial instruments owned inventory increased primarily due to an increase in ~~loans~~government and ~~other receivables~~federal agency securities and sovereign obligations, due to increased U.S. Treasury activity and higher interest rate volatility. Financial instruments owned also increased due to corporate debt and equity securities ~~partially offset~~and investments at fair value transferred to us by ~~decreases in government and federal agency obligations and municipal securities.~~Jefferies on December 1, 2021. Financial instruments sold, not yet purchased inventory was ~~$12.4~~$14.68 billion at February 28, ~~2021,~~2022, an increase of ~~23.4%~~25.6% from ~~$10.0~~$11.69 billion at November 30, ~~2020,~~2021, with the increase primarily driven by increases in government and federal agency securities and sovereign ~~obligations, corporate debt securities, loans and derivative contracts.~~obligations. Our overall net inventory position was ~~$6.2~~$6.63 billion and ~~$7.7~~$7.65 billion at February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, respectively, with the decrease primarily due to decreases in ~~sovereign obligations, derivative contracts and~~ government and federal agency securities and corporate debt securities, partially offset by ~~an increase~~increases in ~~corporate equity securities.~~ derivative contracts and investments.

Our Level 3 Financial instruments owned as a percentage of total Financial instruments owned ~~was 2.0% and 2.1%~~increased to 2.5% at February 28, ~~2021 and~~2022 from 1.7% at November 30, ~~2020, respectively.~~2021. The increase in Level 3 financial instruments owned of $203.4 million is attributed primarily to investments transferred on December 1, 2021 to us from Jefferies, which had a fair value of $173.6 million at February 28, 2022. Approximately 89.9% of the investments transferred to us that are classified as Level 3 financial instruments represent investments now part of our asset management alternative investing activities. The remaining 10.1% of investments pertain to investment banking and our other business and do not reflect an increase in our fixed income and equities capital markets trading inventory.

See Note 1, Organization and Basis of Presentation, and Note 3, Fair Value Disclosures, for further details.

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~~financing assets and ~~securities purchased under agreements~~liabilities increase or decrease from period to ~~resell increased by 15.0% from November 30, 2020 to February 28, 2021, due to increases~~period depending on fluctuations in ~~our matched book transactions and firm financing~~the level of our ~~inventory, partially offset by an increase in~~client activity and the ~~netting benefit for our collateralized financing transactions. The outstanding balance~~level of our securities loaned and securities sold under agreement to repurchase decreased by 4.0% from November 30, 2020 to February 28, 2021, due to decrease in the firm financing of our inventory and an increase in the netting benefit for our collateralized financing transactions, partially offset by an increase in our matched book transactions.own trading activity. Our average month end ~~balance~~balances of total reverse repos and stock borrows during the three months ended February 28, ~~2021 was 33.4%~~2022 were 21.5% higher than the February 28, ~~2021~~2022 balance. Our average month end ~~balance~~balances of total repos and stock loans during the three months ended February 28, ~~2021 was 61.3%~~2022 were 40.4% higher than the February 28, ~~2021~~2022 balance.

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):


		Three Months Ended February 28, 2021		Year Ended November 30, 2020			Three Months Ended February 28, 2022		Year Ended November 30, 2021
Securities Purchased Under Agreements to Resell:	Securities Purchased Under Agreements to Resell:					Securities Purchased Under Agreements to Resell:
Period end	Period end	$	6,680	$	5,097	Period end	$	6,557	$	7,642
Month end average	Month end average	9,219		8,040		Month end average	8,048		9,425
Maximum month end	Maximum month end	12,321		12,061		Maximum month end	10,095		12,321
Securities Sold Under Agreements to Repurchase:	Securities Sold Under Agreements to Repurchase:					Securities Sold Under Agreements to Repurchase:
Period end	Period end	$	7,208	$	8,316	Period end	$	8,934	$	8,446
Month end average	Month end average	12,975		13,501		Month end average	13,115		11,515
Maximum month end	Maximum month end	19,207		18,979		Maximum month end	17,417		19,207

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):


			February 28, 2021		November 30, 2020			February 28, 2022		November 30, 2021
Total assets	Total assets		$	51,386,411	$	47,751,997	Total assets	$	55,899,398	$	54,768,900

Total equity	Total equity		$	6,555,631	$	6,366,132	Total equity	$	7,767,011	$	7,078,608

Total Jefferies Group LLC member’s equity	Total Jefferies Group LLC member’s equity		$	6,539,918	$	6,348,743	Total Jefferies Group LLC member’s equity	$	7,754,978	$	7,067,484
Deduct:		Goodwill and intangible assets	(1,806,881)		(1,805,376)
Deduct: Goodwill and intangible assets							Deduct: Goodwill and intangible assets	(1,789,288)		(1,791,500)
Tangible Jefferies Group LLC member’s equity	Tangible Jefferies Group LLC member’s equity		$	4,733,037	$	4,543,367	Tangible Jefferies Group LLC member’s equity	$	5,965,690	$	5,275,984

Leverage ratio (1)	Leverage ratio (1)		7.8		7.5		Leverage ratio (1)	7.2		7.7

Tangible gross leverage ratio (2)	Tangible gross leverage ratio (2)		10.5		10.1		Tangible gross leverage ratio (2)	9.1		10.0

(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.

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 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;

•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

•Drawdowns of unfunded commitments.

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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 ~~$13.2~~$14.93 billion at February 28, ~~2021~~2022 exceeded our cash capital requirements.

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 ~~crisis.~~stress.

•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.

•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.

•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.

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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 February 28, ~~2021,~~2022, 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):


		February 28, 2021			Average Balance Three Months ended February 28, 2021 (1)		November 30, 2020				February 28, 2022			Average Balance Three Months ended February 28, 2022 (1)		November 30, 2021
Cash and cash equivalents:	Cash and cash equivalents:									Cash and cash equivalents:
Cash in banks	Cash in banks	$	1,621,608		$	2,960,754	$	1,979,058		Cash in banks	$	1,950,784		$	3,093,045	$	1,888,693

Money market investments (2)	Money market investments (2)	5,085,874			3,402,188		5,132,871			Money market investments (2)	4,768,864			3,762,995		6,924,871
Total cash and cash equivalents	Total cash and cash equivalents	6,707,482			6,362,942		7,111,929			Total cash and cash equivalents	6,719,648			6,856,040		8,813,564
Other sources of liquidity:	Other sources of liquidity:									Other sources of liquidity:
Debt securities owned and securities purchased under agreements to resell (3)	Debt securities owned and securities purchased under agreements to resell (3)	990,510			1,174,837		1,180,410			Debt securities owned and securities purchased under agreements to resell (3)	1,376,826			1,520,549		1,621,118
Other (4)	Other (4)	416,377			430,080		312,511			Other (4)	440,075			536,894		311,641
Total other sources	Total other sources	1,406,887			1,604,917		1,492,921			Total other sources	1,816,901			2,057,443		1,932,759
Total cash and cash equivalents and other liquidity sources	Total cash and cash equivalents and other liquidity sources	$	8,114,369		$	7,967,859	$	8,604,850		Total cash and cash equivalents and other liquidity sources	$	8,536,549		$	8,913,483	$	10,746,323
Total cash and cash equivalents and other liquidity sources as % of Total assets	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	15.3		%			19.6		%
Total cash and cash equivalents and other liquidity sources as % of Total assets less goodwill and intangible assets	Total cash and cash equivalents and other liquidity sources as % of Total assets less goodwill and intangible assets	16.4		%			18.7		%	Total cash and cash equivalents and other liquidity sources as % of Total assets less goodwill and intangible assets	15.8		%			20.3		%

