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Risk Management Activities and Derivative Transactions | 9 Months Ended
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Jun. 30, 2011
Risk Management Activities and Derivative Transactions [Abstract] |
Risk Management Activities and Derivative Transactions | 12. Risk Management Activities and Derivative Transactions TVA is exposed to various market risks. These market risks include risks related to commodity prices, investment prices, interest rates, currency exchange rates, inflation, and counterparty credit and counterparty performance risk. To help manage certain of these risks, TVA has entered into various derivative transactions, principally commodity option contracts, forward contracts, swaps, swaptions, futures, and options on futures. Other than certain derivative instruments in investment funds, it is TVA’s policy to enter into these derivative transactions solely for hedging purposes and not for speculative purposes. Overview of Accounting Treatment TVA recognizes certain of its derivative instruments as either assets or liabilities on its balance sheets at fair value. The accounting for changes in the fair value of these instruments depends on whether TVA uses regulatory accounting to defer the derivative gains and losses, or whether the derivative instrument has been designated and qualifies for hedge accounting treatment, and if so, the type of hedge relationship (e.g., cash flow hedge). The following tables summarize the accounting treatment that certain of TVA’s financial derivative transactions receive.
Summary of Derivative Instruments That Receive Hedge Accounting Treatment (part 1)
Derivatives in Cash Flow Hedging Relationship |  | Objective of Hedge Transaction |  | Accounting for Derivative Hedging Instrument |  | Amount of Mark-to-Market Gain (Loss) Recognized in Other Comprehensive Income (Loss) (“OCI”) Three Months Ended June 30 |  | Amount of Mark-to-Market Gain (Loss) Recognized in OCI Nine Months Ended June 30
|  |  |  |  |  | 2011 |  | 2010 |  | 2011 |  | 2010
Currency swaps |  | To protect against changes in cash flows caused by changes in foreign currency exchange rates (exchange rate risk) |  | Cumulative unrealized gains and losses are recorded in OCI and reclassified to interest expense to the extent they are offset by cumulative gains and losses on the hedged transaction |  | $ (12) |  | $ (76) |  | $ 51 |  | $ (55)
Summary of Derivative Instruments That Receive Hedge Accounting Treatment (part 2)
Derivatives in Cash Flow Hedging Relationship |  | Amount of Exchange Gain (Loss) Reclassified from OCI to Interest Expense Three Months Ended June 30 (1) |  | Amount of Exchange Gain (Loss) Reclassified from OCI to Interest Expense Nine Months Ended June 30 (1)
|  | 2011 |  | 2010 |  | 2011 |  | 2010
Currency swaps |  | $ (1) |  | $ 14 |  | $ (21) |  | $ 63
Note (1) There were no ineffective portions or amounts excluded from effectiveness testing for any of the periods presented.
Summary of Derivative Instruments That Do Not Receive Hedge Accounting Treatment
Derivative Type |  | Objective of Derivative |  | Accounting for Derivative Instrument |  | Amount of Gain (Loss) Recognized in Income on Derivatives Three Months Ended June 30 (1) |  | Amount of Gain (Loss) Recognized in Income on Derivatives Nine Months Ended June 30 (1)
|  |  |  |  |  | 2011 |  | 2010 |  | 2011 |  | 2010
Swaption |  | To protect against decreases in value of the embedded call (interest rate risk) |  | Mark-to-market gains and losses are recorded as regulatory assets or liabilities until settlement, at which time the gains/losses (if any) are recognized in gain/loss on derivative contracts. |  | $ — |  | $ — |  | $ — |  | $ —
Interest rate swaps |  | To fix short-term debt variable rate to a fixed rate (interest rate risk) |  | Mark-to-market gains and losses are recorded as regulatory assets or liabilities until settlement, at which time the gains/losses (if any) are recognized in gain/loss on derivative contracts.(2) |  | — |  | — |  | — |  | —
Commodity contract derivatives |  | To protect against fluctuations in market prices of purchased coal or natural gas (price risk) |  | Mark-to-market gains and losses are recorded as regulatory assets or liabilities. Realized gains and losses are recognized in fuel expense when the related commodity is used in production. |  | — |  | — |  | — |  | —
Commodity derivatives under financial trading program |  | To protect against fluctuations in market prices of purchased commodities (price risk) |  | Mark-to-market gains and losses are recorded as regulatory assets or liabilities. Realized gains and losses are recognized in fuel expense when the related commodity is used in production. |  | (29) |  | (26) |  | (106) |  | (98)
Note (1) All of TVA’s derivative instruments that do not receive hedge accounting treatment have unrealized gains (losses) that would otherwise be recognized in income but instead are deferred as regulatory assets and liabilities. As such, there was no related gain (loss) recognized in income for these unrealized gains (losses) for the three and nine months ended June 30, 2011 and 2010. (2) Generally, TVA maintains a level of outstanding discount notes equal to or greater than the notional amount of the interest rate swaps. However, in February 2011 and September 2010 TVA issued long-term Bonds in anticipation of the maturity of other long-term debt, and used the proceeds to pay down discount notes, which caused the balance of discount notes outstanding at June 30, 2011, to remain below the notional amount of the interest rate swaps. There is no impact on the statements of operations due to the use of regulatory accounting for these items.
