XML 36 R23.htm IDEA: XBRL DOCUMENT v3.22.2.2

Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2022

Derivative Instruments And Hedging Activities Disclosure [Abstract]

Impact of Derivatives on Balance Sheet

Summary of Derivative Financial Statement Impact

The following tables summarize the fair values and notional amounts of all derivative instruments and their impact on net income and other comprehensive income.

Impact of Derivatives on Balance Sheet

				Cash Flow								Fair Value(3)								Trading								Total
(Dollars in millions)		Hedged Risk Exposure		Sep 30, 2022				Dec 31, 2021				Sep 30, 2022				Dec 31, 2021				Sep 30, 2022				Dec 31, 2021				Sep 30, 2022				Dec 31, 2021
Fair Values(1)
Derivative Assets:
Interest rate swaps		Interest rate		$	—			$	—			$	56			$	222			$	—			$	2			$	56			$	224
Cross-currency interest rate    swaps		Foreign currency and interest rate			—				—				—				—				—				—				—				—
Total derivative assets(2)					—				—				56				222				—				2				56				224
Derivative Liabilities:
Interest rate swaps		Interest rate			—				—				(7	)			—				(2	)			(5	)			(9	)			(5	)
Floor Income Contracts		Interest rate			—				—				—				—				—				(65	)			—				(65	)
Cross-currency interest rate    swaps		Foreign currency and interest rate			—				—				(407	)			(190	)			—				—				(407	)			(190	)
Total derivative liabilities(2)					—				—				(414	)			(190	)			(2	)			(70	)			(416	)			(260	)
Net total derivatives				$	—			$	—			$	(358	)		$	32			$	(2	)		$	(68	)		$	(360	)		$	(36	)

⁽¹⁾ Fair values reported are exclusive of collateral held and pledged and accrued interest. Assets and liabilities are presented without consideration of master netting agreements. Derivatives are carried on the balance sheet based on net position by counterparty under master netting agreements and classified in other assets or other liabilities depending on whether in a net positive or negative position.  

⁽²⁾ The following table reconciles gross positions without the impact of master netting agreements to the balance sheet classification:

		Other Assets								Other Liabilities
(Dollar in millions)		September 30, 2022				December 31, 2021				September 30, 2022				December 31, 2021
Gross position		$	56			$	224			$	(416	)		$	(260	)
Impact of master netting agreements			—				(6	)			—				6
Derivative values with impact of master netting    agreements (as carried on balance sheet)			56				218				(416	)			(254	)
Cash collateral (held) pledged			(62	)			(244	)			69				147
Net position		$	(6	)		$	(26	)		$	(347	)		$	(107	)

^{(3) The following table shows the carrying value of liabilities in fair value hedges and the related fair value hedging adjustments to these liabilities:}

		As of September 30, 2022								As of December 31, 2021
(Dollar in millions)		Carrying Value				Hedge Basis Adjustments				Carrying Value				Hedge Basis Adjustments
Short-term borrowings		$	1,283			$	(15	)		$	—			$	—
Long-term borrowings		$	6,102			$	(664	)		$	8,503			$	252

Gross Positions with Impact of Master Netting Agreements

The following table reconciles gross positions without the impact of master netting agreements to the balance sheet classification:

		Other Assets								Other Liabilities
(Dollar in millions)		September 30, 2022				December 31, 2021				September 30, 2022				December 31, 2021
Gross position		$	56			$	224			$	(416	)		$	(260	)
Impact of master netting agreements			—				(6	)			—				6
Derivative values with impact of master netting    agreements (as carried on balance sheet)			56				218				(416	)			(254	)
Cash collateral (held) pledged			(62	)			(244	)			69				147
Net position		$	(6	)		$	(26	)		$	(347	)		$	(107	)

^{(3) The following table shows the carrying value of liabilities in fair value hedges and the related fair value hedging adjustments to these liabilities:}

Carrying Value and Related Fair Value Hedging Adjustments of Liabilities

The following table shows the carrying value of liabilities in fair value hedges and the related fair value hedging adjustments to these liabilities:

		As of September 30, 2022								As of December 31, 2021
(Dollar in millions)		Carrying Value				Hedge Basis Adjustments				Carrying Value				Hedge Basis Adjustments
Short-term borrowings		$	1,283			$	(15	)		$	—			$	—
Long-term borrowings		$	6,102			$	(664	)		$	8,503			$	252

Derivative Notional Values

		Cash Flow								Fair Value								Trading								Total
(Dollars in billions)		Sep 30, 2022				Dec 31, 2021				Sep 30, 2022				Dec 31, 2021				Sep 30, 2022				Dec 31, 2021				Sep 30, 2022				Dec 31, 2021
Notional Values:
Interest rate swaps		$	9.9			$	12.1			$	6.2			$	6.2			$	25.5			$	28.4			$	41.6			$	46.7
Floor Income Contracts			—				—				—				—				6.0				12.5				6.0				12.5
Cross-currency interest rate swaps			—				—				1.9				2.1				—				—				1.9				2.1
Total derivatives		$	9.9			$	12.1			$	8.1			$	8.3			$	31.5			$	40.9			$	49.5			$	61.3