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

(2)At February 28, ~~2021~~2022 and November 30, ~~2020, $5,071.0 million~~2021, $4.75 billion and ~~$5,118.0 million,~~$6.91 billion, 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 ~~and $14.9 million~~ at both February 28, ~~2021~~2022 and November 30, ~~2020, respectively,~~2021 are invested in AAA rated prime money funds. The average balance of U.S. government money funds for the three months ended February 28, ~~2021~~2022 was ~~$3,394.7 million.~~$3.75 billion.

(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, United Kingdom, 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 February 28, ~~2021,~~2022, we had the ability to readily obtain repurchase financing for ~~67.0%~~70.1% 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.

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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 February 28, ~~2021~~2022 and November 30, ~~2020~~2021 (in thousands):


		February 28, 2021				November 30, 2020					February 28, 2022				November 30, 2021
		Liquid Financial Instruments		Unencumbered Liquid Financial Instruments (2)		Liquid Financial Instruments		Unencumbered Liquid Financial Instruments (2)			Liquid Financial Instruments		Unencumbered Liquid Financial Instruments (2)		Liquid Financial Instruments		Unencumbered Liquid Financial Instruments (2)
Corporate equity securities	Corporate equity securities	$	2,552,964	$	386,688	$	2,191,536	$	238,129	Corporate equity securities	$	3,126,673	$	480,834	$	2,635,956	$	347,157
Corporate debt securities	Corporate debt securities	2,432,402		51,691		2,298,591		50,217		Corporate debt securities	2,933,603		38,136		2,943,135		31,935
U.S. government, agency and municipal securities	U.S. government, agency and municipal securities	2,787,053		58,802		3,336,361		110,586		U.S. government, agency and municipal securities	4,298,247		139,104		3,610,885		109,325
Other sovereign obligations	Other sovereign obligations	2,415,981		952,038		2,518,928		1,101,272		Other sovereign obligations	1,997,961		1,178,684		1,528,100		1,463,968
Agency mortgage-backed securities (1)	Agency mortgage-backed securities (1)	1,718,972		—		1,652,743		—		Agency mortgage-backed securities (1)	2,331,142		—		1,487,165		—
Loans and other receivables	Loans and other receivables	541,807		—		564,112		—		Loans and other receivables	261,704		—		132,989		—
Total	Total	$	12,449,179	$	1,449,219	$	12,562,271	$	1,500,204	Total	$	14,949,330	$	1,836,758	$	12,338,230	$	1,952,385

(1)Consists solely of agency mortgage-backed securities issued by the Federal Home Loan Mortgage Corporation (“Freddie ~~Mac,~~ Mac”), the Federal National Mortgage Association (“Fannie ~~Mae~~Mae”) and the Government National Mortgage Association (“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.Mae”).

(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 ~~$23.0~~$16.94 billion for the three months ended February 28, ~~2021,~~2022, and ~~$16.3~~$15.91 billion and ~~$21.5~~$16.23 billion for the three and twelve months ended November 30, ~~2020,~~2021, respectively. Average unencumbered liquid financial instruments were ~~$1.6~~$2.03 billion for the three months ended February 28, ~~2021,~~2022, and ~~$1.4~~$1.97 billion and $1.79 billion for ~~both~~ the three and twelve months ended November 30, ~~2020.~~2021, respectively.

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.

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. At February 28, ~~2021,~~2022, approximately ~~62.0%~~66.0% of our cash and noncash repurchase financing activities use collateral that is considered eligible collateral by central clearing corporations. During the three months ended February 28, ~~2021,~~2022, an average of approximately ~~74.0%~~68.7% 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 seven months at February 28, ~~2021.~~2022.

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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 February 28, ~~2021,~~2022, short-term borrowings, which must be repaid within one year or less totaled $467.9 million and include bank loans and overdrafts of $61.1 million, borrowings under revolving credit facilities of $400.0 million and floating rate puttable notes ~~totaled $882.9~~of $6.8 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 ~~$884.4~~$392.5 million for the three months ended February 28, ~~2021.~~2022.

Our ~~short-term~~ borrowings ~~include~~under credit facilities ~~that~~ contain certain covenants that, among other things, require us to maintain a specified level of tangible net worth, require a minimum regulatory net capital requirement for our U.S. broker-dealer, Jefferies LLC, and impose certain restrictions on the future indebtedness of certain of our subsidiaries that are borrowers. Interest is based on rates at spreads over the federal funds rate or other adjusted rates, as defined in the various credit agreements, or at a rate as agreed between the bank and us in reference to the bank’s cost of funding. At February 28, ~~2021,~~2022, we were in compliance with all covenants under these ~~facilities. Our facilities included within short-term borrowings at February 28, 2021 were as follows (in thousands):~~


~~Bank of New York Mellon Master Loan Agreement (1)~~	$	~~300,000~~
~~JPMorgan Chase Bank, N.A. Credit Facility (2)~~	~~274,000~~
~~Royal Bank of Canada Credit Facility (3)~~	~~200,000~~
~~Bank of New York Mellon Credit Facility (4)~~	~~100,000~~
~~Total~~	$	~~874,000~~

~~(1)Interest is generally based at spreads over the Federal Funds Rate as defined in this master loan agreement.~~

~~(2)Interest is based on an annual alternative base rate or an adjusted London Interbank Offered Rate (“LIBOR”), as defined in this~~ credit ~~facility agreement.~~

~~(3)Interest is based on a rate per annum equal to LIBOR plus an applicable margin of 2.05%.~~

~~(4)Interest is based on a rate per annum equal to the Federal Funds Rate plus 2%.~~

~~Our short-term borrowings at February 28, 2021 also include floating rate puttable notes of $6.8 million and other bank loans of $2.1 million.~~

For additional details on our short-term borrowings, refer to Note ~~11,~~10, 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,~~agreements, which provides an additional financing source for our inventory (our “repurchase agreement financing program”). We also issue notes through SPEs collateralized by auto loans. The notes issued under ~~the program~~these programs are presented within Other secured financings in our Consolidated Statements of Financial Condition. At February 28, ~~2021,~~2022, the outstanding notes ~~were $3.8~~totaled $3.55 billion, bear interest at ~~a spread~~spreads over ~~LIBOR~~the London Interbank Offered Rate (“LIBOR”) or as stated in agreements and mature from March ~~2021~~2022 to ~~January 2023.~~August 2029.

