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Risk Management Activities and Derivative Transactions | 3 Months Ended
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Dec. 31, 2011
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Risk Management Activities and Derivative Transactions | 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 (1) whether TVA uses regulatory accounting to defer the derivative gains and losses, (2) whether the derivative instrument has been designated and qualifies for hedge accounting treatment, and (3) 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 ("MtM") Gain (Loss) Recognized in Other Comprehensive Income (Loss) (“OCI”) Three Months Ended December 31
|  |  |  |  |  | 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 |  | $ | 42 |  |  | $ | 49 |
Summary of Derivative Instruments That Receive Hedge Accounting Treatment (part 2)
Derivatives in Cash Flow Hedging Relationship |  | Amount of Gain (Loss) Reclassified from OCI to Interest Expense Three Months Ended December 31(1) |
|  | 2011 |  | 2010 |
Currency swaps |  | $ | 3 |  |  | $ | 7 |  |
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 December 31(1) |
|  |  |  |  |  | 2011 |  | 2010 |
Swaption |  | To protect against decreases in value of the embedded call (interest rate risk) |  | MtM 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) |  | MtM 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. |  | — |  |  | — |  |
Commodity contract derivatives |  | To protect against fluctuations in market prices of purchased coal or natural gas (price risk) |  | MtM gains and losses are recorded as regulatory assets or liabilities. Realized gains and losses (if any) due to contract settlements are recognized in fuel expense as incurred. |  | — |  |  | — |  |
Commodity derivatives under financial trading program ("FTP") |  | To protect against fluctuations in market prices of purchased commodities (price risk) |  | MtM gains and losses are recorded as regulatory assets or liabilities. Realized gains and losses are recognized in fuel and purchased power expense when the related commodity is used in production. |  | (56 | ) |  | (42 | ) |
Notes (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 months ended December 31, 2011 and 2010.
MARK-TO-MARKET VALUES OF TVA DERIVATIVES
| At December 31, 2011 |  | At September 30, 2011
Derivatives that Receive Hedge Accounting Treatment:
| Balance |  | Balance Sheet Presentation |  | Balance |  | Balance Sheet Presentation
Currency swaps: |  |  |  |  |  |  |
£200 million Sterling | $ | (37 | ) |  | Other long-term liabilities |  | $ | (44 | ) |  | Other long-term liabilities
£250 million Sterling | (2 | ) |  | Other long-term liabilities |  | (24 | ) |  | Other long-term liabilities
£150 million Sterling | (50 | ) |  | Other long-term liabilities |  | (63 | ) |  | 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 | $ | (1,128 | ) |  | Other long-term liabilities |  | $ | (1,077 | ) |  | Other long-term liabilities
Interest rate swaps: |  |  |  |  |  |  |
$476 million notional | (450 | ) |  | Other long-term liabilities |  | (446 | ) |  | Other long-term liabilities
$42 million notional | (17 | ) |  | Other long-term liabilities |  | (17 | ) |  | Other long-term liabilities
Commodity contract derivatives | 4 |  |  | Other long-term assets $202; Other current assets $73; Other long-term liabilities $(155); Accounts payable and accrued liabilities $(116) |  | 239 |  |  | Other long-term assets $285; Other current assets $150; Other long-term liabilities $(119); Accounts payable and accrued liabilities $(77)
Derivatives under FTP: |  |  |  |  |  |  |
Margin cash account(1) | 60 |  |  | Other current assets |  | 34 |  |  | Other current assets
Derivatives under FTP(2) | (412 | ) |  | Current regulatory assets $(230); Regulatory assets $(192); Current regulatory liabilities $7; Regulatory liabilities $3 |  | (234 | ) |  | Current regulatory assets $(135); Regulatory assets $(102); Current regulatory liabilities $3
Note (1) In accordance with certain credit terms, TVA uses leverage to trade financial instruments under the FTP. 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. This balance also includes the $26 million currently being held by the MF Global Trustee. See Counterparty Credit Risk for details. (2) The December 31, 2011 and September 30, 2011 balances in the Derivatives under Financial Trading Program table show all open derivative positions in the FTP.
