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Derivative Instruments and Hedging Activities - (Tables)
 9 Months Ended
Feb. 28, 2023
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 February 28, 2023 and May 31, 2022. 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

 February 28, 2023May 31, 2022
(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$5,589,869 2.70 %4.81 %$5,957,631 2.60 %1.24 %
Receive-fixed swaps1,700,000 5.57 2.97 1,980,000 1.53 2.86 
Total interest rate swaps7,289,8693.37 4.38 7,937,6312.33 1.64 
Forward pay-fixed swaps160,845124,000
Total interest rate swaps$7,450,714 $8,061,631 

Cash Flow Hedges
During the nine months ended February 28, 2023, we executed three treasury lock agreements with a total aggregate notional amount of $400 million to hedge interest rate risk by locking in the underlying U.S. Treasury interest rate component of interest rate payments on anticipated debt issuances. The treasury locks were designated and qualified as cash flow hedges. We terminated these treasury locks in February 2023 and we recorded a net settlement gain of $7 million in accumulated other comprehensive income (“AOCI”), which will be reclassified into interest expense over the term that the hedged debt transaction affects earnings. We did not have any derivatives designated as accounting hedges as of February 28, 2023 and May 31, 2022.
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 February 28, 2023 and May 31, 2022.

Table 9.2: Derivative Assets and Liabilities at Fair Value
 February 28, 2023May 31, 2022
(Dollars in thousands)Fair Value
Notional Amount (1)
Fair Value
Notional Amount (1)
Derivative assets:
Interest rate swaps$554,610 $5,236,910 $222,042 $4,791,699 
Total derivative assets$554,610 $5,236,910 $222,042 $4,791,699 
Derivative liabilities:
Interest rate swaps$131,075 $2,213,804 $128,282 $3,269,932 
Total derivative liabilities$131,075 $2,213,804 $128,282 $3,269,932 
____________________________
(1) The notional amount includes $161 million and $124 million notional amount of forward starting swaps, as shown above in Table 9.1: Derivative Notional Amount and Weighted-Average Rates, with an effective start date subsequent to February 28, 2023 and May 31, 2022, respectively, outstanding as of February 28, 2023 and May 31, 2022, respectively. The fair value of these swaps as of February 28, 2023 and May 31, 2022 is included in the above table and in our consolidated financial statements.
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 February 28, 2023 and May 31, 2022, 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
February 28, 2023
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$554,610 $— $554,610 $129,010 $— $425,600 
Derivative liabilities:
Interest rate swaps131,075 — 131,075 129,010 — 2,065 
May 31, 2022
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$222,042 $— $222,042 $103,228 $— $118,814 
Derivative liabilities:
Interest rate swaps128,282 — 128,282 103,228 — 25,054 
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 February 28, 2023 and May 31, 2022, 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
February 28, 2023
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$554,610 $— $554,610 $129,010 $— $425,600 
Derivative liabilities:
Interest rate swaps131,075 — 131,075 129,010 — 2,065 
May 31, 2022
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$222,042 $— $222,042 $103,228 $— $118,814 
Derivative liabilities:
Interest rate swaps128,282 — 128,282 103,228 — 25,054 
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 nine months ended February 28, 2023 and 2022. 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 February 28,Nine Months Ended February 28,
(Dollars in thousands)2023202220232022
Derivative gains (losses) attributable to:
Derivative cash settlements interest income (expense)$18,634 $(26,212)$12,650 $(79,727)
Derivative forward value gains83,674 195,492 330,035 122,930 
Derivative gains$102,308 $169,280 $342,685 $43,203 
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 February 28, 2023, 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 Receivable (Payable)
Impact of rating downgrade trigger:    
Falls below A3/A-(1)
$30,930 $(1,292)$— $(1,292)
Falls below Baa1/BBB+4,992,690 (999)273,349 272,350 
Falls to or below Baa2/BBB (2)
319,439 — 22,018 22,018 
Total$5,343,059 $(2,291)$295,367 $293,076 
____________________________
(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.