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Derivative Instruments and Hedging Activities (Tables)
 3 Months Ended
Aug. 31, 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 August 31, 2023 and May 31, 2023. For the substantial majority of interest rate swap agreements, the daily compounded Secured Overnight Financing Rate (“SOFR”) is currently used as the basis for determining variable interest payment amounts each period.
Table 9.1: Derivative Notional Amount and Weighted Average Rates

 August 31, 2023May 31, 2023
(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$6,021,557 2.77 %5.53 %$5,920,269 2.75 %5.26 %
Receive-fixed swaps1,600,000 6.32 2.96 1,700,000 6.05 2.97 
Total interest rate swaps7,621,5573.52 4.99 7,620,2693.49 4.75 
Forward pay-fixed swaps—195,845
Total interest rate swaps$7,621,557 $7,816,114 
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 August 31, 2023 and May 31, 2023.
Table 9.2: Derivative Assets and Liabilities at Fair Value
 August 31, 2023May 31, 2023
(Dollars in thousands)Fair Value
Notional Amount
Fair Value
Notional Amount (1)
Derivative assets:
Interest rate swaps$615,866 $5,525,253 $460,762 $5,405,274 
Total derivative assets$615,866 $5,525,253 $460,762 $5,405,274 
Derivative liabilities:
Interest rate swaps$108,239 $2,096,304 $115,074 $2,410,840 
Total derivative liabilities$108,239 $2,096,304 $115,074 $2,410,840 
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(1) The notional amount as of May 31, 2023 includes $196 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 during the three months ended August 31, 2023. The fair value of these swaps as of May 31, 2023 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 August 31, 2023 and May 31, 2023, 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
August 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$615,866 $— $615,866 $106,557 $— $509,309 
Derivative liabilities:
Interest rate swaps108,239 — 108,239 106,557 — 1,682 

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 swaps115,074 — 115,074 112,047 — 3,027 
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 August 31, 2023 and May 31, 2023, 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
August 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$615,866 $— $615,866 $106,557 $— $509,309 
Derivative liabilities:
Interest rate swaps108,239 — 108,239 106,557 — 1,682 

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 swaps115,074 — 115,074 112,047 — 3,027 
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 months ended August 31, 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 August 31,
(Dollars in thousands)20232022
Derivative gains (losses) attributable to:
Derivative cash settlements interest income (expense)$27,869 $(10,785)
Derivative forward value gains162,018 104,372 
Derivative gains$189,887 $93,587 
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 August 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 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 $(951)$— $(951)
Falls below Baa1/BBB+5,177,232 (765)340,918 340,153 
Falls to or below Baa2/BBB (2)
315,461 — 24,183 24,183 
Total$5,523,623 $(1,716)$365,101 $363,385 
____________________________
(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.