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 December 31, 2011:
Currency Swaps Outstanding At December 31, 2011
Effective Date of Currency Swap Contract |  | Associated TVA Bond Issues Currency Exposure |  | Expiration Date of Swap |  | Overall Effective Cost to TVA
1999 |  | £200 million |  | 2021 |  | 5.81%
2001 |  | £250 million |  | 2032 |  | 6.59%
2003 |  | £150 million |  | 2043 |  | 4.96%
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 income (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 MtM 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 three months ended December 31, 2011 and 2010. For the three months ended December 31, 2011 and 2010, the changes in market value resulted in deferred unrealized gains (losses) on the value of the interest rate swaps and swaption of $(55) million and $337 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 and natural gas that require physical delivery of the contracted quantity of the commodity. At 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 to market all of its coal contract derivatives at December 31, 2010. At December 31, 2011, and September 30, 2011, TVA's coal contract derivatives had net market values of $4 million and $239 million, respectively, which TVA deferred as regulatory assets and liabilities on a gross basis. At December 31, 2011, TVA's coal contract derivatives had terms of up to six years. 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 December 31, 2011, and September 30, 2011, was less than $1 million. At December 31, 2011, these natural gas derivative contracts had terms of up to one month.
Commodity Contract Derivatives
| At December 31, 2011 |  | At September 30, 2011
| Number of Contracts |  | Notional Amount |  | Fair Value (MtM) |  | Number of Contracts |  | Notional Amount |  | Fair Value (MtM)
Coal Contract Derivatives | 20 |  | 61 million tons |  | $4 |  | 38 |  | 66 million tons |  | $239
Natural Gas Contract Derivatives | 9 |  | 8 million mmBtu |  | $— |  | 13 |  | 5 million mmBtu |  | $—
Derivatives Under FTP. TVA has a 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 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 fuel cost adjustment 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 December 31, 2011, the risks hedged under the FTP were the economic risks associated with the prices of natural gas, fuel oil, crude oil, and coal. Futures contracts and option contracts under the FTP had remaining terms of less than one year. Swap contracts under the FTP had remaining terms of six years or less.
Derivatives Under Financial Trading Program
| At December 31, 2011 |  | At September 30, 2011
| Notional Amount |  | Fair Value (MtM) (in millions) |  | Notional Amount |  | Fair Value (MtM) (in millions)
Natural gas (in mmBtu) |  |  |  |  |  |  |
Futures contracts | 400,000 |  |  | $ | (2 | ) |  | 1,300,000 |  |  | $ | (4 | )
Swap contracts | 321,707,500 |  |  | (417 | ) |  | 232,295,000 |  |  | (223 | )
Option contracts | — |  |  | (2 | ) |  | — |  |  | (1 | )
Natural gas financial positions | 322,107,500 |  |  | $ | (421 | ) |  | 233,595,000 |  |  | $ | (228 | )
Fuel oil/crude oil (in barrels) |  |  |  |  |  |  |  |  |
Futures contracts | — |  |  | $ | — |  |  | — |  |  | $ | — |
Swap contracts | 1,408,000 |  |  | 9 |  |  | 1,591,000 |  |  | (7 | )
Option contracts | — |  |  | — |  |  | 90,000 |  |  | — |
Fuel oil/crude oil financial positions | 1,408,000 |  |  | $ | 9 |  |  | 1,681,000 |  |  | $ | (7 | )
Coal (in tons) |  |  |  |  |  |  |  |  |  |  |
Futures contracts | — |  |  | $ | — |  |  | — |  |  | $ | — |
Swap contracts | 120,000 |  |  | — |  |  | 120,000 |  |  | 1 |
Option contracts | — |  |  | — |  |  | — |  |  | — |
Coal financial positions | 120,000 |  |  | $ | — |  |  | 120,000 |  |  | $ | 1 |
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 contract. In addition to the open commodity derivatives disclosed above, TVA had closed derivative contracts with market values of $25 million at December 31, 2011, and $(13) million at September 30, 2011. TVA experienced the following unrealized and realized gains and losses related to the FTP during the period:
FTP Unrealized Gains (Losses)