For additional details on ~~our repurchase agreement financing program,~~these programs, refer to Note 8,7, 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 February 28, ~~2021~~2022 and November 30, ~~2020,~~2021, we had total long-term capital of ~~$13.2~~$14.93 billion and ~~$13.0~~$14.38 billion, respectively, resulting in a long-term debt to equity capital ratio of ~~1.02:~~0.92:1 and ~~1.05:~~1.03:1, respectively. See “Equity Capital” herein for further information on our change in total equity. Our total long-term capital base at February 28, ~~2021~~2022 and November 30, ~~2020~~2021 was as follows (in thousands):


		February 28, 2021		November 30, 2020			February 28, 2022		November 30, 2021
Long-Term Debt (1)		$	6,681,815	$	6,655,948
Unsecured Long-Term Debt (1)						Unsecured Long-Term Debt (1)	$	7,164,486	$	7,303,866
Total Equity	Total Equity	6,555,631		6,366,132		Total Equity	7,767,011		7,078,608
Total Long-Term Capital	Total Long-Term Capital	$	13,237,446	$	13,022,080	Total Long-Term Capital	$	14,931,497	$	14,382,474

(1)~~Long-term debt~~The amounts at February 28, 2022 and November 30, 2021 exclude our secured long-term debt. The amounts at February 28, 2022 and November 30, 2021 also excludes ~~$189.9~~$12.0 million of ~~our outstanding borrowings under our senior secured revolving credit facility (“Revolving Credit Facility”) and $50.0~~structured notes as these notes mature on June 10, 2022. The amount at February 28, 2022 also excludes $2.4 million of ~~our secured bank loan. Long-term debt at November 30, 2020 excludes $189.7 million of our outstanding borrowings under our Revolving Credit Facility and $50.0 million of our secured bank loan.~~structured notes as these notes mature on February 9, 2023.

Long-Term Debt

During the three months ended February 28, ~~2021,~~2022, long-term debt ~~increased $26.0~~decreased by $151.9 million to $7.89 billion at February 28, 2022, as presented in our Consolidated Statements of Financial Condition, primarily due to ~~approximately $54.1 million of~~fair value changes in our structured notes ~~issuances, net of retirements,~~ and ~~changes in instrument specific credit risk~~decreases on ~~structured~~our senior notes ~~partially offset by losses~~ associated with interest rate swaps based on their designation as fair value ~~hedges.~~hedges, partially offset by structured notes issuances, net of retirements, of approximately $71.2 million. At February 28, ~~2021,~~2022, 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 February 28, ~~2021~~2022 was ~~$1,784.2 million.~~$1.76 billion.

~~We have a Revolving Credit Facility with a group~~

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JEFFERIES GROUP LLC AND SUBSIDIARIES

At February 28, ~~2021,~~2022, our borrowings under ~~the Revolving Credit Facility~~several credit facilities classified within Long-term debt in our Consolidated Statement of Financial Condition amounted to ~~$189.9~~$958.2 million. Interest on these credit facilities is based on ~~an annual alternative base rate~~adjusted LIBOR rates or another adjusted ~~LIBOR,~~rates, as defined in the ~~Revolving Credit Facility agreement.~~various credit agreements. The ~~Revolving Credit Facility contains~~credit facility agreements contain certain covenants that, among other things, ~~requires Jefferies Group LLC~~require us to maintain specified ~~level~~levels of tangible net worth and liquidity amounts, and ~~imposes~~impose certain restrictions on future indebtedness of and ~~requires~~require specified levels of regulated capital and cash reserves for certain of our subsidiaries. ~~Throughout the period and at~~At February 28, ~~2021, no instances of noncompliance with the Revolving Credit Facility covenants occurred and~~2022, we ~~expect to remain~~were in compliance ~~given our current liquidity and anticipated funding requirements given our business plan and profitability expectations.~~with all covenants under theses credit facilities.

~~One~~In addition, one of our subsidiaries 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~~At February 28, 2022, borrowings under the Secured Bank Loan amounted to $100.0 million and are also classified within Long-term debt in our Consolidated Statement of Financial Condition. The Secured Bank Loan matures on September ~~27, 2021~~13, 2024 and is collateralized by certain trading ~~securities. Interest on the Secured Bank Loan is~~securities with an interest rate of 1.25% plus LIBOR. The agreement contains certain covenants that, among other things, ~~restrict~~restricts lien or encumbrance upon any of the pledged collateral. At February 28, ~~2021,~~2022, we were in compliance with all covenants under the ~~Loan and Security Agreement.~~Secured Bank Loan.

At February 28, ~~2021,~~2022, our unsecured long-term debt, ~~excluding the Revolving Credit Facility and the Secured Bank Loan,~~ has a weighted average maturity of approximately ~~10.6~~10.5 years.

For further information, see Note ~~12,~~11, 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 ~~March 15, 2021~~February 28, 2022 are as follows:


	Rating	Outlook
Moody’s Investors Service ~~(1)~~	~~Baa3~~Baa2	~~Positive~~Stable
Standard and Poor’s	BBB	Stable
Fitch Ratings (1)	BBB	~~Stable~~Positive

(1)On ~~March 15, 2021, Moody’s Investor Service (“Moody’s)~~January 24, 2022, Fitch Ratings affirmed our rating of ~~Baa3~~BBB and revised our rating outlook from stable to positive.

At ~~March 15, 2021,~~February 28, 2022, the long-term ratings on our principal ~~operating broker-dealers,~~subsidiaries, Jefferies LLC, ~~and~~ Jefferies International Limited (a ~~broker-dealer in the United Kingdom (“~~U.K.~~”))~~ broker-dealer) and Jefferies GmbH are as follows:

Jefferies LLC

Jefferies International Limited

Jefferies GmbH

Rating

Outlook

Rating

Outlook

Rating

Outlook

Moody’s ~~(1)~~

~~Baa2~~Baa1

~~Positive~~Stable

~~Baa2~~Baa1

~~Positive~~Stable

Baa1

Stable

Standard and Poor’s

BBB+

Stable

BBB+

Stable

BBB+

Stable

~~(1)On March 15, 2021, Moody’s affirmed our ratings of Baa2 and revised our rating outlooks from stable to positive 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. 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 February 28, ~~2021,~~2022, 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 ~~$126.9~~$122.2 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, 2020, the $191.2 million increase to Total Jefferies Group LLC member’s equity at February 28, 2021 is primarily attributed to net earnings, partially offset by net distributions to Jefferies and changes in instrument specific credit risk on structured notes. During the three months ended February 28, 2021, we recognized gains due to foreign currency translation adjustments, net of tax, of $10.8 million the majority of which is due to our £940.5 million investment in our London subsidiaries at February 28, 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, 2020.

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Equity Capital

As compared to November 30, 2021, the $687.5 million increase to total Jefferies Group LLC member’s equity at February 28, 2022 is primarily attributed to the capital contribution from Jefferies in connection with Jefferies’ transfer to us of certain loans, certain investments in securities and limited partnerships and the investment in Foursight. Additionally, total Jefferies Group LLC’s member’s equity increased due to Net earnings attributable to Jefferies Group LLC of $341.4 million for the three months ended February 28, 2022. These increases were partially offset by net distributions to Jefferies.

