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Fair Value Measurements (Tables) | 3 Months Ended
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Dec. 31, 2015
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 |  | 2015 |  | 2014
SERP | Other income (expense) |  | $ | — |  |  | $ | (1 | )
LTDCP | Other income (expense) |  | — |  |  | (1 | )
NDT | Regulatory asset |  | 39 |  |  | 23 |
ART | Regulatory asset |  | 12 |  |  | 6 |
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, 2015, and September 30, 2015. Financial assets and liabilities have been classified in their entirety based on the lowest level of input that is significant to the fair value measurement. TVA's assessment of the significance of a particular input to the fair value measurement requires judgment and may affect the determination of the fair value of the assets and liabilities and their classification in the fair value hierarchy levels.
Fair Value Measurements At December 31, 2015
Assets | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total
Investments |  |  |  |  |  |  |
Equity securities | $ | 185 |  |  | $ | — |  |  | $ | — |  |  | $ | 185 |
Debt securities |  |  |  |  |  |  |  |  |  |  |
U.S. government corporations and agencies | 200 |  |  | 39 |  |  | — |  |  | 239 |
Corporate debt securities | — |  |  | 254 |  |  | — |  |  | 254 |
Residential mortgage-backed securities | — |  |  | 16 |  |  | — |  |  | 16 |
Commercial mortgage-backed securities | — |  |  | 5 |  |  | — |  |  | 5 |
Collateralized debt obligations | — |  |  | 28 |  |  | — |  |  | 28 |
Institutional mutual funds | 88 |  |  | — |  |  | — |  |  | 88 |
Forward debt securities contracts | — |  |  | (8 | ) |  | — |  |  | (8 | )
Private partnerships measured at net asset value(1) | — |  |  | — |  |  | — |  |  | 245 |
Commingled funds measured at net asset value(1) | — |  |  | — |  |  | — |  |  | 1,031 |
Total investments | 473 |  |  | 334 |  |  | — |  |  | 2,083 |
Currency swap(s) (2) | — |  |  | 9 |  |  | — |  |  | 9 |
Commodity contract derivatives | — |  |  | 4 |  |  | — |  |  | 4 |
Commodity derivatives under FTP(2) |  |  |  |  |  |  |  |  |  |  |
Swap contracts | — |  |  | — |  |  | — |  |  | — |
Total | $ | 473 |  |  | $ | 347 |  |  | $ | — |  |  | $ | 2,096 |
Liabilities | Quoted Prices in Active Markets for Identical Liabilities (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total
Currency swap(s) (2) | $ | — |  |  | $ | 58 |  |  | $ | — |  |  | $ | 58 |
Interest rate swaps | — |  |  | 1,538 |  |  | — |  |  | 1,538 |
Commodity contract derivatives | — |  |  | 19 |  |  | 123 |  |  | 142 |
Commodity derivatives under FTP(2) |  |  |  |  |  |  |  |  |  |
Swap contracts | — |  |  | 21 |  |  | — |  |  | 21 |
Total | $ | — |  |  | $ | 1,636 |  |  | $ | 123 |  |  | $ | 1,759 |
Notes (1) Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets. (2) 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 FCM. Deposits are made to TVA's margin cash accounts held with each FCM to offset any net liability positions in full for derivatives that are transacted with FCMs. TVA records currency swaps net of cash collateral received from or paid to the counterparty, to the extent such amount is not recorded in Accounts payable and accrued liabilities. See Note 12 — Offsetting of Derivative Assets and Liabilities.
Fair Value Measurements At September 30, 2015
Assets | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total
Investments |  |  |  |  |  |  |
Equity securities | $ | 166 |  |  | $ | — |  |  | $ | — |  |  | $ | 166 |
Debt securities |  |  |  |  |  |  |  |  |  |  |
U.S. government corporations and agencies | 203 |  |  | 31 |  |  | — |  |  | 234 |
Corporate debt securities | — |  |  | 225 |  |  | — |  |  | 225 |
Residential mortgage-backed securities | — |  |  | 17 |  |  | — |  |  | 17 |
Commercial mortgage-backed securities | — |  |  | 7 |  |  | — |  |  | 7 |
Collateralized debt obligations | — |  |  | 29 |  |  | — |  |  | 29 |
Institutional mutual funds | 91 |  |  | — |  |  | — |  |  | 91 |
Forward debt securities contracts | — |  |  | (59 | ) |  | — |  |  | (59 | )
Private partnerships measured at net asset value(1) | — |  |  | — |  |  | — |  |  | 240 |
Commingled funds measured at net asset value(1) | — |  |  | — |  |  | — |  |  | 1,061 |
Total investments | 460 |  |  | 250 |  |  | — |  |  | 2,011 |
Currency swap(s) (2) | — |  |  | 25 |  |  | — |  |  | 25 |
Commodity contract derivatives | — |  |  | 1 |  |  | — |  |  | 1 |
Commodity derivatives under FTP(2) |  |  |  |  |  |  |  |  |  |  |
Swap contracts | — |  |  | — |  |  | — |  |  | — |
Total | $ | 460 |  |  | $ | 276 |  |  | $ | — |  |  | $ | 2,037 |
Liabilities | Quoted Prices in Active Markets for Identical Liabilities (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total
Currency swap(s) (2) | $ | — |  |  | $ | 47 |  |  | $ | — |  |  | $ | 47 |
Interest rate swaps | — |  |  | 1,627 |  |  | — |  |  | 1,627 |
Commodity contract derivatives | — |  |  | — |  |  | 98 |  |  | 98 |
Commodity derivatives under FTP(2) |  |  |  |  |  |  |  |  |  |
Swap contracts | — |  |  | 27 |  |  | — |  |  | 27 |
Total | $ | — |  |  | $ | 1,701 |  |  | $ | 98 |  |  | $ | 1,799 |
Notes (1) Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets. (2) 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 FCM. Deposits are made to TVA's margin cash accounts held with each FCM to offset any net liability positions in full for derivatives that are transacted with FCMs. TVA records currency swaps net of cash collateral received from or paid to the counterparty, to the extent such amount is not recorded in Accounts payable and accrued liabilities. See Note 12 — Offsetting of Derivative Assets and Liabilities.
