This is a particularly large drey, or nest. They vary in size but all are made primarily from leaves with other fibres and twigs interwoven. I think I can see some Dog-strangling vine fibres in this one. They are strongly built on a platform of twigs, usually using living ones on the tree. Several squirrels can live in one of these structures, though they often have several in the vicinity and will use them interchangeably. It is not unusual to find squirrels refurbishing with dead leaves as winter progresses, if they can find any on the ground under the snow, or still clinging to the tree. Although they look as if a puff of wind would destroy them, they can withstand strong winds, snow, rain and hail.