During the three months ended February 28, ~~2021,~~2022, we paid distributions of ~~$153.6~~$193.0 million to Jefferies, based on our results for the three months ended November 30, ~~2020. In addition, during the three months ended February 28, 2021 we received a contribution of $153.6 million from Jefferies and paid an additional distribution of $153.6 million to Jefferies.~~2021. At February 28, ~~2021,~~2022, we have accrued a distribution payable of ~~$247.0~~$170.7 million, based on our results for the three months ended February 28, ~~2021.~~2022. For further information on the contribution from Jefferies, see “Consolidated Results of Operations—Transfer of Investments from Jefferies” herein.

Net Capital

As a broker-dealer registered with the SEC and a member ~~firms~~firm of the Financial Industry Regulatory Authority (“FINRA”), Jefferies LLC is subject to the ~~Securities and Exchange Commission~~SEC Uniform Net Capital Rule (“Rule 15c3-1”), which requires the maintenance of minimum net capital, and has elected to calculate minimum capital requirements using the alternative method permitted by Rule 15c3-1 in calculating net capital. Jefferies LLC, as a dually-registered U.S. 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 February 28, 2021, Jefferies LLC’s net capital and excess net capital were as follows (in thousands):~~

Net Capital Excess Net Capital
Jefferies LLC $ 2,019,268 $ 1,902,913

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

At February 28, 2022, Jefferies LLC and JFSI’s net capital and excess net capital were as follows (in thousands):


	Net Capital		Excess Net Capital
Jefferies LLC	$	1,788,293	$	1,679,136
JFSI	427,645		407,645

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 provisions will result in modifications to the regulatory capital requirements 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 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.

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Other Developments

~~The~~In February 2022, military conflict escalated between Russia and Ukraine. Following Russia’s invasion of Ukraine, the U.S., the U.K. ~~left~~, and the European Union governments, among others, have developed coordinated financial and economic sanctions targeting Russia that, in various ways constrain transactions with numerous Russian entities, including major Russian banks, and individuals; transactions in Russian sovereign debt; and investment, trade and financing to, from, or in certain regions of Ukraine. We do not have any operations in Russia or any clients with significant Russian operations and we have minimal market risk related to securities of companies either domiciled or operating in Russia. On February 24, 2022, the Central Bank of Russia suspended all trading on ~~January 31, 2020~~the Moscow Exchange. Additionally, all foreign clients are banned from selling securities. As a result, we have trades to buy and sell securities that were executed prior to the suspension of trading that are currently unable to be settled. While limited trading for certain securities has resumed as of March 21, 2022, there is no timeline as to when the exchange will be fully operational and the ~~current transition period ended on December 31, 2020. On January 1, 2021, our U.K. broker dealer, Jefferies International Limited, was no longer able~~settlement of all open trades may occur. We continue to ~~provide services to European clients under~~monitor the passport regime. We have taken steps to ensure our ability to provide services to our European clients without interruption by establishing a wholly-owned subsidiary in Germany (“Jefferies GmbH”), which is authorizedstatus of trading and ~~regulated in Germany by~~ the ~~Federal Financial Services Authority (“BaFin”). At January 1, 2021, all~~credit risk of our ~~European clients have been migrated~~counterparties on the unsettled trades. It is not possible to ~~Jefferies GmbH to conduct business across all~~determine whether any loss is probable; however, we believe that any amount of ~~our European investment banking, fixed income and equity platforms. There were no client disruptions~~loss or ~~settlement issues experienced after this migration.~~range of potential loss that could be reasonably estimated is not material.

Central banks and regulators around the world have convened working groups to find, and implement the transition to, suitable replacements for ~~IBORs.~~Interbank Offered Rates (“IBORs”). The publication of the one-week and two-month U.S. Dollar LIBOR maturities and all non-U.S. Dollar LIBOR maturities ceased immediately after December 31, 2021, and the remaining U.S. Dollar LIBOR maturities will cease immediately after June 30, 2023. We are a counterparty to a number of LIBOR-based contracts, with maturity dates subsequent to 2021, composed primarily of cleared derivative contracts and floating rate notes. Our IBOR transition plan is overseen by a global steering committee and we have an active transition program ~~that focuses~~focused on an orderly transition from IBORs to alternative reference rates ~~including internal~~in accordance with industry transition timelines. A firmwide LIBOR transition policy is in place to limit new agreements that reference U.S. Dollar LIBOR or non-U.S Dollar LIBOR, except as permitted under certain circumstances. We continue to make progress on our transition plan, which is designed to enable operational readiness and robust risk ~~management. We~~management and are ~~identifying, assessing and monitoring risk associated with the expected discontinuation of IBORs, which includes~~ taking steps to update operational processes, ~~and~~ models and ~~evaluation legacy~~ contracts for any changes that may be ~~required.~~required as well as reduce our overall exposure to LIBOR. We are actively engaged with our counterparties to ensure that our contracts adhere to the International Swaps and Derivative Association, Inc. (“ISDA”) fallback protocol or are actively converted to alternative risk-free reference rates and are both educating and assisting our clients with the transition from and cessation of LIBOR.

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.

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, ~~2020~~2021 and Note 4,3, Fair Value Disclosures, and Note 5,4, 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 February 28, ~~2021,~~2022, we did not have any commitments to purchase assets from these VIEs. For additional information regarding our involvement with VIEs, see Note 7,6, Securitization Activities, and Note 8,7, 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 ~~15,~~14, Income Taxes, in our consolidated financial statements included in this Quarterly Report on Form 10-Q for further information for further information.

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For information on our commitments and guarantees, see Note ~~16,~~15, 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 February 28, ~~2021.~~2022. The table presents principal cash flows with expected maturity dates (in millions):


		Expected Maturity Date													Expected Maturity Date
		2021		2022		2023 and 2024		2025 and 2026		2027 and Later		Total			2022		2023		2024 and 2025		2026 and 2027		2028 and Later		Total
Debt obligations:
Contractual obligations:														Contractual obligations:
Unsecured long-term debt (contractual principal payments net of unamortized discounts and premiums) (1)	Unsecured long-term debt (contractual principal payments net of unamortized discounts and premiums) (1)	$	—	$	10.6	$	1,364.3	$	70.6	$	5,236.3	$	6,681.8	Unsecured long-term debt (contractual principal payments net of unamortized discounts and premiums) (1)	$	12.0	$	355.4	$	597.8	$	1,229.4	$	4,984.3	$	7,178.9
Revolving credit facility (1)		189.9		—		—		—		—		189.9
Secured bank loan (1)		50.0		—		—		—		—		50.0
Secured long-term debt (1)														Secured long-term debt (1)	—		360.0		349.1		—		—		709.1
Interest payment obligations on long-term debt (2)	Interest payment obligations on long-term debt (2)	278.5		284.3		482.2		460.6		1,587.8		3,093.4		Interest payment obligations on long-term debt (2)	277.2		272.1		519.1		471.8		1,577.5		3,117.7
Total	Total	$	518.4	$	294.9	$	1,846.5	$	531.2	$	6,824.1	$	10,015.1	Total	$	289.2	$	987.5	$	1,466.0	$	1,701.2	$	6,561.8	$	11,005.7

(1)For additional information on long-term debt, see Note ~~12,~~11, 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 February 28, ~~2021.~~2022.

