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Derivative Instruments and Hedging Activities - (Tables)
 6 Months Ended
Nov. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Notional Amounts and Weighted Average Rates Paid and Received The following table shows, by derivative instrument type, the notional amount, the weighted-average rate paid and the weighted-average interest rate received for our interest rate swaps as of November 30, 2021 and May 31, 2021. For the substantial majority of interest rate swap agreements, a LIBOR index is currently used as the basis for determining variable interest payment amounts each period.
Table 9.1: Derivative Notional Amount and Weighted Average Rates
 November 30, 2021May 31, 2021
(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$6,118,204 2.61 %0.15 %$6,579,516 2.65 %0.20 %
Receive-fixed swaps2,399,000 0.88 2.80 2,399,000 0.92 2.80 
Total interest rate swaps$8,517,204 2.12 0.90 $8,978,516 2.19 0.89 
Schedule of Fair Values and Notional Amounts of Outstanding Derivatives The following table displays the fair value of the derivative assets and derivative liabilities, by derivatives type, recorded on our consolidated balance sheets and the related outstanding notional amount as of November 30, 2021 and May 31, 2021.
Table 9.2: Derivative Assets and Liabilities at Fair Value
 November 30, 2021May 31, 2021
(Dollars in thousands)Fair ValueNotional AmountFair ValueNotional Amount
Derivative assets:
Interest rate swaps$78,610 $2,816,570 $121,259 $2,560,618 
Total derivative assets$78,610 $2,816,570 $121,259 $2,560,618 
Derivative liabilities:
Interest rate swaps$615,097 $5,700,634 $584,989 $6,417,898 
Total derivative liabilities$615,097 $5,700,634 $584,989 $6,417,898 
Schedule of Offsetting Assets The following table presents the gross fair value of derivative assets and liabilities reported on our consolidated balance sheets as of November 30, 2021 and May 31, 2021, and provides information on the impact of netting provisions under our master swap agreements and collateral pledged, if any.
Table 9.3: Derivative Gross and Net Amounts
November 30, 2021
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$78,610 $— $78,610 $78,610 $— $— 
Derivative liabilities:
Interest rate swaps615,097 — 615,097 78,610 — 536,487 

May 31, 2021
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$121,259 $— $121,259 $121,259 $— $— 
Derivative liabilities:
Interest rate swaps584,989 — 584,989 121,259 — 463,730 
Schedule of Offsetting Liabilities The following table presents the gross fair value of derivative assets and liabilities reported on our consolidated balance sheets as of November 30, 2021 and May 31, 2021, and provides information on the impact of netting provisions under our master swap agreements and collateral pledged, if any.
Table 9.3: Derivative Gross and Net Amounts
November 30, 2021
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$78,610 $— $78,610 $78,610 $— $— 
Derivative liabilities:
Interest rate swaps615,097 — 615,097 78,610 — 536,487 

May 31, 2021
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$121,259 $— $121,259 $121,259 $— $— 
Derivative liabilities:
Interest rate swaps584,989 — 584,989 121,259 — 463,730 
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 consolidated statements of operations for the three and six months ended November 30, 2021 and 2020. Derivative cash settlements interest expense represents the net periodic contractual interest amount for our interest-rate swaps during the reporting period. Derivative forward value gains (losses) represent the change in fair value of our interest rate swaps during the reporting period due to changes in expected future interest rates over the remaining life of our derivative contracts. We classify the derivative cash settlement amounts for the net periodic contractual interest expense on our interest rate swaps as an operating activity in our consolidated statements of cash flows.

Table 9.4: Derivative Gains (Losses)
Three Months Ended November 30,Six Months Ended November 30,
(Dollars in thousands)2021202020212020
Derivative gains (losses) attributable to:
Derivative cash settlements interest expense$(25,952)$(29,800)$(53,515)$(56,772)
Derivative forward value gains (losses)72,038 111,087 (72,562)198,335 
Derivative gains (losses)$46,086 $81,287 $(126,077)$141,563 
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, 2021, 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, 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 assume that amounts for each counterparty would be netted in accordance with the provisions of the master netting agreements with the 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.
Table 9.5: Derivative Credit Rating Trigger Exposure
(Dollars in thousands)Notional
 Amount		Payable Due from CFCReceivable
Due to CFC		Net Payable
Impact of rating downgrade trigger:    
Falls below A3/A-(1)
$38,205 $(6,748)$— $(6,748)
Falls below Baa1/BBB+5,636,404 (357,913)— (357,913)
Falls to or below Baa2/BBB (2)
398,870 (16,802)— (16,802)
Total$6,073,479 $(381,463)$— $(381,463)
____________________________
(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.