MARK-TO-MARKET VALUES OF TVA DERIVATIVES
| At June 30, 2011 |  | At September 30, 2010
Derivatives that Receive Hedge Accounting Treatment:
| Balance |  | Balance Sheet Presentation |  | Balance |  | Balance Sheet Presentation
Currency swaps: |  |  |  |  |  |  |
£200 million Sterling | $ (29) |  | Other long-term liabilities |  | $ (42) |  | Other long-term liabilities
£250 million Sterling | 14 |  | Other long-term assets |  | (5) |  | Other long-term liabilities
£150 million Sterling | (15) |  | Other long-term liabilities |  | (34) |  | Other long-term liabilities
Derivatives that Do Not Receive Hedge Accounting Treatment:
| Balance |  | Balance Sheet Presentation |  | Balance |  | Balance Sheet Presentation
Swaption: |  |  |  |  |  |  |
$1.0 billion notional | $ (629) |  | Other long-term liabilities |  | $ (804) |  | Other long-term liabilities
Interest rate swaps: |  |  |  |  |  |  |
$476 million notional | (247) |  | Other long-term liabilities |  | (356) |  | Other long-term liabilities
$42 million notional | (12) |  | Other long-term liabilities |  | (15) |  | Other long-term liabilities
Commodity contract derivatives | 124 |  | Other long-term assets $252; Other current assets $131; Other long-term liabilities ($143); Accounts payable and accrued liabilities ($116) |  | 103 |  | Other long-term assets $103; Other current assets $49; Other long-term liabilities ($2); Accounts payable and accrued liabilities ($47)
Derivatives under financial trading program: |  |  |  |  |  |  |
Margin cash account(1) | 33 |  | Other current assets |  | 12 |  | Other current assets
Derivatives under financial trading program(2) | (142) |  | Current regulatory liabilities $16; Regulatory liabilities $9; Current regulatory assets ($88); Regulatory assets ($79) |  | (254) |  | Current regulatory liabilities $6; Regulatory liabilities $3; Current regulatory assets ($136); Regulatory assets ($127)
Note (1) In accordance with certain credit terms, TVA uses leverage to trade financial instruments under the financial trading program. Therefore, the margin cash account balance does not represent 100 percent of the net market value of the derivative positions outstanding as shown in the Derivatives Under financial trading program table. (2) The June 30, 2011, and September 30, 2010, balances in Derivatives under financial trading program show all open derivative positions in the financial trading program. TVA previously included both open derivative positions and closed derivative gains and losses in this amount. TVA changed the presentation at June 30, 2011, to be consistent with the other derivatives in this table, which only show open positions, and revised the September 30, 2010 balances accordingly.