Mark-to-Market Impact of Derivatives on Statements of Income

Mark-to-Market Impact of Derivatives on Statements of Income

		Total Gains (Losses)
		Three Months Ended September 30,								Nine Months Ended September 30,
(Dollars in millions)		2022				2021				2022				2021
Fair Value Hedges:
Interest Rate Swaps
Gains (losses) recognized in net income on derivatives		$	(193	)		$	(53	)		$	(629	)		$	(228	)
Gains (losses) recognized in net income on hedged items			210				60				680				251
Net fair value hedge ineffectiveness gains (losses)			17				7				51				23
Cross currency interest rate swaps
Gains (losses) recognized in net income on derivatives			(127	)			(48	)			(217	)			138
Gains (losses) recognized in net income on hedged items			104				51				251				(90	)
Net fair value hedge ineffectiveness gains (losses)			(23	)			3				34				48
Total fair value hedges(1)(2)			(6	)			10				85				71
Cash Flow Hedges:
Total cash flow hedges(2)			—				—				—				—
Trading:
Interest rate swaps			40				(2	)			120				13
Floor income contracts			—				(3	)			41				8
Cross currency interest rate swaps			—				—				—				—
Other			—				—				—				—
Total trading derivatives(3)			40				(5	)			161				21
Mark-to-market gains (losses) recognized		$	34			$	5			$	246			$	92

⁽¹⁾  Recorded in interest expense in the consolidated statements of income.

⁽²⁾  The accrued interest income (expense) on fair value hedges and cash flow hedges is recorded in interest expense and is excluded from this table.

⁽³⁾  Recorded in “gains (losses) on derivative and hedging activities, net” in the consolidated statements of income.

Impact of Derivatives on Other Comprehensive Income (Equity)

Impact of Derivatives on Other Comprehensive Income (Equity)

		Three Months Ended September 30,								Nine Months Ended September 30,
(Dollars in millions)		2022				2021				2022				2021
Total gains (losses) on cash flow hedges		$	52			$	(1	)		$	179			$	21
Reclassification adjustments for derivative (gains) losses     included in net income (interest expense)(1)			2				21				38				64
Net changes in cash flow hedges, net of tax		$	54			$	20			$	217			$	85

⁽¹⁾ Includes net settlement income/expense.  

Collateral Held and Pledged

The following table details collateral held and pledged related to derivative exposure between us and our derivative counterparties:

(Dollars in millions)		September 30, 2022				December 31, 2021
Collateral held:
Cash (obligation to return cash collateral is recorded in short-term borrowings)		$	62			$	244
Securities at fair value — corporate derivatives (not recorded in financial    statements)(1)			—				—
Securities at fair value — on-balance sheet securitization derivatives (not    recorded in financial statements)(2)			—				1
Total collateral held		$	62			$	245
Derivative asset at fair value including accrued interest		$	60			$	242
Collateral pledged to others:
Cash (right to receive return of cash collateral is recorded in investments)		$	69			$	147
Total collateral pledged		$	69			$	147
Derivative liability at fair value including accrued interest and premium    receivable		$	419			$	271

⁽¹⁾  The Company has the ability to sell or re-pledge securities it holds as collateral.

⁽²⁾  The trusts do not have the ability to sell or re-pledge securities they hold as collateral.

Schedule of Credit Exposure Related to Our Derivative Counterparties

The table below highlights credit exposure related to our derivative counterparties at September 30, 2022.

(Dollars in millions)		Corporate Contracts				Securitization Trust Contracts
Exposure, net of collateral		$	7			$	—
Percent of exposure to counterparties with credit ratings    below S&P AA- or Moody’s Aa3			100	%			—	%
Percent of exposure to counterparties with credit ratings    below S&P A- or Moody’s A3			—	%			—	%

X

- Definition

Schedule Of Credit Exposure Related To Our Derivative Counterparties.

+ References

No definition available.

+ Details

Name:	navi_ScheduleOfCreditExposureRelatedToOurDerivativeCounterpartiesTableTextBlock
Namespace Prefix:	navi_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of derivative and other financial assets that are subject to offsetting, including master netting arrangements.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 210
-SubTopic 20
-Section 50
-Paragraph 3
-URI https://asc.fasb.org/extlink&oid=51824906&loc=SL20225862-175312

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 210
-SubTopic 20
-Section 50
-Paragraph 4
-URI https://asc.fasb.org/extlink&oid=51824906&loc=SL20225877-175312

+ Details

Name:	us-gaap_OffsettingAssetsTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the effective portion of the gains and losses on derivative instruments designated (and non-derivative instruments) designated and qualifying in cash flow hedges and net investment hedges that was recognized in other comprehensive income (loss) during the current period.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-Subparagraph (b)
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959

+ Details

Name:	us-gaap_ScheduleOfDerivativeInstrumentsEffectOnOtherComprehensiveIncomeLossTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4E
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624181-113959

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4A
-Subparagraph (b)
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5618551-113959

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959

+ Details

Name:	us-gaap_ScheduleOfDerivativeInstrumentsGainLossInStatementOfFinancialPerformanceTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4B
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624163-113959

+ Details

Name:	us-gaap_ScheduleOfDerivativeInstrumentsInStatementOfFinancialPositionFairValueTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure for fair value hedging instruments of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-Subparagraph (a)
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959

+ Details

Name:	us-gaap_ScheduleOfFairValueHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of financial instruments held by the entity for its own account for trading or investment purposes that are carried at fair value and pledged to counterparties as collateral for financing transactions. Description may include equity, fixed income, debt or other securities.

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 860
-SubTopic 30
-Section 45
-Paragraph 1
-URI https://asc.fasb.org/extlink&oid=66007379&loc=d3e113888-111728

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 860
-SubTopic 30
-Section 50
-Paragraph 1A
-URI https://asc.fasb.org/extlink&oid=109249958&loc=SL6224234-111729

+ Details

Name:	us-gaap_ScheduleOfFinancialInstrumentsOwnedAndPledgedAsCollateralTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the notional amounts of outstanding derivative positions.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1A
-Subparagraph (d)
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5579245-113959

+ Details

Name:	us-gaap_ScheduleOfNotionalAmountsOfOutstandingDerivativePositionsTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration