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Fair Value Measurements (Tables)

3 Months Ended

Dec. 31, 2022

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																		2022						2021
NDT						Regulatory assets																		$	136					$	119
ART						Regulatory assets																		69						30
SERP						Other income																		3						2

Fair Value Measurements

Fair Value Measurements At December 31, 2022 (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			$	575					$	—					$	—					$	575
Government debt securities(1)			402						46						—						448
Corporate debt securities(2)			—						302						—						302
Mortgage and asset-backed securities			—						29						—						29
Institutional mutual funds			260						—						—						260
Forward debt securities contracts			—						9						—						9
Private equity funds measured at net asset value(3)			—						—						—						537
Private real asset funds measured at net asset value(3)			—						—						—						391
Private credit measured at net asset value(3)			—						—						—						124
Commingled funds measured at net asset value(3)			—						—						—						1,238
Total investments			1,237						386						—						3,913
Commodity contract derivatives			—						80						—						80
Commodity derivatives under the FHP			—						22						—						22
Total			$	1,237					$	488					$	—					$	4,015
			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(4)			$	—					$	169					$	—					$	169
Interest rate swaps			—						857						—						857
Commodity contract derivatives			—						9						—						9
Commodity derivatives under the FHP			—						143						—						143
Total			$	—					$	1,178					$	—					$	1,178

Notes

(1) Includes government-sponsored entities, including $402 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 NAV 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 if applicable, to the extent such amount is not recorded in Accounts payable and accrued liabilities. See Note 13 — Risk Management Activities and Derivative Transactions — Offsetting of Derivative Assets and Liabilities.

Fair Value Measurements At September 30, 2022 (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			$	534					$	—					$	—					$	534
Government debt securities(1)			358						36						—						394
Corporate debt securities(2)			—						283						—						283
Mortgage and asset-backed securities			—						52						—						52
Institutional mutual funds			242						—						—						242
Forward debt securities contracts			—						4						—						4
Private equity funds measured at net asset value(3)			—						—						—						487
Private real asset funds measured at net asset value(3)			—						—						—						369
Private credit measured at net asset value(3)			—						—						—						103
Commingled funds measured at net asset value(3)			—						—						—						1,203
Total investments			1,134						375						—						3,671
Commodity contract derivatives			—						152						—						152
Commodity derivatives under the FHP			—						123						—						123
Total			$	1,134					$	650					$	—					$	3,946
			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(4)			$	—					$	240					$	—					$	240
Interest rate swaps			—						905						—						905
Commodity contract derivatives			—						7						—						7
Commodity derivatives under the FHP			—						8						—						8
Total			$	—					$	1,160					$	—					$	1,160

Notes

(1) Includes government-sponsored entities, including $358 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 NAV 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 if applicable, to the extent such amount is not recorded in Accounts payable and accrued liabilities. See Note 13 — 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, 2022, and September 30, 2022, were as follows:

Estimated Values of Financial Instruments Not Recorded at Fair Value (in millions)
									At December 31, 2022												At September 30, 2022
			Valuation Classification						Carrying Amount						Fair Value						Carrying Amount						Fair Value
EnergyRight® receivables, net (including current portion)			Level 2						$	61					$	62					$	62					$	62
Loans and other long-term receivables, net (including current portion)			Level 2						109						100						105						96
EnergyRight® financing obligations (including current portion)			Level 2						72						81						72						81
Unfunded loan commitments			Level 2						—						1						—						—
Membership interests of VIEs subject to mandatory redemption (including current portion)			Level 2						20						22						20						22
Long-term outstanding power bonds, net (including current maturities)			Level 2						17,894						17,790						17,856						18,070
Long-term debt of VIEs, net (including current maturities)			Level 2						1,007						1,009						1,007						989

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The tabular disclosure of the estimated values of financial instruments not recorded at fair value. This disclosure includes the class of financial instrument, valuation classification, carrying amount, and fair value.

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Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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-Topic 820
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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).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
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