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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 policies outlining frameworks 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, Information Technology, 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~~as 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~~particular scrutiny 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~~and assign risk oversight responsibilities ~~assigned~~ to ~~those~~a number of functions with specific areas of ~~the business that have the appropriate knowledge.~~focus.

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, ~~2020.~~2021.

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~~appetite 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 capital markets business through market making, proprietary trading, underwriting ~~specialist~~ and investing activities and is ~~principally~~present in our asset management business through investments in separately managed ~~by diversifying~~accounts and direct investments in funds. Given our involvement in a broad set of financial products and markets, market risk exposures ~~controlling position sizes,~~are diversified, 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.as appropriate.

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Market risk is monitored and managed through a set of key risk metrics such as VaR, stress scenarios, risk sensitivities and position exposures. Limits are set on the key risk metrics to monitor and control the risk exposure ensuring that it is in line with our risk appetite. Our risk appetite, including the market risk limits, is periodically reviewed to reflect business strategy and market environment. Through risk reporting, material risk changes, current top/emerging risks, and limit utilizations including the breaches are highlighted and escalated as necessary.

Trading is principally managed through front office trader mandates, where each trader is provided a specific mandate in line with our product registry. Mandates set out the activities, currencies, countries and products that the desk is permitted to trade in and set the limits applicable to the desk. Traders are responsible for knowing their trading limits and trading in a manner consistent with their mandate.

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.

~~There was a modest increase in our average daily VaR to $16.02 million for the three months ended February 28, 2021 from $14.92 million for the three months ended November 30, 2020.~~ The ~~increase was primarily driven by a lower diversification effect.~~

~~The following~~ table ~~illustrates each separate component of~~below shows firmwide 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																												Daily Firmwide VaR (1)
		VaR at February 28, 2021														VaR at November 30, 2020											VaR at February 28, 2022																VaR at November 30, 2021
				Daily VaR for the Three Months Ended February 28, 2021													Daily VaR for the Three Months Ended November 30, 2020												Daily VaR for the Three Months Ended February 28, 2022															Daily VaR for the Three Months Ended November 30, 2021
Risk Categories	Risk Categories							Average				High					Low				Average			High					Low			Risk Categories				Average			High			Low						Average				High				Low
Interest Rates and Credit Spreads	Interest Rates and Credit Spreads			$	10.35			$	8.58			$	11.15				$	5.83	$	7.66		$	8.71		$	11.57					$	6.09	Interest Rates and Credit Spreads		$	4.73		$	5.02		$	5.71				$	4.17			$	4.60			$	4.28			$	5.39	$	3.38
Equity Prices	Equity Prices	11.36				10.90				15.71				6.17			12.54		11.14			14.91			7.21			Equity Prices	8.38					10.16			15.75			7.39				9.85				9.25				11.39				6.44
Currency Rates	Currency Rates	0.31				0.19				0.31				0.11			0.16		0.13			0.41			0.03			Currency Rates	0.04					0.15			0.34			0.03				0.12				0.06				0.12				0.03
Commodity Prices	Commodity Prices	0.72				0.42				0.75				0.16			0.44		0.39			0.56			0.28			Commodity Prices	0.45					0.25			0.56			0.12				0.15				0.23				0.45				0.13
Diversification Effect (2)	Diversification Effect (2)	(6.61)				(4.07)				N/A				N/A			(2.04)		(5.45)			N/A			N/A			Diversification Effect (2)	(3.16)					(3.46)			N/A			N/A				(2.06)				(3.68)				N/A				N/A
Firmwide		$	16.13			$	16.02			$	22.91			$	6.94		$	18.76	$	14.92		$	22.78		$	8.75
Firmwide VaR (3)																												Firmwide VaR (3)	$	10.44				$	12.12		$	15.04		$	9.31			$	12.66			$	10.14			$	12.77			$	7.01

(1)For the firmwide 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.

(3)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.

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The ~~primary method used~~table below shows VaR for our capital markets trading activities, which excludes the impact on VaR for each component of market risk from our asset management activities by interest rate and credit spreads, equity, currency and commodity products using the past 365 days of historical data (in millions):


			Daily Capital Markets VaR (1)
	VaR at February 28, 2022								VaR at November 30, 2021
			Daily VaR for the Three Months Ended February 28, 2022								Daily VaR for the Three Months Ended November 30, 2021
Risk Categories			Average		High		Low				Average		High		Low
Interest Rates and Credit Spreads	$	4.58	$	5.07	$	6.07	$	4.24	$	4.63	$	4.29	$	5.27	$	3.34
Equity Prices	6.13		8.45		12.41		6.07		5.20		4.63		5.31		3.90
Currency Rates	0.04		0.13		0.29		0.02		0.07		0.04		0.08		0.02
Commodity Prices	0.01		0.03		0.56		—		0.01		0.01		0.17		—
Diversification Effect (2)	(2.28)		(4.25)		N/A		N/A		(2.21)		(2.30)		N/A		N/A
Capital Markets VaR (3)	$	8.48	$	9.43	$	11.55	$	7.67	$	7.70	$	6.67	$	8.01	$	5.23

(1)For the capital markets 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 capital markets VaR and the VaR values for the four risk categories might have occurred on different days during the period.

(3)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 ~~test~~ 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.

Our average daily firmwide VaR increased to $12.12 million for the three months ended February 28, 2022 from $10.14 million for the three months ended November 30, 2021. The increase was primarily due to higher market volatility across asset classes. Equity price VaR was higher driven by a modest increase in exposure over the averaging period and due to the impact of market volatility. The increase in interest rates and credit spreads VaR was driven by elevated volatility.

The efficacy of the VaR model is ~~to compare~~tested by comparing our actual daily net ~~revenue~~revenues 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. VaR backtesting methodologies differ for regulated entities with approved capital models.

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 February 28, ~~2021,~~2022, results of the evaluation at the aggregate level demonstrated ~~one day~~no days when the ~~net trading~~ loss exceeded the 95% one day VaR.

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The chart below ~~reflects~~shows our daily firmwide VaR and capital markets VaR over the last four quarters. ~~The~~VaR increases at various points from ~~August 2020~~March 2021 through ~~mid-January~~early June 2021 were driven by ~~the high historical volatility observed throughout the initial period~~increases in equity exposure. VaR trended lower from June 2021 through most of the ~~pandemic.~~fourth quarter of 2021 due to position reductions and as the remaining volatile days from 2020 dropped out of the time series. The ~~recent lower trend~~uptick in VaR towards the end of 2021 until early January 2022 was driven by increased equity exposure. The drop in VaR from January to the end of February 2022 was driven by exposure ~~reductions.~~reductions in response to market volatility driven by inflation, rate hike expectations and Russia’s invasion of Ukraine.