Cash Flow Hedging Strategy for Currency Swaps To protect against exchange rate risk related to three British pound sterling denominated Bond transactions, TVA entered into foreign currency hedges at the time the Bond transactions occurred. TVA had the following currency swaps outstanding as of June 30, 2011:
Currency Swaps Outstanding At June 30, 2011
Effective Date of Currency Swap Contract |  | Associated TVA Bond Issues Currency Exposure |  | Expiration Date of Swap |  | Overall Effective Cost to TVA
2003 |  | £150 million |  | 2043 |  | 4.96%
2001 |  | £250 million |  | 2032 |  | 6.59%
1999 |  | £200 million |  | 2021 |  | 5.81%
When the dollar strengthens against the British pound sterling, the transaction gain on the Bond liability is offset by an exchange loss on the swap contract. Conversely, when the dollar weakens against the British pound sterling, the transaction loss on the Bond liability is offset by an exchange gain on the swap contract. All such exchange gains or losses on the Bond liability are included in Long-term debt, net. The offsetting exchange losses or gains on the swap contracts are recognized in Accumulated other comprehensive loss. If any gain (loss) were to be incurred as a result of the early termination of the foreign currency swap contract, the resulting income (expense) would be amortized over the remaining life of the associated Bond as a component of Interest expense. Derivatives Not Receiving Hedge Accounting Treatment Swaption and Interest Rate Swaps. Prior to 2006, TVA entered into four swaption transactions to monetize the value of call provisions on certain of its Bond issues. A swaption grants a third party the right to enter into a swap agreement with TVA under which TVA receives a floating rate of interest and pays the third party a fixed rate of interest equal to the interest rate on the Bond issue whose call provision TVA has monetized. Subsequently, the counterparties to three of the swaptions exercised their rights to enter into interest rate swaps with TVA. TVA uses regulatory accounting treatment to defer the mark-to-market gains and losses on these swaps and swaption and includes the gain or loss in the ratemaking formula when these transactions settle. The values of the swaps and swaption and related deferred unrealized gains and losses are recorded on TVA’s balance sheets with realized gains or losses, if any, recorded on TVA’s statements of operations. There were no realized gains or losses for the nine months ended June 30, 2011 and 2010. For the three and nine months ended June 30, 2011, the changes in market value resulted in deferred unrealized gains (losses) on the value of the interest rate swaps and swaption of $(93) million and $287 million, respectively. All net deferred unrealized gains and losses are reclassified as regulatory assets or liabilities on the balance sheet. Commodity Derivatives. TVA enters into certain derivative contracts for coal, natural gas, and electricity that require physical delivery of the contracted quantity of the commodity. TVA expects to take or make delivery, as appropriate, under the electricity contract derivatives. Accordingly, these contracts qualify for normal purchases and normal sales accounting. TVA marks to market all of its natural gas derivative contracts that require physical delivery. The total market value of these natural gas derivative contracts at June 30, 2011, and September 30, 2010, was less than $1 million. At June 30, 2011, these natural gas derivative contracts had terms of up to four months. During the three months ended December 31, 2010, TVA determined that certain quantities under the coal contract derivatives were no longer probable of physical delivery; therefore, these contracts were no longer eligible for normal purchases and normal sales accounting. Accordingly, TVA began marking all of its coal contract derivatives to market as of December 31, 2010. At June 30, 2011, and September 30, 2010, TVA’s coal contract derivatives had net market values of $123 million and $103 million, respectively, which TVA deferred as regulatory assets and liabilities on a gross basis. At June 30, 2011, TVA’s coal contract derivatives had terms of up to six years.
Commodity Contract Derivatives
| At June 30, 2011 |  | At September 30, 2010
| Number of Contracts | Notional Amount | Fair Value (MtM) |  | Number of Contracts | Notional Amount | Fair Value (MtM)
Coal Contract Derivatives | 41 | 74 million tons | $ 123 |  | 11 | 27 million tons | $ 103
Natural Gas Contract Derivatives | 15 | 24 million mmBtu | $ 1 |  | 3 | 1 million mmBtu | $ —
Derivatives Under Financial Trading Program. TVA has a financial trading program (“FTP”) under which it purchases and sells futures, swaps, options, and combinations of these instruments (as long as they are standard in the industry) to hedge TVA’s exposure to (1) the price of natural gas, fuel oil, electricity, coal, emission allowances, nuclear fuel, and other commodities included in TVA’s fuel cost adjustment (“FCA”) calculation, (2) the price of construction materials, and (3) contracts for goods priced in or indexed to foreign currencies. The combined transaction limit for the FCA and construction material transactions is $130 million (based on one-day value at risk). In addition, the maximum hedge volume for the construction material transactions is 75 percent of the underlying net notional volume of the material that TVA anticipates using in approved TVA projects, and the market value of all outstanding hedging transactions involving construction materials is limited to $100 million at the execution of any new transaction. The portfolio value at risk limit for the foreign currency transactions is $5 million and is separate and distinct from the $130 million transaction limit discussed above. TVA is prohibited from trading financial instruments under the FTP for speculative purposes. At June 30, 2011, the risks hedged under the FTP were the economic risks associated with the prices of natural gas, fuel oil, crude oil, coal, and power. Futures contracts and option contracts under the FTP had remaining terms of one year or less. Swap contracts under the FTP had remaining terms of six years or less.
