Derivative Financial Instruments (Tables)

9 Months Ended

Feb. 29, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of notional amounts and weighted average rates paid and received

The following table shows the outstanding notional amounts and the weighted-average rate paid and received for our interest rate swaps, by type, as of February 29, 2016 and May 31, 2015. The substantial majority of our interest rate exchange agreements use an index based on the London Interbank Offered Rate (“LIBOR”) for either the pay or receive leg of the swap agreement.

	February 29, 2016						May 31, 2015
(Dollars in thousands)	Notional Amount		Weighted- Average Rate Paid		Weighted- Average Rate Received		Notional Amount		Weighted- Average Rate Paid		Weighted- Average Rate Received
Pay-fixed swaps	$	6,731,641	2.95	%	0.61	%	$	5,776,533	3.15	%	0.28	%
Receive-fixed swaps	3,499,000		1.01		2.82		3,849,000		0.79		3.09
Total interest rate swaps	$	10,230,641	2.29		1.36		$	9,625,533	2.21		1.40

Schedule of fair values and notional amounts of outstanding derivatives

The following table displays the fair value of the derivative assets and derivative liabilities recorded on our condensed consolidated balance sheets and the related outstanding notional amount of our interest rate swaps as of February 29, 2016 and May 31, 2015.

	February 29, 2016					May 31, 2015
(Dollars in thousands)	Fair Value			Notional Balance		Fair Value			Notional Balance
Derivative assets	$	104,535		$	3,499,000	$	115,276		$	3,448,615
Derivative liabilities	(688,998		)	6,731,641		(408,382		)	6,176,918
Total	$	(584,463	)	$	10,230,641	$	(293,106	)	$	9,625,533

Schedule of offsetting assets and liabilities

The following table presents the gross fair value of derivative assets and liabilities reported on our condensed consolidated balance sheets as of February 29, 2016 and May 31, 2015, and provides information on the impact of netting provisions and collateral pledged.

	February 29, 2016
	Gross Amount of Recognized Assets/ Liabilities		Gross Amount Offset in the Balance Sheet		Net Amount of Assets/ Liabilities Presented in the Balance Sheet		Gross Amount Not Offset in the Balance Sheet
(Dollars in thousands)							Financial Instruments		Cash Collateral Pledged		Net Amount
Derivative assets:
Interest rate swaps	$	104,535	$	—	$	104,535	$	104,535	$	—	$	—
Derivative liabilities:
Interest rate swaps	688,998		—		688,998		104,535		—		584,463

	May 31, 2015
	Gross Amount of Recognized Assets/ Liabilities		Gross Amount Offset in the Balance Sheet		Net Amount of Assets/ Liabilities Presented in the Balance Sheet		Gross Amount Not Offset in the Balance Sheet
(Dollars in thousands)							Financial Instruments		Cash Collateral Pledged		Net Amount
Derivative assets:
Interest rate swaps	$	115,276	$	—	$	115,276	$	115,276	$	—	$	—
Derivative liabilities:
Interest rate swaps	408,382		—		408,382		115,276		—		293,106

Schedule of offsetting assets and liabilities

The following table presents the gross fair value of derivative assets and liabilities reported on our condensed consolidated balance sheets as of February 29, 2016 and May 31, 2015, and provides information on the impact of netting provisions and collateral pledged.

	February 29, 2016
	Gross Amount of Recognized Assets/ Liabilities		Gross Amount Offset in the Balance Sheet		Net Amount of Assets/ Liabilities Presented in the Balance Sheet		Gross Amount Not Offset in the Balance Sheet
(Dollars in thousands)							Financial Instruments		Cash Collateral Pledged		Net Amount
Derivative assets:
Interest rate swaps	$	104,535	$	—	$	104,535	$	104,535	$	—	$	—
Derivative liabilities:
Interest rate swaps	688,998		—		688,998		104,535		—		584,463

	May 31, 2015
	Gross Amount of Recognized Assets/ Liabilities		Gross Amount Offset in the Balance Sheet		Net Amount of Assets/ Liabilities Presented in the Balance Sheet		Gross Amount Not Offset in the Balance Sheet
(Dollars in thousands)							Financial Instruments		Cash Collateral Pledged		Net Amount
Derivative assets:
Interest rate swaps	$	115,276	$	—	$	115,276	$	115,276	$	—	$	—
Derivative liabilities:
Interest rate swaps	408,382		—		408,382		115,276		—		293,106

Summary of gains and losses recorded on the consolidated statements of operations for the entity's interest rate swaps

The following table presents the components of the derivative gains (losses) reported in our condensed consolidated statements of operations for our interest rate swaps for the three and nine months ended February 29, 2016 and February 28, 2015.

	Three Months Ended						Nine Months Ended
(Dollars in thousands)	February 29, 2016			February 28, 2015			February 29, 2016			February 28, 2015
Derivative cash settlements	$	(22,556	)	$	(21,512	)	$	(65,285	)	$	(63,377	)
Derivative forward value	(220,480		)	(77,258		)	(290,952		)	(159,832		)
Derivative losses	$	(243,036	)	$	(98,770	)	$	(356,237	)	$	(223,209	)

Schedule of notional amounts of derivative instruments having rating triggers

The table below displays the notional amounts of our derivative contracts with rating triggers as of February 29, 2016 and the payments that would be required if the contracts were terminated as of that date because of a downgrade of our unsecured credit ratings or the counterparty’s unsecured credit ratings below A3/A-, below Baa1/BBB+, to or below Baa2/BBB, below Baa3/BBB-, or to or below Ba2/BB+ by Moody’s or S&P, respectively. In calculating the payment amounts that would be required upon termination of the derivative contracts, we assumed that the amounts for each counterparty would be netted in accordance with the provisions of the master netting agreements for each counterparty. The net payment amounts are based on the fair value of the underlying derivative instrument, excluding the credit risk valuation adjustment, plus any unpaid accrued interest amounts.

(Dollars in thousands)	Notional Amount		Payable Due From CFC			Receivable Due to CFC		Net (Payable)/Receivable
Impact of mutual rating downgrade trigger:
Falls below A3/A-(1)	$	63,295	$	(19,794	)	$	—	$	(19,794	)
Falls below Baa1/BBB+	6,556,100		(348,858		)	—		(348,858		)
Falls to or below Baa2/BBB (2)	162,325		(3,955		)	—		(3,955		)
Falls below Baa3/BBB-	400,000		(31,606		)	—		(31,606		)
Total	$	7,181,720	$	(404,213	)	$	—	$	(404,213	)

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⁽¹⁾ Rating trigger for CFC falls below A3/A-, while rating trigger for counterparty falls below Baa1/BBB+ by Moody’s or S&P, respectively.

⁽²⁾Rating trigger for CFC falls to or below Baa2/BBB, while rating trigger for counterparty falls to or below Ba2/BB+ by Moody’s or S&P, respectively.