FTP unrealized gains (losses) deferred as regulatory liabilities (assets) |  | At December 31, 2011 |  | At September 30, 2011
Natural gas |  | $ | (421 | ) |  | $ | (228 | )
Fuel oil/crude oil |  | 9 |  |  | (7 | )
Coal |  | — |  |  | 1 |
FTP Realized Gains (Losses)
|  | For the Three Months Ended December 31
Decrease (increase) in fuel expense |  | 2011 |  | 2010
Fuel oil/crude oil |  | $ | 5 |  |  | $ | 6 |
Coal |  | — |  |  | — |
FTP Realized Gains (Losses)
|  | For the Three Months Ended December 31
Decrease (increase) in purchased power expense |  | 2011 |  | 2010
Natural gas |  | $ | (61 | ) |  | $ | (48 | )
Other Derivative Instruments Investment Fund Derivatives. Investment funds consist primarily of funds held in the Nuclear Decommissioning Trust ("NDT"), Asset Retirement Trust ("ART"), and Supplemental Executive Retirement Plan ("SERP"). All securities in the trusts are classified as trading. See Note 13 — Investments 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. At December 31, 2011 and September 30, 2011, 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. At December 31, 2011, the aggregate fair value of all derivative instruments with credit-risk related contingent features that were in a liability position was $1.7 billion. TVA's collateral obligations at December 31, 2011, under these arrangements was $756 million, for which TVA had posted $756 million in letters of credit. These letters of credit 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 & Poor's (“S&P”) or Moody's Investors Service ("Moody's") downgrades TVA's credit rating to AA or Aa2, respectively, TVA would be required to post an additional $75 million of collateral in excess of its December 31, 2011, obligation; and
• | If TVA ceases to be majority-owned by the U.S. government, TVA's credit rating would likely be downgraded and TVA would be required to post additional capital.
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. On October 31, 2011, MF Global Holding Ltd. and its subsidiary MF Global Finance USA Inc. filed for bankruptcy protection under Chapter 11 of the U.S. Bankruptcy Code. On the same date, a Securities Investor Protection Act proceeding was filed against MF Global Inc. ("MF Global"). TVA had used MF Global to clear certain trades and the MF Global Trustee held $33 million of TVA's cash collateral at that time. TVA has recovered $7 million of this balance from the Trustee. TVA has filed a claim to recover the funds currently being held by the MF Global Trustee and expects to recover some or all of these funds; however, the timing and the amount of the funds' returned and the amount of any potential loss cannot be estimated at this time. 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. TVA had concentrations of accounts receivable from four customers that represented 27 percent of total outstanding accounts receivable at December 31, 2011. TVA had concentrations of accounts receivable from three customers that represented 26 percent of total outstanding accounts receivable at September 30, 2011. Power sales to TVA's largest directly served industrial customer represented six percent of TVA's total operating revenues for the three months ended December 31, 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. Credit of Derivative Counterparties. TVA has entered into derivative contracts for hedging purposes, and TVA's NDT fund 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 fund and the pension plan 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. At December 31, 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. At December 31, 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 11 different suppliers at December 31, 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 that expires on March 31, 2032, with a supplier of electricity for 440 megawatts ("MW") of summer net capability from a lignite-fired generating plant. The supplier's senior secured credit ratings are currently CCC- by S&P and Caa1 by Moody's. As a result of its credit ratings, the supplier has provided credit assurance to TVA under the terms of its agreement. 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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