It's tucked away in Jefferies trading assets - "We have elected the fair value option for Jefferies investment in Knight Capital Group, Inc., acquired by Jefferies during 2012. On July 1, 2013, Knight Capital completed its previously announced merger with GETCO Holding Company, LLC; as a result KCG Holdings, Inc. became the new public parent of both entities. Although no longer subject to the equity method of accounting, KCG Holdings continues to be accounted for at fair value consistent with the election made for all of Jefferies trading assets. The change in the fair value of this investment was $(1.0) million for the three months ended March 31, 2014."
Jefferies owns 22.5m shares or 19.6% of KCG