Company: TVC
Filing Date: 2025-05-01
Form Type: 10-Q
Source: 0001376986-25-000029
Chunk: 231

Company: Tennessee Valley Authority
Filing Date: 2025-05-01
Form: 10-Q
Item: Part I, Item 1
Chunk 231
---
 commingled funds) for the six months ended March 31, 2025 and  2024, respectively.(3)  Includes $6 million of unrealized losses and $8 million of unrealized gains related to ART equity securities (excluding commingled funds) for the three months ended March 31, 2025 and 2024, respectively.  Includes $14 million of unrealized losses and $24 million of unrealized gains related to ART equity securities (excluding commingled funds) for the six months ended March 31, 2025 and  2024, respectively.

30

Table of Contents                               Draft 4.0                    04/24/2025 5:00 PM

Currency and Interest Rate Swap DerivativesSee Note 14 — Risk Management Activities and Derivative Transactions — Cash Flow Hedging Strategy for Currency Swaps and Derivatives Not Receiving Hedge Accounting Treatment for a discussion of the nature, purpose, and contingent features of TVA's currency swaps and interest rate swaps.  These swaps are classified as Level 2 valuations and are valued based on income approaches using observable market inputs for similar instruments.Commodity Contract Derivatives and Commodity Derivatives under the FHPCommodity Contract Derivatives.  Most of these derivative contracts are valued based on market approaches, which utilize short-term and mid-term market-quoted prices from an external industry brokerage service.  These contracts are classified as Level 2 valuations.  Commodity Derivatives under the FHP.  Swap contracts are valued using a pricing model based on New York Mercantile Exchange inputs and are subject to nonperformance risk outside of the exit price.  These contracts are classified as Level 2 valuations.See Note 14 — Risk Management Activities and Derivative Transactions — Derivatives Not Receiving Hedge Accounting Treatment — Commodity Derivatives and — Commodity Derivatives under the FHP.Nonperformance RiskThe assessment of nonperformance risk, which includes credit risk, considers changes in current market conditions, readily available information on nonperformance risk, letters of credit, collateral, other arrangements available, and the nature of master netting arrangements.  TVA is a counterparty to currency swaps, interest rate swaps, commodity contracts, and other derivatives which subject TVA to nonperformance risk.  Nonperformance risk on the majority of investments and certain exchange-traded instruments held by TVA is incorporated into the exit price that is derived from quoted market