Derivatives Under Financial Trading Program |
|  | At June 30, 2011 |  |  | At September 30, 2010 |
|  | Notional Amount |  |  | Fair Value (MtM) (in millions) |  |  | Notional Amount |  |  | Fair Value (MtM) (in millions) |
Natural gas (in mmBtu) |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  |  | 2,550,000 |  |  | $ | (6 | ) |  |  | 7,920,000 |  |  | $ | (21 | )
Swap contracts |  |  | 171,915,000 |  |  |  | (159 | ) |  |  | 137,110,000 |  |  |  | (241 | )
Option contracts |  |  | 1,250,000 |  |  |  | (1 | ) |  |  | 5,250,000 |  |  |  | (2 | )
Natural gas financial positions |  |  | 175,715,000 |  |  | $ | (166 | ) |  |  | 150,280,000 |  |  | $ | (264 | )
Fuel oil/crude oil (in barrels) |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  |  | - |  |  | $ | - |  |  |  | 125,000 |  |  | $ | 2 |
Swap contracts |  |  | 1,495,000 |  |  |  | 22 |  |  |  | 1,711,000 |  |  |  | 8 |
Option contracts |  |  | 180,000 |  |  |  | - |  |  |  | 495,000 |  |  |  | - |
Fuel oil/crude oil financial positions |  |  | 1,675,000 |  |  | $ | 22 |  |  |  | 2,331,000 |  |  | $ | 10 |
Coal (in tons) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  |  | - |  |  | $ | - |  |  |  | - |  |  | $ | - |
Swap contracts |  |  | 120,000 |  |  |  | 2 |  |  |  | 480,000 |  |  |  | - |
Option contracts |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |
Coal financial positions |  |  | 120,000 |  |  | $ | 2 |  |  |  | 480,000 |  |  | $ | - |
Power (in MWh) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap contracts |  |  | 16,800 |  |  | $ | - |  |  |  | - |  |  | $ | - |
Power financial positions |  |  | 16,800 |  |  | $ | - |  |  |  | - |  |  | $ | - |
Note Due to the right of setoff and method of settlement, TVA elects to record commodity derivatives under the FTP based on its net commodity position with the broker or other counterparty. Notional amounts disclosed represent the net absolute value of contractual amounts.
TVA defers all FTP unrealized gains (losses) as regulatory liabilities (assets) and records only realized gains or losses to match the delivery period of the underlying commodity product. In addition to the open commodity derivatives disclosed above, TVA had closed derivative contracts with market values of $(14) million at June 30, 2011, and $(15) million at September 30, 2010. The deferred unrealized losses related to natural gas hedges were $(166) million at June 30, 2011, and $(264) million at September 30, 2010. For the nine months ended June 30, 2011 and 2010, TVA recognized realized losses on natural gas hedges of $(121) million and $(110) million, respectively, which were recorded as increases to Fuel expense. The deferred unrealized gains related to fuel oil/crude oil hedges were $22 million at June 30, 2011, and $10 million at September 30, 2010. For the nine months ended June 30, 2011 and 2010, TVA recognized realized gains on fuel oil/crude oil hedges of $17 million and $12 million, respectively, which were recorded as decreases to Fuel expense. The deferred unrealized gain related to coal hedges was $2 million at June 30, 2011. For the nine months ended June 30, 2011, TVA recognized realized gains on coal hedges of less than $1 million, which was recorded as a decrease to Fuel expense. There were no deferred unrealized gains or losses related to coal hedges at June 30, 2010. Other Derivative Instruments Investment Fund Derivatives. Investment funds consist primarily of funds held in the Nuclear Decommissioning Trust (“NDT”), the Asset Retirement Trust (“ART”), and the Supplemental Executive Retirement Plan (“SERP”). All securities in the trusts are classified as trading. See Note 13 for a discussion of the trusts’ objectives and the types of investments included in the various trusts. Derivative instruments in these trusts include swaps, futures, options, forwards, and other instruments. As of June 30, 2011, and September 30, 2010, the fair value of derivative instruments in these trusts was not material to TVA’s financial statements. Collateral. TVA’s interest rate swaps, its currency swaps, and its swaption contain contract provisions that require a party to post collateral (in a form such as cash or a letter of credit) when the party’s liability balance under the agreement exceeds a certain threshold. As of June 30, 2011, the aggregate fair value of all derivative instruments with credit-risk related contingent features that were in a liability position was $932 million. TVA’s collateral obligation as of June 30, 2011, under these arrangements was $224 million, for which TVA had posted $224 million under a letter of credit. These letter of credit postings reduce the available balance under the related credit facility. TVA’s assessment of the risk of its nonperformance includes a reduction in its exposure under the contract as a result of this posted collateral. For all of its derivative instruments with credit-risk related contingent features:
| • | If TVA remains a majority-owned U.S. government entity but Standard & Poors (“S&P”) or Moody’s Investor Service (“Moody’s”) downgrades TVA’s credit rating to AA or Aa2, respectively, TVA would be required to post an additional $175 million of collateral in excess of its June 30, 2011, obligation; and
| • | If TVA ceases to be majority-owned by the U.S. government, its credit rating would likely change and TVA would be required to post additional collateral.
