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Fair Value Measurements (Tables)

3 Months Ended

Dec. 31, 2019

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 Investment Gains (Losses)

TVA recorded unrealized gains and losses related to its equity and trading debt securities held during each period as follows:

Unrealized Investment Gains (Losses)
				Three Months Ended December 31
Fund		Financial Statement Presentation		2019				2018
NDT		Regulatory asset		$	111			$	(201	)
ART		Regulatory asset		37				(104		)
SERP		Other income (expense)		1				(6		)
DCP		Other income (expense)		1				(3		)

Fair Value Measurements

Fair Value Measurements At December 31, 2019
	Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Total
Assets
Investments
Equity securities	$	509			$	—			$	—			$	509
Government debt securities	278				78				—				356
Corporate debt securities	—				423				—				423
Mortgage and asset-backed securities	—				30				—				30
Institutional mutual funds	266				—				—				266
Forward debt securities contracts	—				2				—				2
Private credit funds measured at net asset value(1)	—				—				—				52
Private equity funds measured at net asset value(1)	—				—				—				158
Private real asset funds measured at net asset value(1)	—				—				—				142
Commingled funds measured at net asset value(1)	—				—				—				1,225
Total investments	1,053				533				—				3,163
Commodity contract derivatives	—				3				1				4
Total	$	1,053			$	536			$	1			$	3,167
	Quoted Prices in Active Markets for Identical Liabilities (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Total
Liabilities
Currency swaps(2)	$	—			$	132			$	—			$	132
Interest rate swaps	—				1,565				—				1,565
Commodity contract derivatives	—				48				18				66
Total	$	—			$	1,745			$	18			$	1,763

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 on the Consolidated Balance Sheets.

(2)  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 14 — Risk Management Activities and Derivative Transactions — Offsetting of Derivative Assets and Liabilities.

Fair Value Measurements At September 30, 2019
	Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Total
Assets
Investments
Equity securities	$	464			$	—			$	—			$	464
Government debt securities	279				65				—				344
Corporate debt securities	—				417				—				417
Mortgage and asset-backed securities	—				32				—				32
Institutional mutual funds	250				—				—				250
Forward debt securities contracts	—				22				—				22
Private equity funds measured at net asset value(1)	—				—				—				140
Private real estate funds measured at net asset value(1)	—				—				—				135
Private credit measured at net asset value(1)	—				—				—				33
Commingled funds measured at net asset value(1)	—				—				—				1,131
Total investments	993				536				—				2,968
Commodity contract derivatives	—				7				5				12
Total	$	993			$	543			$	5			$	2,980
	Quoted Prices in Active Markets for Identical Liabilities (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Total
Liabilities
Currency swaps(2)	$	—			$	208			$	—			$	208
Interest rate swaps	—				1,764				—				1,764
Commodity contract derivatives	—				44				9				53
Total	$	—			$	2,016			$	9			$	2,025

Notes

(1)

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
		Three Months Ended December 31
Balance at October 1, 2018		$	58
Change in net unrealized gains (losses) deferred as regulatory assets and liabilities		5
Balance at December 31, 2018		$	63
Balance at October 1, 2019		$	(4	)
Change in net unrealized gains (losses) deferred as regulatory assets and liabilities		(13		)
Balance at December 31, 2019		$	(17	)

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, 2019				Valuation Technique(s)		Unobservable Inputs		Range
Assets
Commodity contract derivatives	$	1			Pricing model		Coal supply and demand		0.4 - 0.8 billion tons/year
							Long-term market prices		$12.10 - $95.63/ton
Liabilities
Commodity contract derivatives	18				Pricing model		Coal supply and demand		0.4 - 0.8 billion tons/year
							Long-term market prices		$12.10 - $95.63/ton

Quantitative Information about Level 3 Fair Value Measurements
	Fair Value at September 30, 2019				Valuation Technique(s)		Unobservable Inputs		Range
Assets
Commodity contract derivatives	$	5			Pricing model		Coal supply and demand		0.4 - 0.8 billion tons/year
							Long-term market prices		$12.10 - $94.51/ton
Liabilities
Commodity contract derivatives	9				Pricing model		Coal supply and demand		0.4 - 0.8 billion tons/year
							Long-term market prices		$12.10 - $94.51/ton

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, 2019, and September 30, 2019, were as follows:

Estimated Values of Financial Instruments Not Recorded at Fair Value
			At December 31, 2019								At September 30, 2019
	Valuation Classification		Carrying Amount				Fair Value				Carrying Amount				Fair Value
EnergyRight® receivables (including current portion)	Level 2		$	98			$	97			$	101			$	100
Loans and other long-term receivables, net (including current portion)	Level 2		135				124				131				120
EnergyRight® financing obligation (including current portion)	Level 2		110				122				113				126
Unfunded loan commitments	Level 2		—				8				—				10
Membership interests of VIEs subject to mandatory redemption (including current portion)	Level 2		28				36				28				37
Long-term outstanding power bonds (including current maturities), net	Level 2		19,970				25,152				20,124				26,059
Long-term debt of VIEs (including current maturities), net	Level 2		1,128				1,360				1,128				1,371
Long-term notes payable (including current maturities)	Level 2		22				22				23				23

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