Company: TVC
Filing Date: 2025-11-13
Form Type: 10-K
Source: 0001376986-25-000056
Chunk: 462

Company: Tennessee Valley Authority
Filing Date: 2025-11-13
Form: 10-K
Item: Item 7
Chunk 462
---
 initial purchase of properties and at three-year intervals thereafter.  All appraisals are conducted by third-party timberland appraisal firms.  Appraisals are based on either a sales comparison analysis or a discounted cash flow analysis. 

    Securities Lending Collateral.  Collateral held under securities lending arrangements is invested in highly liquid short-term securities, primarily repurchase agreements.  The securities are often priced at cost, which approximates fair value due to the short-term nature of the instruments.  These securities are classified as Level 2.

     Derivatives.  The pension plan invests in a variety of derivative instruments.  The valuation methodologies for these instruments are as follows:

     Futures.  The pension plan enters into futures.  The futures contracts are listed on either a national or foreign securities exchange and are generally valued each business day at the official closing price (typically the last reported sales price) on the exchange on which the security is primarily traded.  The pricing is performed by third-party vendors.  Since futures are priced by an exchange in an active market, they are classified as Level 1. 

142

    Options.  The pension plan enters into purchased and written options.  Options that are listed on either a national or foreign securities exchange are generally valued each business day at the official closing price (typically the last reported sales price) on the exchange on which the security is primarily traded.  These options are classified as Level 1.  Options traded over the counter and not on exchanges are priced by third-party vendors and are classified as Level 2.  

    Swaps.  The pension plan enters into various types of swaps.  Credit default swaps are priced at market using models that consider cash flows, credit curves, recovery rates, and other factors.  The pricing is performed by third-party vendors, and in some cases by clearing exchanges.  Interest rate swap contracts are priced at market using forward rates derived from the swap curve, and the pricing is also performed by third-party vendors, and in some cases by clearing exchanges.  Other swaps such as equity index swaps and variance swaps are priced by third-party vendors using market inputs such as spot rates, yield curves, and volatility.  The pension plan's swaps are generally classified as Level 2 based on the observable nature of their pricing inputs. 

    Foreign currency forwards.  The pension plan enters into foreign currency forwards.  All commitments are marked to market daily at the applicable translation rates, and any resulting unreal