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Fair Value Measurements (Tables) | 9 Months Ended
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Jun. 30, 2020
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) (in millions) |  |  |  |  |  |  |  |  |  |  |
|  |  |  | Three Months Ended June 30 |  |  |  | Nine Months Ended June 30 |  |  |
Fund |  | Financial Statement Presentation |  | 2020 |  | 2019 |  | 2020 |  | 2019 |
NDT |  | Regulatory asset |  | $ | 235 |  |  | $ | (37) |  |  | $ | (11) |  |  | $ | (84) |  |
ART |  | Regulatory asset |  | 97 |  |  | (6) |  |  | (1) |  |  | (58) |  |
SERP |  | Other income (expense) |  | 7 |  |  | 1 |  |  | (1) |  |  | — |  |
DCP |  | Other income (expense) |  | 2 |  |  | 1 |  |  | — |  |  | (1) |  |
Fair Value Measurements |
Fair Value Measurements At June 30, 2020(in millions) |  |  |  |  |  |  |
| 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 | $ | 470 |  |  | $ | — |  |  | $ | — |  |  | $ | 470 |
Government debt securities | 366 |  |  | 52 |  |  | — |  |  | 418 |
Corporate debt securities | — |  |  | 322 |  |  | — |  |  | 322 |
Mortgage and asset-backed securities | — |  |  | 28 |  |  | — |  |  | 28 |
Institutional mutual funds | 173 |  |  | — |  |  | — |  |  | 173 |
Forward debt securities contracts | — |  |  | 11 |  |  | — |  |  | 11 |
Private credit funds measured at net asset value(1) | — |  |  | — |  |  | — |  |  | 57 |
Private equity funds measured at net asset value(1) | — |  |  | — |  |  | — |  |  | 181 |
Private real asset funds measured at net asset value(1) | — |  |  | — |  |  | — |  |  | 162 |
Commingled funds measured at net asset value(1) | — |  |  | — |  |  | — |  |  | 1,169 |
Total investments | 1,009 |  |  | 413 |  |  | — |  |  | 2,991 |
Commodity contract derivatives | — |  |  | 8 |  |  | 2 |  |  | 10 |
Total | $ | 1,009 |  |  | $ | 421 |  |  | $ | 2 |  |  | $ | 3,001 |
| 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) | $ | — |  |  | $ | 264 |  |  | $ | — |  |  | $ | 264 |
Interest rate swaps | — |  |  | 2,108 |  |  | — |  |  | 2,108 |
Commodity contract derivatives | — |  |  | 28 |  |  | 12 |  |  | 40 |
Total | $ | — |  |  | $ | 2,400 |  |  | $ | 12 |  |  | $ | 2,412 |
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(in millions) |  |  |  |  |  |  |
| 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 funds 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(in millions) |  |  |
| Commodity Contract Derivatives |  |
| Three Months Ended June 30 |  | Nine Months Ended June 30
Balance at beginning of period | $ | 38 |  |  | $ | 58 |
Change in net unrealized gains (losses) deferred as regulatory assets and liabilities | (19) |  |  | (39) |
Balance at June 30, 2019 | $ | 19 |  |  | $ | 19 |
Balance at beginning of period | $ | (7) |  |  | $ | (4) |
Settlements | (1) |  |  | (1) |
Change in net unrealized gains (losses) deferred as regulatory assets and liabilities | (2) |  |  | (5) |
Balance at June 30, 2020 | $ | (10) |  |  | $ | (10) |
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 June 30, 2020 |  | Valuation Technique(s) |  | Unobservable Inputs |  | Range(1)
Assets |  |  |  |  |  |  |
Commodity contract derivatives | $ | 2 |  |  | Pricing model |  | Coal supply and demand |  | 0.5 - 0.6 billion tons/year
|  |  |  |  | Long-term market prices |  | $11.90 - $43.00/ton
Liabilities |  |  |  |  |  |  |
Commodity contract derivatives | 12 |  |  | Pricing model |  | Coal supply and demand |  | 0.5 - 0.6 billion tons/year
|  |  |  |  | Long-term market prices |  | $11.90 - $43.00/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 June 30, 2020, and September 30, 2019, were as follows:
Estimated Values of Financial Instruments Not Recorded at Fair Value(in millions) |  |  |  |  |  |  |  |  |
|  |  | At June 30, 2020 |  |  |  | At September 30, 2019 |  |
| Valuation Classification |  | Carrying Amount |  | Fair Value |  | Carrying Amount |  | Fair Value
EnergyRight® receivables (including current portion) | Level 2 |  | $ | 91 |  |  | $ | 90 |  |  | $ | 101 |  |  | $ | 100 |
Loans and other long-term receivables, net (including current portion) | Level 2 |  | 134 |  |  | 122 |  |  | 131 |  |  | 120 |
EnergyRight® financing obligations (including current portion) | Level 2 |  | 101 |  |  | 112 |  |  | 113 |  |  | 126 |
Unfunded loan commitments | Level 2 |  | — |  |  | 7 |  |  | — |  |  | 10 |
Membership interests of VIEs subject to mandatory redemption (including current portion) | Level 2 |  | 27 |  |  | 38 |  |  | 28 |  |  | 37 |
Long-term outstanding power bonds (including current maturities), net | Level 2 |  | 19,849 |  |  | 26,749 |  |  | 20,124 |  |  | 26,059 |
Long-term debt of VIEs (including current maturities), net | Level 2 |  | 1,109 |  |  | 1,437 |  |  | 1,128 |  |  | 1,371 |
Long-term notes payable (including current maturities) | Level 2 |  | — |  |  | — |  |  | 23 |  |  | 23 |

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