Daily Net Trading Revenue

There were ~~nine~~eight days with firmwide trading losses out of a total of 6061 trading days in the three months ended February 28, ~~2021.~~2022. 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 February 28, ~~2021~~2022 (in millions).

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Other Risk Measures

~~Certain~~Sensitivity analysis is viewed as the most appropriate measure of risks for certain positions within financial instruments and therefore such positions are not included in the VaR ~~model because VaR is not the most appropriate measure of risk.~~model. 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~~profit and loss ~~levels.~~analysis. 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 February 28, ~~2021~~2022 (in thousands):


	10% Sensitivity
Investment in funds (1)	$	~~101,782~~115,941
Private investments	~~15,012~~33,271
Corporate debt securities in default	~~9,867~~8,097
Trade claims	~~5,704~~2,181

(1)Includes investments in hedge funds, fund of funds and private equity funds. For additional details on these investments refer to “Investments at Fair Value” within Note 4,3, Fair Value Disclosures, in our consolidated financial statements included in this Quarterly Report on Form 10-Q.

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 ~~$1.6~~$1.4 million at February 28, ~~2021,~~2022, 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~~firmwide 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 counterparty to derivative contracts, as a direct lender and through extending loan commitments ~~as a holder of securities~~and providing securities-based lending 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:

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~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

•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 9,8, 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 ~~19,~~18, 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 Management Policy, which sets out the process for identifying 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 Management 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 Management Policy and is approved by our ~~Board of Directors.~~Board. 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 February 28, ~~2021~~2022 and November 30, ~~2020~~2021 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
		February 28, 2021		November 30, 2020		February 28, 2021		November 30, 2020		February 28, 2021		November 30, 2020		February 28, 2021		November 30, 2020		February 28, 2021		November 30, 2020		February 28, 2021				November 30, 2020				February 28, 2022			November 30, 2021			February 28, 2022			November 30, 2021			February 28, 2022			November 30, 2021			February 28, 2022			November 30, 2021			February 28, 2022			November 30, 2021			February 28, 2022		November 30, 2021
AAA Range	AAA Range	$	—	$	—	$	0.7	$	1.1	$	—	$	0.1	$	0.7	$	1.2	$	5,085.9	$	5,132.9	$	5,086.6			$	5,134.1	AAA Range		$	—		$	—		$	1.4		$	0.8		$	—		$	—		$	1.4		$	0.8		$	4,768.9		$	6,924.9		$	4,770.3	$	6,925.7
AA Range	AA Range	45.1		45.2		97.7		111.7		40.5		9.8		183.3		166.7		4.6		7.8		187.9				174.5		AA Range		60.0			60.0			90.2			111.7			19.1			13.0			169.3			184.7			5.6			5.1			174.9		189.8
A Range	A Range	0.4		0.2		487.1		542.2		294.0		147.2		781.5		689.6		1,601.2		1,967.9		2,382.7				2,657.5		A Range		0.6			0.4			541.4			530.4			314.2			338.0			856.2			868.8			1,934.7			1,869.4			2,790.9		2,738.2
BBB Range	BBB Range	250.1		250.5		122.7		110.2		13.3		18.1		386.1		378.8		14.4		2.2		400.5				381.0		BBB Range		250.1			250.3			175.6			170.9			32.9			37.2			458.6			458.4			0.8			0.8			459.4		459.2
BB or Lower	BB or Lower	50.0		50.0		8.8		8.3		163.1		201.6		221.9		259.9		0.1		0.1		222.0				260.0		BB or Lower		40.8			40.0			9.6			11.4			41.2			71.0			91.6			122.4			0.1			0.1			91.7		122.5
Unrated	Unrated	161.0		142.0		—		—		0.3		0.2		161.3		142.2		1.3		1.0		162.6				143.2		Unrated		155.2			164.2			—			—			—			—			155.2			164.2			9.5			13.3			164.7		177.5
Total	Total	$	506.6	$	487.9	$	717.0	$	773.5	$	511.2	$	377.0	$	1,734.8	$	1,638.4	$	6,707.5	$	7,111.9	$	8,442.3			$	8,750.3	Total		$	506.7		$	514.9		$	818.2		$	825.2		$	407.4		$	459.2		$	1,732.3		$	1,799.3		$	6,719.6		$	8,813.6		$	8,451.9	$	10,612.9

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
		February 28, 2021		November 30, 2020		February 28, 2021		November 30, 2020		February 28, 2021		November 30, 2020		February 28, 2021		November 30, 2020		February 28, 2021		November 30, 2020		February 28, 2021				November 30, 2020				February 28, 2022			November 30, 2021			February 28, 2022			November 30, 2021			February 28, 2022			November 30, 2021			February 28, 2022			November 30, 2021			February 28, 2022			November 30, 2021			February 28, 2022		November 30, 2021
Asia/Latin America/Other	Asia/Latin America/Other	$	15.0	$	15.0	$	54.0	$	72.6	$	21.1	$	6.9	$	90.1	$	94.5	$	242.2	$	248.4	$	332.3			$	342.9	Asia/Latin America/Other		$	15.8		$	14.9		$	68.3		$	63.7		$	3.7		$	0.9		$	87.8		$	79.5		$	227.3		$	268.1		$	315.1	$	347.6
Europe	Europe	0.2		0.1		298.4		313.0		40.9		42.5		339.5		355.6		111.2		96.4		450.7				452.0		Europe		0.4			0.3			249.3			300.8			51.5			66.4			301.2			367.5			71.5			57.0			372.7		424.5
North America	North America	491.4		472.8		364.6		387.9		449.2		327.6		1,305.2		1,188.3		6,354.1		6,767.1		7,659.3				7,955.4		North America		490.5			499.7			500.6			460.7			352.2			391.9			1,343.3			1,352.3			6,420.8			8,488.5			7,764.1		9,840.8
Total	Total	$	506.6	$	487.9	$	717.0	$	773.5	$	511.2	$	377.0	$	1,734.8	$	1,638.4	$	6,707.5	$	7,111.9	$	8,442.3			$	8,750.3	Total		$	506.7		$	514.9		$	818.2		$	825.2		$	407.4		$	459.2		$	1,732.3		$	1,799.3		$	6,719.6		$	8,813.6		$	8,451.9	$	10,612.9

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
		February 28, 2021		November 30, 2020		February 28, 2021		November 30, 2020		February 28, 2021		November 30, 2020		February 28, 2021		November 30, 2020		February 28, 2021		November 30, 2020		February 28, 2021				November 30, 2020				February 28, 2022			November 30, 2021			February 28, 2022			November 30, 2021			February 28, 2022			November 30, 2021			February 28, 2022			November 30, 2021			February 28, 2022			November 30, 2021			February 28, 2022		November 30, 2021
Asset Managers	Asset Managers	$	0.1	$	0.2	$	—	$	—	$	6.3	$	—	$	6.4	$	0.2	$	5,085.9	$	5,132.9	$	5,092.3			$	5,133.1	Asset Managers		$	—		$	—		$	—		$	—		$	9.3		$	—		$	9.3		$	—		$	4,768.8		$	6,924.9		$	4,778.1	$	6,924.9
Banks, Broker-dealers	Banks, Broker-dealers	250.5		250.7		521.4		558.6		332.5		178.8		1,104.4		988.1		1,621.6		1,979.0		2,726.0				2,967.1		Banks, Broker-dealers		250.7			250.7			558.7			602.9			357.3			388.9			1,166.7			1,242.5			1,950.8			1,888.7			3,117.5		3,131.2