Fair Value Measurements Using Significant Unobservable Inputs | The following table presents a reconciliation of all commodity contract derivatives measured at fair value on a recurring basis using significant unobservable inputs (Level 3):
Fair Value Measurements Using Significant Unobservable Inputs
| Commodity Contract Derivatives
Balance At September 30, 2014 | $ | (85 | )
Purchases | — |
Issuances | — |
Sales | — |
Settlements | — |
Net unrealized gains (losses) deferred as regulatory assets and liabilities | (22 | )
Balance at December 31, 2014 | $ | (107 | )
Balance at September 30, 2015 | $ | (98 | )
Purchases | — |
Issuances | — |
Sales | — |
Settlements | — |
Net unrealized gains (losses) deferred as regulatory assets and liabilities | (25 | )
Balance at December 31, 2015 | $ | (123 | )
Quantitative Information about Level 3 Fair Value Measurements | 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 2015 |  | Valuation Technique(s) |  | Unobservable Inputs |  | Range |
Assets |  |  |  |  |  |  |  |
Commodity contract derivatives | $ | — |  |  | Pricing model |  | Coal supply and demand |  | 0.8 - 1.0 billion tons/year |
|  |  |  |  | Long-term market prices |  | $9.83 - $121.51/ton |
Liabilities |  |  |  |  |  |  |  |
Commodity contract derivatives | $ | 123 |  |  | Pricing model |  | Coal supply and demand |  | 0.8 - 1.0 billion tons/year |
|  |  |  |  | Long-term market prices |  | $9.83 - $121.51/ton |
Quantitative Information about Level 3 Fair Value Measurements
| Fair Value at September 30 2015 |  | Valuation Technique(s) |  | Unobservable Inputs |  | Range |
Assets |  |  |  |  |  |  |  |
Commodity contract derivatives | $ | — |  |  | Pricing model |  | Coal supply and demand |  | 0.8 - 1.0 billion tons/year |
|  |  |  |  | Long-term market prices |  | $10.64 - $103.41/ton |
Liabilities |  |  |  |  |  |  |  |
Commodity contract derivatives | $ | 98 |  |  | Pricing model |  | Coal supply and demand |  | 0.8 - 1.0 billion tons/year |
|  |  |  |  | Long-term market prices |  | $10.64 - $103.41/ton |
Estimated Values of Financial Instruments Not Recorded at Fair Value | The estimated fair values of TVA's financial instruments not recorded at fair value at December 31, 2015, and September 30, 2015, were as follows:
Estimated Values of Financial Instruments Not Recorded at Fair Value
|  |  | At December 31, 2015 |  | At September 30, 2015
| Valuation Classification |  | Carrying Amount |  | Fair Value |  | Carrying Amount |  | Fair Value
EnergyRight® receivables (including current portion) | Level 2 |  | $ | 155 |  |  | $ | 161 |  |  | $ | 156 |  |  | $ | 162 |
Loans and other long-term receivables, net (including current portion) | Level 2 |  | $ | 135 |  |  | $ | 124 |  |  | $ | 129 |  |  | $ | 117 |
EnergyRight® financing obligation (including current portion) | Level 2 |  | $ | 183 |  |  | $ | 205 |  |  | $ | 185 |  |  | $ | 208 |
Unfunded loan commitments | Level 2 |  | $ | — |  |  | $ | 11 |  |  | $ | — |  |  | $ | 9 |
Membership interest of variable interest entity subject to mandatory redemption (including current portion) | Level 2 |  | $ | 37 |  |  | $ | 46 |  |  | $ | 37 |  |  | $ | 47 |
Long-term outstanding power bonds (including current maturities), net | Level 2 |  | $ | 22,625 |  |  | $ | 26,155 |  |  | $ | 22,649 |  |  | $ | 25,468 |
Long-term debt of variable interest entities (including current maturities), net | Level 2 |  | $ | 1,266 |  |  | $ | 1,388 |  |  | $ | 1,266 |  |  | $ | 1,407 |

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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=36462937&loc=d3e19207-110258 + 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=36462937&loc=d3e19190-110258 + Details
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