Company: TVC
Filing Date: 2025-02-05
Form Type: 10-Q
Source: 0001376986-25-000011
Chunk: 248

Company: Tennessee Valley Authority
Filing Date: 2025-02-05
Form: 10-Q
Item: Part II, Item 3
Chunk 248
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 TVA (for liabilities) and the counterparty (for assets), by applying credit valuation adjustments ("CVAs").  TVA determines an appropriate CVA for each applicable financial instrument based on the term of the instrument and TVA's or the counterparty's credit rating as obtained from Moody's.  For companies that do not have an observable credit rating, TVA uses internal analysis to assign a comparable rating to the counterparty.  TVA discounts each financial instrument using the historical default rate (as reported by Moody's for CY 1983 to CY 2023) for companies with a similar credit rating over a time period consistent with the remaining term of the contract.  The application of CVAs resulted in a less than $1 million decrease in the fair value of assets and a less than $1 million decrease in the fair value of liabilities at December 31, 2024.

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Fair Value MeasurementsThe following tables set forth by level, within the fair value hierarchy, TVA's financial assets and liabilities that were measured at fair value on a recurring basis at December 31, 2024, and September 30, 2024.  Financial assets and liabilities have been classified in their entirety based on the lowest level of input that is significant to the fair value measurement.  TVA's assessment of the significance of a particular input to the fair value measurement requires judgment and may affect the determination of the fair value of the assets and liabilities and their classification in the fair value hierarchy levels.Fair Value MeasurementsAt December 31, 2024(in millions)Quoted Prices in Active Markets forIdentical Assets(Level 1)Significant OtherObservable Inputs(Level 2)SignificantUnobservableInputs(Level 3)TotalAssetsInvestments    Equity securities$704 $— $— $704 Government debt securities(1)(2)398 56 — 454 Corporate debt securities(3)— 378 — 378 Mortgage and asset-backed securities— 41 — 41 Institutional mutual funds337 — — 337 Forward debt securities contracts— 9 — 9 Cash equivalents and other short-term investments(2)(4)49 215 — 264 Private equity funds measured at net asset value(5)— — — 765 Private real asset funds measured at net asset value(5)— — — 441 Private credit funds measured at net asset value(5)— —