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Fair Value Measurements (Tables)

3 Months Ended

Dec. 31, 2021

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 December 31
Fund						Financial Statement Presentation						2021						2020
NDT						Regulatory asset						$	119					$	230
ART						Regulatory asset						30						92
SERP						Other income (expense)						2						4
DCP						Other income (expense)						—						1

Fair Value Measurements

Fair Value Measurements At December 31, 2021 (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			$	719					$	—					$	—					$	719
Government debt securities(1)			577						21						—						598
Corporate debt securities(2)			—						377						—						377
Mortgage and asset-backed securities			—						77						—						77
Institutional mutual funds			233						—						—						233
Forward debt securities contracts			—						(2)						—						(2)
Private equity funds measured at net asset value(3)			—						—						—						448
Private real asset funds measured at net asset value(3)			—						—						—						308
Private credit measured at net asset value(3)			—						—						—						80
Commingled funds measured at net asset value(3)			—						—						—						1,476
Total investments			1,529						473						—						4,314
Commodity contract derivatives			—						111						—						111
Total			$	1,529					$	584					$	—					$	4,425
			Quoted Prices in Active Markets for Identical Assets (Level 1)						Significant Other Observable Inputs (Level 2)						Significant Unobservable Inputs (Level 3)						Total
Liabilities
Currency swaps(4)			$	—					$	78					$	—					$	78
Interest rate swaps			—						1,622						—						1,622
Commodity contract derivatives			—						6						—						6
Total			$	—					$	1,706					$	—					$	1,706

Notes

(1) Includes government-sponsored entities, including $577 million of U.S. Treasury securities within Level 1 of the fair value hierarchy.

(2) Includes both U.S. and foreign debt.

(3) 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.

(4)  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, 2021 (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			$	634					$	—					$	—					$	634
Government debt securities(1)			573						24						—						597
Corporate debt securities(2)			—						411						—						411
Mortgage and asset-backed securities			—						63						—						63
Institutional mutual funds			225						—						—						225
Forward debt securities contracts			—						2						—						2
Private equity funds measured at net asset value(3)			—						—						—						357
Private real asset funds measured at net asset value(3)			—						—						—						272
Private credit measured at net asset value(3)			—						—						—						71
Commingled funds measured at net asset value(3)			—						—						—						1,421
Total investments			1,432						500						—						4,053
Commodity contract derivatives			—						250						—						250
Total			$	1,432					$	750					$	—					$	4,303
			Quoted Prices in Active Markets for Identical Assets (Level 1)						Significant Other Observable Inputs (Level 2)						Significant Unobservable Inputs (Level 3)						Total
Liabilities
Currency swaps(4)			$	—					$	83					$	—					$	83
Interest rate swaps			—						1,639						—						1,639
Commodity contract derivatives			—						3						—						3
Total			$	—					$	1,725					$	—					$	1,725

Notes

(1) Includes government-sponsored entities, including $573 million of U.S. Treasury securities within Level 1 of the fair value hierarchy.

(2) Includes both U.S. and foreign debt.

(3) 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.

(4)  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.

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, 2021, and September 30, 2021, were as follows:

Estimated Values of Financial Instruments Not Recorded at Fair Value (in millions)
									At December 31, 2021												At September 30, 2021
			Valuation Classification						Carrying Amount						Fair Value						Carrying Amount						Fair Value
EnergyRight® receivables, net (including current portion)			Level 2						$	69					$	69					$	72					$	71
Loans and other long-term receivables, net (including current portion)			Level 2						104						99						99						94
EnergyRight® financing obligations (including current portion)			Level 2						80						89						82						92
Unfunded loan commitments			Level 2						—						3						—						3
Membership interests of VIEs subject to mandatory redemption (including current portion)			Level 2						23						30						23						30
Long-term outstanding power bonds, net (including current maturities)			Level 2						18,489						24,223						18,485						24,309
Long-term debt of VIEs, net (including current maturities)			Level 2						1,049						1,292						1,049						1,307

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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).

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-Name Accounting Standards Codification
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