Corporates	Corporates	132.7		132.7		—		—		150.6		183.9		283.3		316.6		—		—		283.3				316.6		Corporates		157.4			158.2			—			—			34.9			68.0			192.3			226.2			—			—			192.3		226.2
As Agent Banks																								As Agent Banks	—				—			210.1			185.2			—			—			210.1			185.2			—			—			210.1			185.2
Other	Other	123.3		104.3		195.6		214.9		21.8		14.3		340.7		333.5		—		—		340.7				333.5		Other		98.6			106.0			49.4			37.1			5.9			2.3			153.9			145.4			—			—			153.9		145.4
Total	Total	$	506.6	$	487.9	$	717.0	$	773.5	$	511.2	$	377.0	$	1,734.8	$	1,638.4	$	6,707.5	$	7,111.9	$	8,442.3			$	8,750.3	Total		$	506.7		$	514.9		$	818.2		$	825.2		$	407.4		$	459.2		$	1,732.3		$	1,799.3		$	6,719.6		$	8,813.6		$	8,451.9	$	10,612.9

For additional information regarding credit exposure to OTC derivative contracts, refer to Note 5,4, 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 February 28, ~~2021~~2022 and November 30, ~~2020~~2021 to the sovereign governments, corporations and financial institutions in those ~~non- U.S.~~non-U.S. countries in which we have a net long issuer and counterparty exposure (in millions):


		February 28, 2021																			February 28, 2022
		Issuer Risk						Counterparty Risk								Issuer and Counterparty Risk					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			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
Canada																				Canada	$	169.3	$	(95.3)	$	11.5	$	—	$	54.0	$	247.3	$	2.0	$	386.8	$	388.8
Netherlands																				Netherlands	351.0		(183.2)		(0.6)		—		0.1		0.5		1.1		167.8		168.9
Germany																				Germany	379.7		(313.5)		7.0		—		56.7		1.6		30.0		131.5		161.5
Hong Kong																				Hong Kong	37.6		(40.3)		—		—		—		—		163.3		(2.7)		160.6
United Kingdom	United Kingdom	$	498.8	$	(225.1)	$	(9.8)	$	0.2	$	44.4	$	16.1	$	75.2	$	324.6	$	399.8	United Kingdom	490.5		(418.8)		(13.3)		0.4		20.8		20.1		35.5		99.7		135.2
France		417.0		(389.5)		144.6		—		134.0		14.8		—		320.9		320.9
Canada		367.8		(307.6)		(1.1)		—		14.9		231.6		2.0		305.6		307.6
Italy		1,324.1		(1,092.3)		34.9		—		12.1		0.1		1.4		278.9		280.3
Hong Kong		23.1		(9.1)		—		—		3.0		—		180.0		17.0		197.0
China																				China	385.1		(243.9)		(17.4)		—		—		—		—		123.8		123.8
Japan	Japan	270.0		(245.0)		103.2		—		20.4		0.3		19.4		148.9		168.3		Japan	188.0		(96.5)		(1.8)		—		10.8		—		19.3		100.5		119.8
China		670.3		(431.2)		(117.3)		—		—		—		—		121.8		121.8
Germany		673.0		(386.2)		(258.1)		—		50.6		8.1		32.1		87.4		119.5
Switzerland		100.6		(63.3)		4.8		—		38.6		1.6		1.4		82.3		83.7
Israel		75.2		(16.7)		(2.1)		15.0		0.1		7.9		—		79.4		79.4
Australia																				Australia	202.8		(155.8)		(3.5)		—		38.1		—		2.0		81.6		83.6
Austria																				Austria	90.5		(33.8)		0.6		—		—		—		—		57.3		57.3
India																				India	31.9		(15.2)		0.1		—		—		—		34.1		16.8		50.9
Total	Total	$	4,419.9	$	(3,166.0)	$	(100.9)	$	15.2	$	318.1	$	280.5	$	311.5	$	1,766.8	$	2,078.3	Total	$	2,326.4	$	(1,596.3)	$	(17.4)	$	0.4	$	180.5	$	269.5	$	287.3	$	1,163.1	$	1,450.4

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.~~


	November 30, 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
Canada	$	196.4	$	(94.2)	$	1.3	$	—	$	63.1	$	259.5	$	1.7	$	426.1	$	427.8
United Kingdom	570.6		(350.1)		(1.4)		0.3		68.9		24.9		26.7		313.2		339.9
Hong Kong	27.9		(18.3)		(1.8)		—		2.5		—		160.6		10.3		170.9
Japan	247.3		(205.4)		(3.1)		—		18.3		0.1		51.4		57.2		108.6
Spain	191.4		(111.8)		(0.1)		—		25.3		0.3		—		105.1		105.1
Australia	134.1		(78.5)		0.6		—		25.5		—		7.5		81.7		89.2
Netherlands	220.2		(142.0)		0.7		—		3.9		0.1		1.3		82.9		84.2
Switzerland	97.3		(67.6)		3.5		—		40.3		2.5		2.7		76.0		78.7
France	210.7		(201.7)		(59.5)		—		99.6		26.9		—		76.0		76.0
China	458.4		(356.9)		(34.1)		—		—		—		—		67.4		67.4
Total	$	2,354.3	$	(1,626.5)	$	(93.9)	$	0.3	$	347.4	$	314.3	$	251.9	$	1,295.9	$	1,547.8

Operational Risk

Operational risk ~~refers to~~is the risk of ~~loss~~financial or non-financial impact, resulting from ~~our operations, including, but not limited to, improper~~inadequate 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 ourfailed internal processes, people and systems or ~~systems, we could suffer an impairment~~from external events. We interpret this definition as including not only financial loss or gain but also other negative impacts to our ~~liquidity, financial loss, a disruption of~~objectives such as reputational impact, legal/regulatory impact and impact on our ~~businesses, liability to clients, regulatory intervention or reputational damage.~~

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~~JEFFERIES GROUP LLC AND SUBSIDIARIES~~

~~These systems may fail to operate properly or become disabled~~clients. Third-party risk is also included as a ~~result~~subset of ~~events that are wholly or partially beyond our control, including a disruption of electrical or communications services~~Operational Risk and is defined as the potential threat presented to us, or our ~~inability to occupy one~~employees or ~~more of~~clients, from 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 with which we conduct business.

~~Our operations rely on the secure processing, storage and transmission of confidential~~supply chain and other ~~information in~~third-parties used to perform a process, service or activity on 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’ 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.behalf.

