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Risk Management Activities and Derivative Transactions (Tables) | 3 Months Ended
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Dec. 31, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Summary of Derivative Instruments That Receive Hedge Accounting Treatment | 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) Amount of Mark-to-Market Gain (Loss) Recognized in OCI
|  |  |  |  |  | Three Months Ended December 31
Derivatives in Cash Flow Hedging Relationship |  | Objective of Hedge Transaction |  | Accounting for Derivative Hedging Instrument |  | 2015 |  | 2014
Currency swaps |  | To protect against changes in cash flows caused by changes in foreign currency exchange rates (exchange rate risk) |  | Unrealized gains and losses are recorded in AOCI and reclassified to interest expense to the extent they are offset by gains and losses on the hedged transaction |  | $ | (27 | ) |  | $ | (15 | )
Summary of Derivative Instruments That Receive Hedge Accounting Treatment (part 2) Amount of Gain (Loss) Reclassified from OCI to Interest Expense
|  | Three Months Ended December 31
Derivatives in Cash Flow Hedging Relationship |  | 2015 |  | 2014
Currency swaps |  | $ | (24 | ) |  | $ | (38 | )
Note There were no ineffective portions or amounts excluded from effectiveness testing for any of the periods presented. Based on forecasted foreign currency exchange rates, TVA expects to reclassify approximately $44 million of losses from AOCI to interest expense within the next twelve months to offset amounts anticipated to be recorded in interest expense related to exchange gain on the debt.
Summary of Derivative Instruments That Do Not Receive Hedge Accounting Treatment |
Summary of Derivative Instruments That Do Not Receive Hedge Accounting Treatment Amount of Gain (Loss) Recognized in Income on Derivatives
|  |  |  |  |  | Three Months Ended December 31(1)
Derivative Type |  | Objective of Derivative |  | Accounting for Derivative Instrument |  | 2015 |  | 2014
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. Realized gains and losses are recognized in interest expense when payments are made or received on the swap settlement dates. |  | $ | (28 | ) |  | $ | (29 | )
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 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) |  | Mark-to-market gains and losses are recorded as regulatory assets or liabilities. Realized gains and losses are recognized in fuel expense or purchased power expense when the related commodity is used in production. |  | (36 | ) |  | (14 | )
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, 2015 and 2014.
Fair Value of TVA Derivatives |
Fair Values of TVA Derivatives
|  | At December 31, 2015 |  | At September 30, 2015
Derivatives That Receive Hedge Accounting Treatment |  | Balance |  | Balance Sheet Presentation |  | Balance |  | Balance Sheet Presentation
Currency swaps |  |  |  |  |  |  |  |
£200 million Sterling |  | $ | (43 | ) |  | Other long-term liabilities |  | $ | (41 | ) |  | Other long-term liabilities
£250 million Sterling |  | 9 |  |  | Other long-term assets |  | 25 |  |  | Other long-term assets
£150 million Sterling |  | (15 | ) |  | Other long-term liabilities |  | (6 | ) |  | Other long-term liabilities
|  | At December 31, 2015 |  | At September 30, 2015
Derivatives That Do Not Receive Hedge Accounting Treatment |  | Balance |  | Balance Sheet Presentation |  | Balance |  | Balance Sheet Presentation
Interest rate swaps |  |  |  |  |  |  |  |
$1.0 billion notional |  | (1,115 | ) |  | Other long-term liabilities |  | (1,177 | ) |  | Other long-term liabilities
$476 million notional |  | (412 | ) |  | Other long-term liabilities |  | (438 | ) |  | Other long-term liabilities
$42 million notional |  | (11 | ) |  | Other long-term liabilities |  | (12 | ) |  | Other long-term liabilities
Commodity contract derivatives |  | (138 | ) |  | Other long-term assets $4; Other long-term liabilities $(46); Accounts payable and accrued liabilities $(96) |  | (97 | ) |  | Other long-term assets $1; Other long-term liabilities $(17); Accounts payable and accrued liabilities $(81)
FTP |  |  |  |  |  |  |  |
Derivatives under FTP(1) |  | (101 | ) |  | Other current assets $(80); Other long-term liabilities $(9); Accounts payable and accrued liabilities $(12) |  | (116 | ) |  | Other current assets $(89); Other long-term liabilities $(10); Accounts payable and accrued liabilities $(17)
Note (1) Fair values of certain derivatives under the FTP that were in net liability positions totaling $80 million and $89 million at December 31, 2015 and September 30, 2015, respectively, are recorded in TVA's margin cash accounts in Other current assets. These derivatives are transacted with futures commission merchants, and cash deposits have been posted to the margin cash accounts held with each futures commission merchant to offset the net liability positions in full.
Currency Swaps Outstanding | TVA had the following currency swaps outstanding as of December 31, 2015:
Currency Swaps Outstanding At December 31, 2015
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%
Commodity Contract Derivatives |
Commodity Contract Derivatives
| At December 31, 2015 |  | At September 30, 2015
| Number of Contracts |  | Notional Amount |  | Fair Value (MtM) |  | Number of Contracts |  | Notional Amount |  | Fair Value (MtM)
Coal contract derivatives | 12 |  | 20 million tons |  | $ | (123 | ) |  | 14 |  | 19 million tons |  | $ | (98 | )
Natural gas contract derivatives | 30 |  | 132 million mmBtu |  | $ | (15 | ) |  | 33 |  | 134 million mmBtu |  | $ | 1 |
Derivatives Under Financial Trading Program |
Derivatives Under Financial Trading Program
| At December 31, 2015 |  | At September 30, 2015
| Notional Amount |  | Fair Value (MtM) (in millions) |  | Notional Amount |  | Fair Value (MtM) (in millions)
Natural gas (in mmBtu) |  |  |  |  |  |  |
Swap contracts | 40,977,500 |  |  | $ | (101 | ) |  | 51,495,000 |  |  | $ | (116 | )
Note Fair value amounts presented are based on the net commodity position with the counterparty. Notional amounts disclosed represent the net absolute value of contractual amounts.