Counterparty Credit Risk Credit risk is the exposure to economic loss that would occur as a result of a counterparty’s nonperformance of its contractual obligations. Where exposed to counterparty credit risk, TVA analyzes the counterparty’s financial condition prior to entering into an agreement, establishes credit limits, monitors the appropriateness of those limits, as well as any changes in the creditworthiness of the counterparty on an ongoing basis, and employs credit mitigation measures, such as collateral or prepayment arrangements and master purchase and sale agreements, to mitigate credit risk. Credit of Customers. The majority of TVA’s counterparty credit risk is associated with trade accounts receivable from delivered power sales to municipal and cooperative distributor customers, all located in the Tennessee Valley region. To a lesser extent, TVA is exposed to credit risk from industries and federal agencies directly served and from exchange power arrangements with a small number of investor-owned regional utilities related to either delivered power or the replacement of open positions of longer-term purchased power or fuel agreements. Power sales to TVA’s largest industrial customer directly served represented five percent of TVA’s total operating revenues for the nine months ended June 30, 2011. This customer’s senior unsecured credit ratings are currently CCC- by S&P and Caa2 by Moody’s. As a result of its credit ratings, this customer has provided credit assurance to TVA under the terms of its power contract. TVA had concentrations of accounts receivable from four customers that represented 31 percent of total outstanding accounts receivable at June 30, 2011. TVA had concentrations of accounts receivable from five customers that represented 36 percent of total outstanding accounts receivable at September 30, 2010. Credit of Derivative Counterparties. TVA has entered into derivative contracts for hedging purposes, and TVA’s NDT and defined benefit pension plan have entered into derivative contracts for investment purposes. If a counterparty to one of TVA’s hedging transactions defaults, TVA might incur substantial costs in connection with entering into a replacement hedging transaction. If a counterparty to the derivative contracts into which the NDT and the pension fund have entered for investment purposes defaults, the value of the investment could decline significantly or perhaps become worthless. TVA has concentrations of credit risk from the banking and coal industries because multiple companies in these industries serve as counterparties to TVA in various derivative transactions. As of June 30, 2011, the swaption and all of TVA’s currency swaps, interest rate swaps, and commodity derivatives under the FTP were with counterparties whose Moody’s credit rating was A2 or higher. As of June 30, 2011, all of TVA’s coal contract derivatives were with counterparties whose Moody’s credit rating, or TVA’s internal analysis when such information was unavailable, was Caa1 or higher. Credit of Suppliers. If one of TVA’s fuel or purchased power suppliers fails to perform under the terms of its contract with TVA, TVA might lose the money that it paid to the supplier under the contract and have to purchase replacement fuel or power on the spot market, perhaps at a significantly higher price than TVA was entitled to pay under the contract. In addition, TVA might not be able to acquire replacement fuel or power in a timely manner and thus might be unable to satisfy its own obligations to deliver power. To help ensure a reliable supply of coal, TVA had coal contracts with 23 different suppliers at June 30, 2011. The contracted supply of coal is sourced from multiple geographic regions of the United States and is to be delivered via various transportation methods (e.g., barge, rail, and truck). TVA purchases all of its natural gas requirements from a variety of suppliers under short-term contracts. TVA has a power purchase agreement with a supplier of electricity for 440 megawatts (“MW”) of summer net capability from a lignite-fired generating plant that expires on March 31, 2032. The supplier’s senior secured credit ratings are currently B+ by S&P and B2 by Moody’s. As a result of its credit ratings, the supplier has provided credit assurance to TVA under the terms of its agreement. Additionally, the senior unsecured credit ratings of TVA’s largest supplier of uranium enrichment services, which is also TVA's largest industrial customer directly served, are currently CCC- by S&P and Caa2 by Moody's. Any nonperformance by this company could result in TVA incurring additional costs.

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- Definition The entire disclosure for the entity's entire derivative instruments and hedging activities. Describes an entity's risk management strategies, derivatives in hedging activities and non-hedging derivative instruments, the assets, obligations, liabilities, revenues and expenses arising therefrom, and the amounts of and methodologies and assumptions used in determining the amounts of such items. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 44 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. 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