Derivative Instruments and Hedging Activities - (Tables)

6 Months Ended

Nov. 30, 2019

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 November 30, 2019 and May 31, 2019. The substantial majority of our interest rate swaps use an index based on LIBOR for either the pay or receive leg of the swap agreement.



	November 30, 2019						May 31, 2019
(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	$	7,271,741	2.84	%	2.00	%	$	7,379,280	2.83	%	2.60	%
Receive-fixed swaps	3,099,000		2.66		2.66		3,399,000		3.25		2.56
Total interest rate swaps	10,370,741		2.78		2.20		10,778,280		2.97		2.58
Forward pay-fixed swaps	65,000						65,000
Total	$	10,435,741					$	10,843,280

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 by derivatives type, as of November 30, 2019 and May 31, 2019.



	November 30, 2019				May 31, 2019
(Dollars in thousands)	Fair Value		Notional Balance		Fair Value		Notional Balance
Derivative assets:
Interest rate swaps	$	53,174	$	2,335,476	$	41,179	$	2,332,104

Derivative liabilities:
Interest rate swaps	$	591,027	$	8,100,265	$	391,724	$	8,511,176

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 November 30, 2019 and May 31, 2019, and provides information on the impact of netting provisions and collateral pledged, if any.



	November 30, 2019
	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)	Gross Amount of Recognized Assets/ Liabilities		Gross Amount Offset in the Balance Sheet				Financial Instruments		Cash Collateral Pledged		Net Amount
Derivative assets:
Interest rate swaps	$	53,174	$	—	$	53,174	$	53,174	$	—	$	—
Derivative liabilities:
Interest rate swaps	591,027		—		591,027		53,174		—		537,853



	May 31, 2019
	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)	Gross Amount of Recognized Assets/ Liabilities		Gross Amount Offset in the Balance Sheet				Financial Instruments		Cash Collateral Pledged		Net Amount
Derivative assets:
Interest rate swaps	$	41,179	$	—	$	41,179	$	41,176	$	—	$	3
Derivative liabilities:
Interest rate swaps	391,724		—		391,724		41,176		—		350,548

Schedule of offsetting assets and liabilities



	November 30, 2019
	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)	Gross Amount of Recognized Assets/ Liabilities		Gross Amount Offset in the Balance Sheet				Financial Instruments		Cash Collateral Pledged		Net Amount
Derivative assets:
Interest rate swaps	$	53,174	$	—	$	53,174	$	53,174	$	—	$	—
Derivative liabilities:
Interest rate swaps	591,027		—		591,027		53,174		—		537,853



	May 31, 2019
	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)	Gross Amount of Recognized Assets/ Liabilities		Gross Amount Offset in the Balance Sheet				Financial Instruments		Cash Collateral Pledged		Net Amount
Derivative assets:
Interest rate swaps	$	41,179	$	—	$	41,179	$	41,176	$	—	$	3
Derivative liabilities:
Interest rate swaps	391,724		—		391,724		41,176		—		350,548

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 six months ended November 30, 2019 and 2018.



	Three Months Ended November 30,						Six Months Ended November 30,
(Dollars in thousands)	2019			2018			2019			2018
Derivative gains (losses) attributable to:
Derivative cash settlements expense	$	(14,150	)	$	(11,805	)	$	(25,193	)	$	(24,634	)
Derivative forward value gains (losses)	197,600			75,148			(187,082		)	95,160
Derivative gains (losses)	$	183,450		$	63,343		$	(212,275	)	$	70,526

Schedule of notional amounts of derivative instruments having rating triggers

The following table displays the notional amounts of our derivative contracts with rating triggers as of November 30, 2019, 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 rating downgrade trigger:
Falls below A3/A-⁽¹⁾	$	47,955	$	(9,457	)	$	—	$	(9,457	)
Falls below Baa1/BBB+	6,861,619		(346,099		)	—		(346,099		)
Falls to or below Baa2/BBB ⁽²⁾	479,629		(13,704		)	—		(13,704		)
Falls below Baa3/BBB-	221,078		(12,385		)	—		(12,385		)
Total	$	7,610,281	$	(381,645	)	$	—	$	(381,645	)

^{____________________________}

⁽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.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

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