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Fair Value Measurements (Tables) | 3 Months Ended
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Dec. 31, 2012
Fair Value Disclosures [Abstract] |
Valuation Techniques | The measurement of fair value results in classification into a hierarchy by the inputs used to determine the fair value as follows:
Level 1 | — |  | Unadjusted quoted prices in active markets accessible by the reporting entity for identical assets or liabilities. Active markets are those in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing.
Level 2 | — |  | Pricing inputs other than quoted market prices included in Level 1 that are based on observable market data and that are directly or indirectly observable for substantially the full term of the asset or liability. These include quoted market prices for similar assets or liabilities, quoted market prices for identical or similar assets in markets that are not active, adjusted quoted market prices, inputs from observable data such as interest rate and yield curves, volatilities and default rates observable at commonly quoted intervals, and inputs derived from observable market data by correlation or other means.
Level 3 | — |  | Pricing inputs that are unobservable, or less observable, from objective sources. Unobservable inputs are only to be used to the extent observable inputs are not available. These inputs maintain the concept of an exit price from the perspective of a market participant and should reflect assumptions of other market participants. An entity should consider all market participant assumptions that are available without unreasonable cost and effort. These are given the lowest priority and are generally used in internally developed methodologies to generate management's best estimate of the fair value when no observable market data is available.
Unrealized Investments Gains (Losses) | TVA recorded unrealized gains and losses related to its trading securities held as of the end of each period as follows:
| Unrealized Investment Gains (Losses)
|  |  | For the Three Months Ended December 31
| Financial Statement Presentation |  | 2012 |  | 2011
SERP | Other income (expense) |  | $ | — |  |  | $ | 1 |
NDT | Regulatory asset |  | 13 |  |  | 58 |
ART | Regulatory asset |  | 4 |  |  | 9 |
Fair Value Measurements | The following tables set forth by level, within the fair value hierarchy, TVA's financial assets and liabilities that were measured at fair value on a recurring basis as of December 31, 2012, and September 30, 2012.
Fair Value Measurements At December 31, 2012
Assets | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Netting(1) |  | Total
Investments |  |  |  |  |  |  |  |  |
Equity securities | $ | 135 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 135 |
Debt securities |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government corporations and agencies | 74 |  |  | 97 |  |  | — |  |  | — |  |  | 171 |
Corporate debt securities | — |  |  | 207 |  |  | — |  |  | — |  |  | 207 |
Residential mortgage-backed securities | — |  |  | 12 |  |  | — |  |  | — |  |  | 12 |
Commercial mortgage-backed securities | — |  |  | 15 |  |  | — |  |  | — |  |  | 15 |
Collateralized debt obligations | — |  |  | 14 |  |  | — |  |  | — |  |  | 14 |
Private partnerships | — |  |  | — |  |  | 66 |  |  | — |  |  | 66 |
Commingled funds(2) |  |  |  |  |  |  |  |  |  |  |  |  |
Equity security commingled funds | — |  |  | 657 |  |  | — |  |  | — |  |  | 657 |
Debt security commingled funds | — |  |  | 211 |  |  | — |  |  | — |  |  | 211 |
Total investments | 209 |  |  | 1,213 |  |  | 66 |  |  | — |  |  | 1,488 |
Currency swaps | — |  |  | 34 |  |  | — |  |  | — |  |  | 34 |
Commodity contract derivatives | — |  |  | — |  |  | 111 |  |  | — |  |  | 111 |
Commodity derivatives under FTP |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap contracts | — |  |  | 124 |  |  | — |  |  | (120 | ) |  | 4 |
Total | $ | 209 |  |  | $ | 1,371 |  |  | $ | 177 |  |  | $ | (120 | ) |  | $ | 1,637 |
Liabilities | Quoted Prices in Active Markets for Identical Liabilities (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Netting(1) |  | Total
Currency swaps | — |  |  | 34 |  |  | — |  |  | — |  |  | 34 |
Interest rate swaps | — |  |  | 1,609 |  |  | — |  |  | — |  |  | 1,609 |
Commodity contract derivatives | — |  |  | — |  |  | 335 |  |  | — |  |  | 335 |
Commodity derivatives under FTP |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap contracts | — |  |  | 364 |  |  | — |  |  | (120 | ) |  | 244 |
Total | $ | — |  |  | $ | 2,007 |  |  | $ | 335 |  |  | $ | (120 | ) |  | $ | 2,222 |
Notes (1) 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 counterparty or broker. (2) Commingled funds represent investment funds comprising multiple individual financial instruments and are classified in the table based on their existing investment portfolio as of the measurement date. Commingled funds exclusively composed of one class of security are classified in that category. Commingled funds comprising multiple classes of securities are classified as “other commingled funds.”
