XML 63 R43.htm IDEA: XBRL DOCUMENT v3.22.4
Risk Management Activities and Derivative Transactions (Tables)
 3 Months Ended
Dec. 31, 2022
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 RelationshipObjective of Hedge TransactionAccounting for Derivative
Hedging Instrument		20222021
Currency swapsTo 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$71 $5 

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 Relationship20222021
Currency swaps$34 $1 
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 $5 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 the forecasted exchange loss 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)
(in millions)
Three Months Ended December 31
Derivative TypeObjective of DerivativeAccounting for Derivative Instrument20222021
Interest rate swapsTo fix short-term debt variable rate to a fixed rate (interest rate risk)Mark-to-market gains and losses are recorded as regulatory liabilities and assets, respectively

Realized gains and losses are recognized in Interest expense when incurred during the settlement period and are presented in operating cash flow		$(15)$(29)
Commodity derivatives
under the FHP(2)
To protect against fluctuations in market prices of purchased commodities (price risk)
Mark-to-market gains and losses are recorded as regulatory liabilities and assets, respectively

Realized gains and losses are recognized in Fuel expense or Purchased power expense as the contracts settle to match the delivery period of the underlying commodity(2)
(19)— 
Notes
(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, 2022 and for the three months ended December 31, 2021.
(2) Of the amount recognized for the three months ended December 31, 2022, $15 million and $4 million were reported in Fuel expense and Purchased power expense, respectively.
Fair Value of TVA Derivatives
Fair Values of TVA Derivatives
(in millions)
 At December 31, 2022At September 30, 2022
Derivatives That Receive Hedge Accounting Treatment:
BalanceBalance Sheet PresentationBalanceBalance Sheet Presentation
Currency swaps    
£250 million Sterling
$(88)
Accounts payable and accrued liabilities $(6); Other long-term liabilities $(82)
$(130)
Accounts payable and accrued liabilities $(7); Other long-term liabilities $(123)
£150 million Sterling
(81)
Accounts payable and accrued liabilities $(4); Other long-term liabilities $(77)
(110)
Accounts payable and
accrued liabilities $(5); Other long-term liabilities $(105)
Derivatives That Do Not Receive Hedge Accounting Treatment:
BalanceBalance Sheet PresentationBalanceBalance Sheet Presentation
Interest rate swaps    
$1.0 billion notional$(639)
Accounts payable and
accrued liabilities $(24); Accrued interest $(9);
Other long-term liabilities
$(606)
$(672)
Accounts payable and
accrued liabilities $(9); Accrued interest $(33); Other long-term liabilities $(630)
$476 million notional(218)
Accounts payable and
accrued liabilities $(8);
Other long-term liabilities
$(210)
(233)
Accounts payable and
accrued liabilities $(3); Accrued interest $(9);
Other long-term liabilities
$(221)
Commodity contract derivatives71 
Other current assets $59; Other long-term assets $21; Accounts payable and accrued liabilities $(8); Other long-term liabilities $(1)
145 
Other current assets $118; Other long-term assets $34; Accounts payable and accrued liabilities $(6); Other long-term liabilities $(1)
Commodity derivatives under the FHP(121)
Other long-term assets $22; Accounts payable and accrued liabilities $(129); Other long-term liabilities $(14)
115 
Accounts receivable, net $1; Other current assets $54; Other long-term assets $68; Accounts payable and accrued liabilities $(8)
Commodity Contract Derivatives
Commodity Contract Derivatives 
 At December 31, 2022At September 30, 2022
 
Number of Contracts
Notional Amount
Fair Value (MtM)
(in millions)
Number of ContractsNotional Amount
Fair Value (MtM)
(in millions)
Natural gas contract derivatives48356 million mmBtu$71 44296 million mmBtu$145 
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, 2022At September 30, 2022
Assets
Commodity contract derivatives$80 $152 
Commodity derivatives under the FHP(2)
22 123 
Total derivatives subject to master netting or similar arrangement$102 $275 
Liabilities
Currency swaps$169 $240 
Interest rate swaps(3)
857 905 
Commodity contract derivatives 9 7 
Commodity derivatives under the FHP(2)
143 8 
Total derivatives subject to master netting or similar arrangement$1,178 $1,160 
Notes
(1) Offsetting amounts include counterparty netting of derivative contracts. Except as discussed below, there were no other material offsetting amounts on TVA's
Consolidated Balance Sheets at either December 31, 2022, or September 30, 2022.
(2) At December 31, 2022, the gross derivative asset and gross derivative liability was $61 million and $182 million, respectively, with offsetting amounts for each totaling $39 million. TVA received $3 million of collateral from counterparties as of December 31, 2022, which is recorded separately from the fair values of the derivative assets and liabilities and reported in Accounts payable and accrued liabilities.
(3) Letters of credit of approximately $586 million and $704 million were posted as collateral at December 31, 2022, and September 30, 2022, respectively, to partially secure the liability positions of one of the interest rate swaps in accordance with the collateral requirements for this derivative.