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Risk Management Activities and Derivative Transactions (Tables)
 3 Months Ended
Dec. 31, 2016
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
 
2016
 
2015
 
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
 
$
(8
)
 
$
(27
)
 


Summary of Derivative Instruments That Receive Hedge Accounting Treatment (part 2)(1)
Amount of Gain (Loss) Reclassified from OCI to Interest Expense
 
 
Three Months Ended
December 31
 
Derivatives in Cash Flow Hedging Relationship
 
2016
 
2015
 
Currency swaps
 
$
(38
)
 
$
(24
)
 

Note
(1) 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 $15 million of gains from AOCI to interest expense within the next twelve months to offset amounts anticipated to be recorded in interest expense related to net 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
 
2016
 
2015
 
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.
 
$
(26
)
 
$
(28
)
 
 
 
 
 
 
 
 
 
 
 
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.
 
(2
)
 
—

 
 
 
 
 
 
 
 
 
 
 
Commodity derivatives
under 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.
 
(14
)
 
(36
)
 
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 months ended December 31, 2016 and 2015.

Fair Value of TVA Derivatives
Fair Values of TVA Derivatives
 
 
At December 31, 2016
 
At September 30, 2016
Derivatives That Receive Hedge Accounting Treatment
 
Balance
 
Balance Sheet Presentation
 
Balance
 
Balance Sheet Presentation
Currency swaps
 
 
 
 
 
 
 
 
£200 million Sterling
 
$
(88
)
 
Other long-term liabilities
 
$
(82
)
 
Other long-term liabilities
£250 million Sterling
 
(47
)
 
Other long-term liabilities
 
(41
)
 
Other long-term liabilities
£150 million Sterling
 
(35
)
 
Other long-term liabilities
 
(39
)
 
Other long-term liabilities
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2016
 
At September 30, 2016
Derivatives That Do Not Receive Hedge Accounting Treatment
 
Balance
 
Balance Sheet Presentation
 
Balance
 
Balance Sheet Presentation
Interest rate swaps
 
 
 
 
 
 
 
 
$1.0 billion notional
 
(1,084
)
 
Other long-term liabilities
 
(1,387
)
 
Other long-term liabilities
$476 million notional
 
(404
)
 
Other long-term liabilities
 
(539
)
 
Other long-term liabilities
$42 million notional
 
(9
)
 
Other long-term liabilities
 
(12
)
 
Other long-term liabilities
Commodity contract derivatives
 
(87
)
 
Other current assets $22; Other long-term assets $6; Other long-term liabilities $(32); Accounts payable and accrued liabilities $(83)
 
(125
)
 
Other current assets $6; Other long-term assets $3; Other long-term liabilities $(49); Accounts payable and accrued liabilities $(85)
FTP
 
 
 
 
 
 
 
 
Derivatives under FTP(1)
 
(20
)
 
Other current assets $(15); Accounts payable and accrued liabilities $(5)
 
(39
)
 
Other current assets $(30); Other long-term liabilities $(2); Accounts payable and accrued liabilities $(7)
Note
(1)  Fair values of certain derivatives under the FTP that were in net liability positions totaling $15 million and $30 million at December 31, 2016, and September 30, 2016, 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.
Commodity Contract Derivatives
Commodity Contract Derivatives 
 
At December 31, 2016
 
At September 30, 2016
 
Number of Contracts
 
Notional Amount
 
Fair Value (MtM)
 
Number of Contracts
 
Notional Amount
 
Fair Value (MtM)
Coal contract derivatives
20
 
25 million tons
 
$
(104
)
 
20
 
20 million tons
 
$
(127
)
Natural gas contract derivatives
34
 
198 million mmBtu
 
$
17

 
39
 
148 million mmBtu
 
$
2
Derivatives Under Financial Trading Program
Derivatives Under Financial Trading Program(1)
 
At December 31, 2016
 
At September 30, 2016
 
Notional Amount
 
Fair Value (MtM)
(in millions)
 
Notional Amount
 
Fair Value (MtM)
(in millions)
Natural gas (in mmBtu)
 
 
 
 
 
 
 
Swap contracts
15,400,000

 
$
(20
)
 
21,052,500

 
$
(39
)
Note
(1) Fair value amounts presented are based on the net commodity position with the counterparty. Notional amounts disclosed represent the net 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 2016
 
At September 30 2016
FTP unrealized gains (losses) deferred as regulatory liabilities (assets)
 
 
 
 
Natural gas
 
$
(20
)
 
$
(39
)
Financial Trading Program Realized Gains (Losses)
Financial Trading Program Realized Gains (Losses)
 
 
Three Months Ended
December 31
 
 
 
2016
 
2015
 
Decrease (increase) in fuel expense
 
 
 
 
 
Natural gas
 
$
(11
)
 
$
(29
)
 

Financial Trading Program Realized Gains (Losses)
 
 
Three Months Ended
December 31
 
 
 
2016
 
2015
 
Decrease (increase) in purchased power expense
 
 
 
 
 
Natural gas
 
$
(3
)
 
$
(7
)
 
Derivative Assets and Liabilities
The amounts of TVA's derivative instruments as reported in the consolidated balance sheets as of December 31, 2016, and September 30, 2016, are shown in the table below:
Derivative Assets and Liabilities
 
As of December 31, 2016
 
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
 
 
 
 
 
Commodity derivatives not subject to master netting or similar arrangement
$
28

 
$
—

 
$
28

 
 
 
 
 
 
Liabilities
 
 
 
 
 
Currency swap(s) (3)
$
170

 
$
—

 
$
170

Interest rate swaps (3)
1,497

 
—

 
1,497

Commodity derivatives under FTP
20

 
(15
)
 
5

Total derivatives subject to master netting or similar arrangement
1,687

 
(15
)
 
1,672

Commodity derivatives not subject to master netting or similar arrangement
115

 
—

 
115

 
 
 
 
 
 
Total
$
1,802

 
$
(15
)
 
$
1,787

 
 
 
 
 
 
 
As of September 30, 2016
 
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
 
 
 
 
 
Commodity derivatives under FTP subject to master netting or similar arrangement
$
6

 
$
(6
)
 
$
—

Commodity derivatives not subject to master netting or similar arrangement
9

 
—

 
9

 
 
 
 
 
 
Total
$
15

 
$
(6
)
 
$
9

 
 
 
 
 
 
Liabilities
 
 
 
 
 
Currency swap(s) (3)
$
162

 
$
—

 
$
162

Interest rate swaps (3)
1,938

 
—

 
1,938

Commodity derivatives under FTP
45

 
(36
)
 
9

Total derivatives subject to master netting or similar arrangement
2,145

 
(36
)
 
2,109

Commodity derivatives not subject to master netting or similar arrangement
134

 
—

 
134

 
 
 
 
 
 
Total
$
2,279

 
$
(36
)
 
$
2,243

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 that are not offset in the consolidated balance sheets.
(3) Letters of credit of approximately $1.1 billion and $1.4 billion were posted as collateral at December 31, 2016, and September 30, 2016, respectively, 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.