Fair Value Measurements At September 30, 2012
Assets | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Netting(1) |  | Total
Investments |  |  |  |  |  |  |  |  |
Equity securities | $ | 173 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 173 |
Debt securities |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government corporations and agencies | 59 |  |  | 103 |  |  | — |  |  | — |  |  | 162 |
Corporate debt securities | — |  |  | 197 |  |  | — |  |  | — |  |  | 197 |
Residential mortgage-backed securities | — |  |  | 20 |  |  | — |  |  | — |  |  | 20 |
Commercial mortgage-backed securities | — |  |  | 6 |  |  | — |  |  | — |  |  | 6 |
Collateralized debt obligations | — |  |  | 12 |  |  | — |  |  | — |  |  | 12 |
Private partnerships | — |  |  | — |  |  | 53 |  |  | — |  |  | 53 |
Commingled funds(2) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Equity security commingled funds | — |  |  | 657 |  |  | — |  |  | — |  |  | 657 |
Debt security commingled funds | — |  |  | 182 |  |  | — |  |  | — |  |  | 182 |
Total investments | 232 |  |  | 1,177 |  |  | 53 |  |  | — |  |  | 1,462 |
Currency swaps | — |  |  | 21 |  |  | — |  |  | — |  |  | 21 |
Commodity contract derivatives | — |  |  | — |  |  | 119 |  |  | — |  |  | 119 |
Commodity derivatives under FTP |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap contracts | — |  |  | 123 |  |  | — |  |  | (115 | ) |  | 8 |
Total | $ | 232 |  |  | $ | 1,321 |  |  | $ | 172 |  |  | $ | (115 | ) |  | $ | 1,610 |
Liabilities | Quoted Prices in Active Markets for Identical Liabilities (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Netting(1) |  | Total
Currency swaps | — |  |  | 54 |  |  | — |  |  | — |  |  | 54 |
Interest rate swaps | — |  |  | 1,723 |  |  | — |  |  | — |  |  | 1,723 |
Commodity contract derivatives | — |  |  | — |  |  | 386 |  |  | — |  |  | 386 |
Commodity derivatives under FTP |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap contracts | — |  |  | 351 |  |  | — |  |  | (115 | ) |  | 236 |
Total | $ | — |  |  | $ | 2,128 |  |  | $ | 386 |  |  | $ | (115 | ) |  | $ | 2,399 |
Notes (1) 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 counterparty or broker. (2) Commingled funds represent investment funds comprising multiple individual financial instruments and are classified in the table based on their existing investment portfolio as of the measurement date. Commingled funds exclusively composed of one class of security are classified in that category. Commingled funds comprising multiple classes of securities are classified as “other commingled funds.”
Fair Value Measurements Using Significant Unobservable Inputs | The following table presents a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3):
Fair Value Measurements Using Significant Unobservable Inputs For the Three Months Ended December 31
| Private Partnerships |  | Commodity Contract Derivatives |  | Interest Rate Swaption
Balance at September 30, 2011 | $ | 22 |  |  | $ | 239 |  |  | $ | (1,077 | )
Purchases | 6 |  |  | — |  |  | — |
Issuances | — |  |  | — |  |  | — |
Sales | (1 | ) |  | — |  |  | — |
Settlements | — |  |  | — |  |  | — |
Net unrealized gains (losses) deferred as regulatory assets and liabilities | 1 |  |  | (235 | ) |  | (51 | )
Balance at December 31, 2011 | $ | 28 |  |  | $ | 4 |  |  | $ | (1,128 | )
Balance at September 30, 2012 | $ | 53 |  |  | $ | (267 | ) |  | $ | — |
Purchases | 12 |  |  | — |  |  | — |
Issuances | — |  |  | — |  |  | — |
Sales | (1 | ) |  | — |  |  | — |
Settlements | — |  |  | — |  |  | — |
Net unrealized gains (losses) deferred as regulatory assets and liabilities | 2 |  |  | 43 |  |  | — |
Balance at December 31, 2012 | $ | 66 |  |  | $ | (224 | ) |  | $ | — |
The following table presents quantitative information related to the significant unobservable inputs used in the measurement of fair value of TVA's assets and liabilities classified as Level 3 in the fair value hierarchy:
Quantitative Information about Level 3 Fair Value Measurements |
| Fair Value at December 31 2012 |  | Valuation Technique(s) |  | Unobservable Inputs |  | Range |
Assets |  |  |  |  |  |  |  |
Commodity contract derivatives | $ | 111 |  |  | Discounted cash flow |  | Credit risk |  | 28.6 | % | *
|  |  | Pricing model |  | Coal supply and demand |  | 1.0 - 1.1 billion tons/year |  |
|  |  |  |  | Long-term market prices |  | $13.75 - $86.83/ton |  |
Liabilities |  |  |  |  |  |  |  |
Commodity contract derivatives | $ | 335 |  |  | Pricing model |  | Coal supply and demand |  | 1.0 - 1.1 billion tons/year |  |
|  |  |  |  | Long-term market prices |  | $13.75 - $86.83/ton |  |
* Applies to only one contract.
Estimated Values of Financial Instruments Not Recorded at Fair Value | The estimated values of TVA's financial instruments not recorded at fair value at December 31, 2012, and September 30, 2012, were as follows:
Estimated Values of Financial Instruments Not Recorded at Fair Value
|  |  | At December 31, 2012 |  | At September 30, 2012
| Valuation Classification |  | Carrying Amount |  | Fair Value |  | Carrying Amount |  | Fair Value
EnergyRight® receivables (including current portion) | Level 2 |  | $ | 152 |  |  | $ | 152 |  |  | $ | 150 |  |  | $ | 150 |
Loans and other long-term receivables, net | Level 2 |  | $ | 80 |  |  | $ | 73 |  |  | $ | 76 |  |  | $ | 70 |
EnergyRight® purchase obligation (including current portion) | Level 2 |  | $ | 187 |  |  | $ | 215 |  |  | $ | 185 |  |  | $ | 209 |
Long-term outstanding power bonds (including current maturities), net | Level 2 |  | $ | 23,546 |  |  | $ | 28,990 |  |  | $ | 22,577 |  |  | $ | 28,041 |
Long-term debt of variable interest entities (including current maturities) | Level 2 |  | $ | 994 |  |  | $ | 1,122 |  |  | $ | 994 |  |  | $ | 1,116 |

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- Definition Tabular disclosure of the inputs and valuation techniques used to measure fair value, and a discussion of changes in valuation techniques and related inputs, if any, applied during the period to each separate class of assets, liabilities, and financial instruments classified in shareholders' equity that are measured on a recurring and/or nonrecurring basis. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19279-110258 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 157 -Paragraph 32 -Subparagraph c -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. + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19190-110258 + Details
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