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Derivative Instruments and Hedging Activities (Tables)

12 Months Ended

May 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of derivative notional amount and weighted-average rates

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 May 31, 2023 and 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 10.1: Derivative Notional Amount and Weighted-Average Rates


	May 31,
	2023						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	$	5,920,269	2.75	%	5.26	%	$	5,957,631	2.60	%	1.24	%
Receive-fixed swaps	1,700,000		6.05		2.97		1,980,000		1.53		2.86
Subtotal	7,620,269		3.49		4.75		7,937,631		2.33		1.64
Forward pay-fixed swaps	195,845						124,000
Total interest rate swaps	$	7,816,114					$	8,061,631

Schedule of derivative instruments maturity

The following table presents the notional amount of our interest rate swaps maturing in each of the five fiscal years subsequent to May 31, 2023 and thereafter.

Table 10.2: Derivative Notional Amount Maturities


	Notional Amount	Notional Amortization and Maturities
(Dollars in thousands)		2024	2025	2026	2027	2028	Thereafter
Interest rate swaps	$7,816,114	$823,574	$418,928	$1,066,485	$343,661	$604,200	$4,559,266

Schedule of derivative instruments on consolidated balance sheets

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 May 31, 2023 and 2022.

Table 10.3: Derivative Assets and Liabilities at Fair Value


	May 31,
	2023				2022
(Dollars in thousands)	Fair Value		Notional Amount(1)		Fair Value		Notional Amount(1)
Derivative assets:
Interest rate swaps	$	460,762	$	5,405,274	$	222,042	$	4,791,699
Total derivative assets	$	460,762	$	5,405,274	$	222,042	$	4,791,699

Derivative liabilities:

Interest rate swaps	$	115,074	$	2,410,840	$	128,282	$	3,269,932
Total derivative liabilities	$	115,074	$	2,410,840	$	128,282	$	3,269,932

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(1) The notional amount includes $196 million and $124 million notional amount of forward starting swaps, as shown above in Table 10.1: Derivative Notional Amount and Weighted-Average Rates, with an effective start date subsequent to May 31, 2023 and May 31, 2022, respectively, outstanding as of May 31, 2023 and May 31, 2022, respectively. The fair value of these swaps as of May 31, 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 May 31, 2023 and 2022, and provides information on the impact of netting provisions under our master swap agreements and collateral pledged, if any.

Table 10.4: Derivative Gross and Net Amounts


	May 31, 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	$	460,762	$	—	$	460,762	$	112,047	$	—	$	348,715
Derivative liabilities:

Interest rate swaps	115,074		—		115,074		112,047		—		3,027


	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 swaps	128,282		—		128,282		103,228		—		25,054

Schedule of offsetting liabilities

Table 10.4: Derivative Gross and Net Amounts


	May 31, 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	$	460,762	$	—	$	460,762	$	112,047	$	—	$	348,715
Derivative liabilities:

Interest rate swaps	115,074		—		115,074		112,047		—		3,027


	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 swaps	128,282		—		128,282		103,228		—		25,054

Summary of gains and losses recorded on the consolidated statements of operations for the entity's derivatives

The following table presents the components of the derivative gains (losses) reported in our consolidated statements of operations for fiscal years 2023, 2022 and 2021. 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 10.5: Derivative Gains (Losses)


	Year Ended May 31,
(Dollars in thousands)	2023		2022		2021
Derivative gains (losses) attributable to:
Derivative cash settlements interest income (expense)	$	33,577	$	(101,385)	$	(115,645)
Derivative forward value gains	252,267		557,867		621,946
Derivative gains	$	285,844	$	456,482	$	506,301

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 May 31, 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 10.6: Derivative Credit Rating Trigger Exposure


(Dollars in thousands)	Notional Amount		Payable Due from CFC		Receivable Due to CFC		Net Receivable (Payable)
Impact of rating downgrade trigger:
Falls below A3/A-(1)	$	30,930	$	(1,450)	$	—	$	(1,450)
Falls below Baa1/BBB+	5,336,304		(1,607)		227,613		226,006
Falls to or below Baa2/BBB (2)	320,589		—		17,865		17,865

Total	$	5,687,823	$	(3,057)	$	245,478	$	242,421

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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.

- 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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