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Fair Value Measurements (Tables)

3 Months Ended

Dec. 31, 2023

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)(1) (in millions)
												Three Months Ended December 31
Fund						Financial Statement Presentation						2023						2022
NDT						Regulatory assets(2)						$	197					$	136
ART						Regulatory assets(3)						89						69
SERP						Other income, net						7						3
DCP						Other income, net						1						—

Notes

(1) Employee contributions to the RP began in the second quarter of 2023. As of December 31, 2023, the unrealized gains for the RP were less than $1 million, and therefore were not represented in the table above.

(2) Includes $61 million and $20 million of unrealized gains related to NDT equity securities (excluding commingled funds) for the three months ended December 31, 2023 and 2022, respectively.

(3) Includes $18 million and $10 million of unrealized gains related to ART equity securities (excluding commingled funds) for the three months ended December 31, 2023 and 2022, respectively.

Fair Value Measurements

Fair Value Measurements At December 31, 2023 (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			$	684					$	—					$	—					$	684
Government debt securities(1)			453						69						—						522
Corporate debt securities(2)			—						321						—						321
Mortgage and asset-backed securities			—						37						—						37
Institutional mutual funds			309						—						—						309
Forward debt securities contracts			—						3						—						3
Cash equivalents and other short-term investments			—						163						—						163
Private equity funds measured at net asset value(3)			—						—						—						657
Private real asset funds measured at net asset value(3)			—						—						—						408
Private credit funds measured at net asset value(3)			—						—						—						184
Commingled funds measured at net asset value(3)			—						—						—						1,184
Total investments			1,446						593						—						4,472
Commodity contract derivatives			—						31						—						31
Total			$	1,446					$	624					$	—					$	4,503
			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)			$	—					$	121					$	—					$	121
Interest rate swaps			—						818						—						818
Commodity contract derivatives			—						2						—						2
Commodity derivatives under the FHP			—						309						—						309
Total			$	—					$	1,250					$	—					$	1,250

Notes

(1) Includes securities of government-sponsored entities, including $453 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 or its equivalent (alternative investments) have not been categorized in the fair value hierarchy. The inputs to these fair value measurements include underlying NAVs, discounted cash flow valuations, comparable market valuations, and adjustments for currency, credit, liquidity, and other risks. 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, 2023 (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			$	608					$	—					$	—					$	608
Government debt securities(1)(2)			391						60						—						451
Corporate debt securities(3)			—						300						—						300
Mortgage and asset-backed securities			—						36						—						36
Institutional mutual funds			288						—						—						288
Forward debt securities contracts			—						11						—						11
Cash equivalents and other short-term investments(2)			—						145						—						145
Private equity funds measured at net asset value(4)			—						—						—						583
Private real asset funds measured at net asset value(4)			—						—						—						387
Private credit funds measured at net asset value(4)			—						—						—						158
Commingled funds measured at net asset value(2)(4)			—						—						—						1,156
Total investments			1,287						552						—						4,123
Interest rate swaps			—						4						—						4
Commodity contract derivatives			—						33						—						33
Total			$	1,287					$	589					$	—					$	4,160
			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(5)			$	—					$	141					$	—					$	141
Interest rate swaps			—						662						—						662
Commodity contract derivatives			—						2						—						2
Commodity derivatives under the FHP			—						186						—						186
Total			$	—					$	991					$	—					$	991

Notes

(1) Includes securities of government-sponsored entities, including $391 million of U.S. Treasury securities within Level 1 of the fair value hierarchy.

(2) At September 30, 2023, $104 million previously classified as Level 1 Cash equivalents and other short-term investments have been reclassified to Level 1 Government debt securities to conform with current year presentation. At September 30, 2023, $21 million previously classified as Level 2 Cash equivalents and other short-term investments have been reclassified to Commingled funds measured at net asset value to conform with current year presentation.

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

(4) Certain investments that are measured at fair value using the NAV or its equivalent (alternative investments) have not been categorized in the fair value hierarchy. The inputs to these fair value measurements include underlying NAVs, discounted cash flow valuations, comparable market valuations, and adjustments for currency, credit, liquidity, and other risks. 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.

(5)  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, 2023, and September 30, 2023, were as follows:

Estimated Values of Financial Instruments Not Recorded at Fair Value (in millions)
									At December 31, 2023												At September 30, 2023
			Valuation Classification						Carrying Amount						Fair Value						Carrying Amount						Fair Value
EnergyRight® receivables, net (including current portion)			Level 2						$	59					$	55					$	59					$	55
Loans and other long-term receivables, net (including current portion)			Level 2						105						97						104						96
EnergyRight® financing obligations (including current portion)			Level 2						69						81						69						81
Unfunded loan commitments			Level 2						—						—						—						1
Membership interests of VIEs subject to mandatory redemption (including current portion)			Level 2						18						20						18						19
Long-term outstanding power bonds, net (including current maturities)			Level 2						18,889						19,079						18,866						17,963
Long-term debt of VIEs, net (including current maturities)			Level 2						968						987						968						927

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