Company: TVC
Filing Date: 2025-02-05
Form Type: 10-Q
Source: 0001376986-25-000011
Chunk: 300

Company: Tennessee Valley Authority
Filing Date: 2025-02-05
Form: 10-Q
Item: Part II, Item 5
Chunk 300
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 Balance Sheets, and realized gains and losses, if any, are included on TVA's Consolidated Statements of Operations.  For the three months ended December 31, 2024 and the three months ended December 31, 2023, the changes in fair market value of the interest rate swaps resulted in the reduction in unrealized losses of $177 million and the increase in unrealized losses of $189 million, respectively.  TVA may hold short-term debt balances lower than the notional amount of the interest rate swaps from time to time due to changes in business conditions and other factors.  While actual balances vary, TVA generally plans to maintain average balances of short-term debt equal to or in excess of the combined notional amount of the interest rate swaps.    Commodity Derivatives.  TVA enters into certain derivative contracts for natural gas that require physical delivery of the contracted quantity of the commodity.  TVA may also enter into power purchase agreements ("PPAs") that provide an option to financially settle contracted power deliveries.  This option creates an embedded derivative in the hosting PPA.  TVA marks to market these contracts and defers the unrealized gains (losses) as regulatory liabilities (assets).  At December 31, 2024, TVA's natural gas contract derivatives had terms of up to 11 years.Commodity Contract Derivatives  At December 31, 2024At September 30, 2024 Number of ContractsNotional AmountFair Value (MtM)(in millions)Number of ContractsNotional AmountFair Value (MtM)(in millions)Natural gas contract derivatives51508 million mmBtu$6 45321 million mmBtu$2 Commodity Derivatives under the FHP.  Currently, TVA is hedging exposure to the price of natural gas under the FHP.  There is no Value at Risk aggregate transaction limit under the current FHP structure, but the TVA Board reviews and authorizes the use of tolerances and measures annually.  TVA's FHP policy prohibits trading financial instruments under the FHP for speculative purposes.  At December 31, 2024, TVA's natural gas swap contracts under the FHP had remaining terms of up to three years.Commodity Derivatives under Financial Hedging Program(1)At December 31, 2024At September 30, 2024Number of ContractsNotional AmountFair Value (MtM)(in millions)Number of