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Risk Management Activities and Derivative Transactions (Tables) | 3 Months Ended
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Dec. 31, 2021
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 Accumulated Other Comprehensive Income (Loss) (in millions)
|  |  |  |  |  | Three Months Ended December 31 |  |  |
Derivatives in Cash Flow Hedging Relationship |  | Objective of Hedge Transaction |  | Accounting for Derivative Hedging Instrument |  | 2021 |  | 2020 |  |  |  |  |
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 |  | $ | 5 |  |  | $ | 101 |  |  |  |  |  |
Summary of Derivative Instruments That Receive Hedge Accounting Treatment (part 2)(1) Amount of Gain (Loss) Reclassified from Accumulated Other Comprehensive Income (Loss) to Interest Expense (in millions)
|  | Three Months Ended December 31 |  |  |
Derivatives in Cash Flow Hedging Relationship |  | 2021 |  | 2020 |  |  |  |  |
Currency swaps |  | $ | 1 |  |  | $ | 45 |  |  |  |  |  |
Note (1) There were no amounts excluded from effectiveness testing for any of the periods presented. Based on forecasted foreign currency exchange rates, TVA expects to reclassify approximately $7 million of gains from AOCI to Interest expense within the next 12 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(1)
|  |  |  |  |  | Three Months Ended December 31 |  |  |
Derivative Type |  | Objective of Derivative |  | Accounting for Derivative Instrument |  | 2021 |  | 2020 |  |  |  |  |
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 incurred during the settlement period and are presented in operating cash flow |  | $ | (29) |  |  | $ | (29) |  |  |  |  |  |
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 were no related gains (losses) recognized in income for these unrealized gains (losses) for the three months ended December 31, 2021 and 2020.
Fair Value of TVA Derivatives |
Fair Values of TVA Derivatives (in millions)
| At December 31, 2021 |  | At September 30, 2021
Derivatives That Receive Hedge Accounting Treatment:
| Balance |  | Balance Sheet Presentation |  | Balance |  | Balance Sheet Presentation
Currency swaps |  |  |  |  |  |  |
£250 million Sterling | $ | (35) |  |  | Accounts payable and accrued liabilities $(4); Other long-term liabilities $(31) |  | $ | (36) |  |  | Accounts payable and accrued liabilities $(4); Other long-term liabilities $(32)
£150 million Sterling | (43) |  |  | Accounts payable and accrued liabilities $(3); Other long-term liabilities $(40) |  | (47) |  |  | Accounts payable and accrued liabilities $(3); Other long-term liabilities $(44)
Derivatives That Do Not Receive Hedge Accounting Treatment:
| Balance |  | Balance Sheet Presentation |  | Balance |  | Balance Sheet Presentation
Interest rate swaps |  |  |  |  |  |  |
$1.0 billion notional | $ | (1,169) |  |  | Accounts payable and accrued liabilities $(62); Accrued interest $(17); Other long-term liabilities $(1,090) |  | $ | (1,182) |  |  | Accounts payable and accrued liabilities $(44); Accrued interest $(37); Other long-term liabilities $(1,101)
$476 million notional | (452) |  |  | Accounts payable and accrued liabilities $(29); Accrued interest $(2); Other long-term liabilities $(421) |  | (455) |  |  | Accounts payable and accrued liabilities $(22); Accrued interest $(10); Other long-term liabilities $(423)
$42 million notional(1) | (1) |  |  | Accrued interest $(1) |  | (2) |  |  | Accounts payable and accrued liabilities $(1); Accrued interest $(1)
Commodity contract derivatives | 105 |  |  | Other current assets $86; Other long-term assets $25; Accounts payable and accrued liabilities $(5); Other long-term liabilities $(1) |  | 247 |  |  | Other current assets $210; Other long-term assets $40; Accounts payable and accrued liabilities $(3)
Note (1) Represents two interest rate swaps with notional amounts of $28 million and $14 million.
Commodity Contract Derivatives |
Commodity Contract Derivatives
| At December 31, 2021 |  | At September 30, 2021
| Number of Contracts |  | Notional Amount |  | Fair Value (MtM) |  | Number of Contracts |  | Notional Amount |  | Fair Value (MtM)
Natural gas contract derivatives | 42 |  | 361 million mmBtu |  | $ | 105 |  |  | 40 |  | 263 million mmBtu |  | $ | 247 |
Offsetting Assets and Liabilities | The amounts of TVA's derivative instruments as reported on the Consolidated Balance Sheets are shown in the table below:
Derivative Assets and Liabilities(1) (in millions)
| At December 31, 2021 |  |  |  |  | At September 30, 2021
Assets |  |  |  |  |  |
Commodity derivatives not subject to master netting or similar arrangement | $ | 111 |  |  |  |  |  | $ | 250 |
Liabilities |  |  |  |  |  |
Currency swaps(2) | $ | 78 |  |  |  |  |  | $ | 83 |
Interest rate swaps(2) | 1,622 |  |  |  |  |  | 1,639 |
Total derivatives subject to master netting or similar arrangement | 1,700 |  |  |  |  |  | 1,722 |
Commodity derivatives not subject to master netting or similar arrangement | 6 |  |  |  |  |  | 3 |
Total liabilities | $ | 1,706 |  |  |  |  |  | $ | 1,725 |
Notes (1) Offsetting 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. There were no material offsetting amounts on TVA's Consolidated Balance Sheets at either December 31, 2021, or September 30, 2021. (2) Letters of credit of approximately $1.1 billion and $1.2 billion were posted as collateral at December 31, 2021, and September 30, 2021, 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.

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