v3.26.3
Derivative Instruments and Hedging Activities (Tables)
 3 Months Ended
Aug. 31, 2026
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 interest rate paid and the weighted-average interest rate received for our interest rate swaps as of August 31, 2026 and May 31, 2026. For the substantial majority of interest rate swap agreements, the daily compounded Secured Overnight Financing Rate (“SOFR”) is used as the basis for determining variable interest payment amounts each period.
Table 9.1: Derivative Notional Amount and Weighted-Average Rates

August 31, 2026May 31, 2026
(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$5,440,110 2.87 %3.85 %$5,380,215 2.84 %3.83 %
Receive-fixed swaps1,162,723 3.95 3.80 1,163,968 3.94 3.80 
Total interest rate swaps$6,602,833 3.06 3.84 $6,544,183 3.03 3.82 
Forward pay-fixed swaps—21,350
Total$6,602,833 $6,565,533 
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 derivative type, recorded on our consolidated balance sheets and the related outstanding notional amount as of August 31, 2026 and May 31, 2026.

Table 9.2: Derivative Assets and Liabilities at Fair Value
August 31, 2026May 31, 2026
(Dollars in thousands)Fair Value
Notional Amount
Fair Value
Notional Amount(1)
Derivative assets:
Interest rate swaps$637,736 $5,475,490 $554,116 $5,550,124 
Total derivative assets$637,736 $5,475,490 $554,116 $5,550,124 
Derivative liabilities:
Interest rate swaps$32,448 $1,127,343 $31,414 $1,015,409 
Total derivative liabilities$32,448 $1,127,343 $31,414 $1,015,409 
___________________________
(1)The notional amount as of May 31, 2026 included $21 million of a forward starting swap, as shown above in Table 9.1: Derivative Notional Amount and Weighted-Average Rates, with an effective start date in June 2026. The fair value of the swap as of May 31, 2026 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, 2026 and May 31, 2026, 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, 2026
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$637,736 $— $637,736 $31,959 $— $605,777 
Derivative liabilities:
Interest rate swaps32,448 — 32,448 31,959 — 489 

May 31, 2026
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$554,116 $— $554,116 $30,572 $— $523,544 
Derivative liabilities:
Interest rate swaps31,414 — 31,414 30,572 — 842 
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, 2026 and May 31, 2026, 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, 2026
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$637,736 $— $637,736 $31,959 $— $605,777 
Derivative liabilities:
Interest rate swaps32,448 — 32,448 31,959 — 489 

May 31, 2026
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$554,116 $— $554,116 $30,572 $— $523,544 
Derivative liabilities:
Interest rate swaps31,414 — 31,414 30,572 — 842 
Schedule 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. Derivative cash settlements interest income (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)

(Dollars in thousands)Q1 FY2027Q1 FY2026
Derivative gains (losses) attributable to:
Derivative cash settlements interest income$14,030 $20,267 
Derivative forward value gains (losses)82,586 (52,471)
Derivative gains (losses)
$96,616 $(32,204)
Schedule of Notional Amounts of Derivative Instruments Having Rating Triggers
The following table displays the notional amounts of our derivative contracts with mutual rating triggers as of August 31, 2026, 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)
$14,000 $(298)$— $(298)
Falls below Baa1/BBB+3,284,282 (331)301,202 300,871 
Falls to or below Baa2/BBB(2)
520,875 — 23,481 23,481 
Falls below Baa2/BBB913,168 — 98,921 98,921 
Total$4,732,325 $(629)$423,604 $422,975 
____________________________
(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.