Derivative Financial Instruments (Tables)

9 Months Ended

Feb. 28, 2014

Derivative Financial Instruments

Schedule of Derivative Instruments

The following table shows the notional amounts outstanding and the weighted-average rate paid and received for our interest rate swaps by type:

	February 28, 2014						May 31, 2013
(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-receive variable	$	5,172,809	3.36	%	0.22	%	$	5,287,889	3.39	%	0.26	%
Pay variable-receive fixed		3,124,000	0.86		3.62			3,500,440	1.12		4.62
Total interest rate swaps	$	8,296,809	2.42		1.50		$	8,788,329	2.49		2.00

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

Gains and losses recorded on the condensed consolidated statements of operations for our interest rate swaps are summarized below:

	Three Months Ended  February 28,				Nine Months Ended  February 28,
(Dollars in thousands)	2014		2013		2014		2013
Derivative cash settlements	$	(18,788)	$	(14,607)	$	(54,944)	$	(43,926)
Derivative forward value		(12,835)		61,233		98,925		62,194
Derivative (losses) gains	$	(31,623)	$	46,626	$	43,981	$

Disclosure of Credit Derivatives

At February 28, 2014, our senior unsecured credit ratings from Moody’s Investors Service and Standard & Poor’s Corporation were A2 and A, respectively. At February 28, 2014, both Moody’s Investors Service and Standard & Poor’s Corporation had our ratings on stable outlook.

(Dollars in thousands)	Notional  Amount		Our Required  Payment		Amount We  Would Collect		Net  Total
Mutual rating trigger if ratings:
fall to Baa1/BBB+ (1)	$	-	$	-	$	-	$	-
fall below Baa1/BBB+ (1)		6,576,953		(160,733)		75,860		(84,873)
Total	$	6,576,953	$	(160,733)	$	75,860	$	(84,873)

(1) Stated senior unsecured credit ratings are for Moody’s Investors Service and Standard & Poor’s Corporation, respectively. Under these rating triggers, if the credit rating for either counterparty falls to the level specified in the agreement, the other counterparty may, but is not obligated to, terminate the agreement. If either counterparty terminates the agreement, a net payment may be due from one counterparty to the other based on the fair value, excluding credit risk, of the underlying derivative instrument.

Offsetting Assets and Liabilities

The following table provides information on the gross fair value of derivative assets and liabilities and the gross amounts that are not offset in the condensed consolidated balance sheets.

	February 28, 2014
	Gross Amounts		Gross		Net Amounts of  Assets/ Liabilities		Gross Amounts  Not Offset in the  Balance Sheet
(Dollars in thousands)	of Recognized  Assets/  Liabilities		Amounts  Offset in the  Balance Sheet		Presented  in the  Balance Sheet		Financial  Instruments		Cash  Collateral  Pledged		Net  Amount
Assets:
Derivatives - Interest rate swaps	$	261,598	$	-	$	261,598	$	193,733	$	-	$	67,865
Liabilities:
Derivatives - Interest rate swaps		380,518		-		380,518		193,733		-		186,785

	May 31, 2013
	Gross Amounts		Gross		Net Amounts of  Assets/ Liabilities		Gross Amounts  Not Offset in the  Balance Sheet
(Dollars in thousands)	of Recognized  Assets/  Liabilities		Amounts  Offset in the  Balance Sheet		Presented  in the  Balance Sheet		Financial Instruments		Cash  Collateral  Pledged		Net  Amount
Assets:
Derivatives - Interest rate swaps	$	257,878	$	-	$	257,878	$	203,161	$	-	$	54,717
Liabilities:
Derivatives - Interest rate swaps		475,278		-		475,278		203,161		-		272,117