Our Operational Risk framework includes governance ~~collection~~as well as operational risk processes, which is comprised of operational risk ~~incidents, proactive~~event capture and analysis, risk and control self-assessments, operational risk ~~management,~~key indicators, action tracking, risk monitoring and ~~periodic review~~reporting, deep dive risk assessments, new business approvals and ~~analysis of business metrics to identify and recommend controls and process-related enhancements.~~vendor risk management. Each revenue producing and support department is responsible for the management and reporting of operational risks and the implementation of the Operational Risk ~~policy~~Management Policy and processes within the ~~department.~~ department with regular operational risk training provided to our employees.

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JEFFERIES GROUP LLC AND SUBSIDIARIES

Operational Risk ~~policy,~~events are mapped to Risk Categories used for the consistent classification of risk data to support root cause and trend analysis, these include:

•Fraud and Theft

•Clients and Business Practices

•Market Conduct / Regulatory Compliance

•Business Disruption

•Technology

•Data Protection and Privacy

•Trading

•Transaction and Process Management

•People

•Cyber

•Vendor Risk

Operational Risk Management Policy, framework, infrastructure, methodology, processes, guidance and oversight of the operational risk processes are centralized and consistent ~~firm wide~~firmwide and ~~also~~additionally subject to regional and legal entity operational risk ~~governance.~~governance as required. We also maintain a firmwide Third-Party (“Vendor”) Risk Management Policy & Framework to ensure adequate control and monitoring over our critical third parties which includes processes for conducting periodic reviews covering areas of risk including financial health, information security, privacy, business continuity management, disaster recovery and operational risk.

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~~continue to adopt 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 continue~~our employees to ~~execute our~~navigate the constantly changing environment. Our Business Continuity ~~Planning plan and maintain~~Plan is operating effectively across a ~~largely~~hybrid remote working environment across all functions without any ~~significant~~meaningful 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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JEFFERIES GROUP LLC AND SUBSIDIARIES

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, 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 February 28, ~~2021~~2022 that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting.

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JEFFERIES GROUP LLC AND SUBSIDIARIES

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

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

Item 1A. Risk Factors

Information regarding our risk factors appears in Item 1A. of our Annual Report on Form 10-K for the fiscal year ended November 30, ~~2020 filed with the SEC on January 29,~~ 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. The following risk factor is an update to our previously disclosed risk factor and should be considered in conjunction with the Risk Factors section in our Form 10-K for the fiscal year, filed with the SEC on January 28, 2022.

We may incur losses as a result of unforeseen or catastrophic events, including the emergence of a pandemic, cybersecurity incidents and events, terrorist attacks, war, trade policies, military conflict, climate-related incidents, 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), cybersecurity incidents and events, terrorist attacks, war, trade policies, military conflict, extreme climate-related incidents or 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. For instance, military conflict and escalating tensions between Russia and Ukraine could result in geopolitical instability and adversely affect the global economy or specific markets, which could have an adverse impact or cause volatility in the financial services industry generally or on our results of operations and financial conditions.

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

None.

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JEFFERIES GROUP LLC AND SUBSIDIARIES

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 byof Chief ~~Financial Officer.~~Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2*			~~Rule 13a-14(a)/15d-14(a)~~ Certification byof Chief ~~Executive Officer.~~Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
3232.1*			~~Rule 13a-14(b)/15d-14(b) and Section 1350~~Certification of ~~Title 18 U.S.C. Certification by the~~ Chief Executive Officer ~~and~~pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2**			Certification of Chief Financial ~~Officer.~~Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
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 February 28, ~~2021~~2022 and November 30, ~~2020;~~2021; (ii) the Consolidated Statements of Earnings for the three months ended February 28, ~~2021~~2022 and ~~February 29, 2020;~~2021; (iii) the Consolidated Statements of Comprehensive Income for the three months ended February 28, ~~2021~~2022 and ~~February 29, 2020;~~2021; (iv) the Consolidated Statements of Changes in Equity for the three months ended February 28, ~~2021~~2022 and ~~February 29, 2020;~~2021; (v) the Consolidated Statements of Cash Flows for the three months ended February 28, ~~2021~~2022 and ~~February 29, 2020~~2021 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.
** Furnished herewith pursuant to item 601(b) (32) of Regulation S-K.

*~~Filed herewith.~~

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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:	April 8, ~~2021~~2022	By:	/s/ Matt Larson
			Matt Larson Chief Financial Officer (duly authorized officer)

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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			5759
Item 3. Quantitative and Qualitative Disclosures About Market Risk			9192
Item 4. Controls and Procedures			9192

PART II. OTHER INFORMATION

Item 1. Legal Proceedings			9293
Item 1A. Risk Factors			9293
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds			9293
Item 6. Exhibits			9294


	Three Months Ended February 29, 2020
	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 February 29, 2020		For instruments still held at February 29, 2020, changes in unrealized gains/(losses) included in:
																	Earnings (1)		Other comprehensive income (1)
Assets:
Financial instruments owned:
Corporate equity securities	$	58,301	$	(8,195)	$	2,792	$	(1,934)	$	0	$	0	$	52,679	$	103,643	$	(8,206)	$	0
Corporate debt securities	7,490		1,269		1,478		(503)		(601)		0		15,957		25,090		879		0
CDOs and CLOs	20,081		(2,069)		17,594		(17,833)		0		0		3,179		20,952		(1,823)		0


RMBS	17,740		(280)		0		0		(3)		0		(487)		16,970		(250)		0
CMBS	6,110		(306)		0		0		(1,401)		0		(139)		4,264		571		0
Other ABS	42,563		(4,159)		81,323		(72,032)		(1,974)		0		(3,818)		41,903		(3,797)		0
Loans and other receivables	64,240		(3,781)		12,940		(13,042)		(7,087)		0		1,051		54,321		(5,109)		0
Investments at fair value	75,738		(20,392)		0		(76)		0		0		0		55,270		(20,392)		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	$	291	$	(513)	$	0	$	0	$	0	$	10	$	4,275	$	65	$	0
Corporate debt securities	340		(189)		(13,832)		14,079		369		0		0		767		(35)		0

CMBS	35		0		0		0		0		0		0		35		0		0
Loans	9,463		1		(9,872)		2,781		0		0		5,486		7,859		(1)		0
Net derivatives (2)	77,168		(17,528)		(278)		5,627		192		0		45,662		110,843		17,460		0
Long-term debt	480,069		(9,016)		0		0		0		128,475		(56,065)		543,463		(5,590)		14,606


	Three Months Ended December 31,
	2020		2019
Net decrease in net assets resulting from operations (1)	$	(1,024)	$	(1,397)


	February 28, 2021		November 30, 2020
Bank of New York Mellon Master Loan Agreement (1)	$	300,000	$	300,000
JPMorgan Chase Bank, N.A. Credit Facility (2)	274,000		246,000
Royal Bank of Canada Credit Facility (3)	200,000		200,000
Bank of New York Mellon Credit Facility (4)	100,000		0
Total	$	874,000	$	746,000


	February 28, 2021		November 30, 2020
Assets under management (1):
Equities	$	418	$	481
Multi-asset	355		173
Total	$	773	$	654