Financial Trading Program Unrealized Gains (Losses) | TVA experienced the following unrealized and realized gains and losses related to the FTP at the dates and during the periods, as applicable, set forth in the tables below:
Financial Trading Program Unrealized Gains (Losses)
|  | At December 31, 2015 |  | At September 30, 2015
FTP unrealized gains (losses) deferred as regulatory liabilities (assets) |  |  |  |
Natural gas |  | $ | (101 | ) |  | $ | (116 | )
Financial Trading Program Realized Gains (Losses) |
Financial Trading Program Realized Gains (Losses)
|  | For the Three Months Ended December 31
|  | 2015 |  | 2014
Decrease (increase) in fuel expense |  |  |  |
Natural gas |  | $ | (29 | ) |  | $ | (12 | )
Fuel oil/crude oil |  | — |  |  | 1 |
Financial Trading Program Realized Gains (Losses)
|  | For the Three Months Ended December 31
|  | 2015 |  | 2014
Decrease (increase) in purchased power expense |  |  |  |
Natural gas |  | $ | (7 | ) |  | $ | (3 | )
Offsetting of Derivative Assets and Liabilities | The amounts of TVA's derivative instruments as reported in the Consolidated Balance Sheets as of December 31, 2015, and September 30, 2015, are shown in the table below:
Derivative Assets and Liabilities
| As of December 31, 2015
| Gross Amounts of Recognized Assets/Liabilities |  | Gross Amounts Offset in the Balance Sheet (1) |  | Net Amounts of Assets/Liabilities Presented in the Balance Sheet (2)
Assets |  |  |  |  |
Currency swap(s)(3)(4) | $ | 9 |  |  | $ | — |  |  | $ | 9 |
Commodity derivatives under FTP | 36 |  |  | (36 | ) |  | — |
Total derivatives subject to master netting or similar arrangement | 45 |  |  | (36 | ) |  | 9 |
Total derivatives not subject to master netting or similar arrangement | 4 |  |  | — |  |  | 4 |
Total | $ | 49 |  |  | $ | (36 | ) |  | $ | 13 |
Liabilities |  |  |  |  |
Currency swap(s) (4) | $ | 58 |  |  | $ | — |  |  | $ | 58 |
Interest rate swaps (4) | 1,538 |  |  | — |  |  | 1,538 |
Commodity derivatives under FTP | 137 |  |  | (116 | ) |  | 21 |
Total derivatives subject to master netting or similar arrangement | 1,733 |  |  | (116 | ) |  | 1,617 |
Total derivatives not subject to master netting or similar arrangement | 142 |  |  | — |  |  | 142 |
Total | $ | 1,875 |  |  | $ | (116 | ) |  | $ | 1,759 |
| As of September 30, 2015
| Gross Amounts of Recognized Assets/Liabilities |  | Gross Amounts Offset in the Balance Sheet (1) |  | Net Amounts of Assets/Liabilities Presented in the Balance Sheet (2)
Assets |  |  |  |  |
Currency swap(s)(3)(4) | $ | 25 |  |  | $ | — |  |  | $ | 25 |
Commodity derivatives under FTP | 49 |  |  | (49 | ) |  | — |
Total derivatives subject to master netting or similar arrangement | 74 |  |  | (49 | ) |  | 25 |
Total derivatives not subject to master netting or similar arrangement | 1 |  |  | — |  |  | 1 |
Total | $ | 75 |  |  | $ | (49 | ) |  | $ | 26 |
Liabilities |  |  |  |  |
Currency swap(s) (4) | $ | 47 |  |  | $ | — |  |  | $ | 47 |
Interest rate swaps (4) | 1,627 |  |  | — |  |  | 1,627 |
Commodity derivatives under FTP | 165 |  |  | (138 | ) |  | 27 |
Total derivatives subject to master netting or similar arrangement | 1,839 |  |  | (138 | ) |  | 1,701 |
Total derivatives not subject to master netting or similar arrangement | 98 |  |  | — |  |  | 98 |
Total | $ | 1,937 |  |  | $ | (138 | ) |  | $ | 1,799 |
Notes (1) Amounts primarily include counterparty netting of derivative contracts, margin account deposits for futures commission merchants transactions, and cash collateral received or paid in accordance with the accounting guidance for derivatives and hedging transactions. (2) There are no derivative contracts subject to a master netting arrangement or similar agreement which are not offset in the balance sheets. (3) At December 31, 2015 and September 30, 2015, there were no securities posted by a counterparty on TVA's behalf to partially secure the asset position(s) of currency swaps in accordance with the collateral requirements for these derivatives. (4) Letters of credit of approximately $1.1 billion were posted as collateral at both December 31, 2015 and September 30, 2015, to partially secure the liability positions of one of the currency swaps and one of the interest rate swaps in accordance with the collateral requirements for these derivatives. TVA held $20 million and $15 million cash collateral in excess of collateral requirements at December 31, 2015 and September 30, 2015, respectively. Cash collateral held in excess of collateral requirements is recorded in Restricted cash and investments with a corresponding obligation of the same amount recorded in Accounts payable and accrued liabilities.

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