Company: TVC
Filing Date: 2025-11-13
Form Type: 10-K
Source: 0001376986-25-000056
Chunk: 281

Company: Tennessee Valley Authority
Filing Date: 2025-11-13
Form: 10-K
Item: Item 1
Chunk 281
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The following descriptions of the valuation methods and assumptions used by the pension plan to estimate the fair value of investments apply to investments held directly by the pension plan.  Third-party pricing vendors provide valuations for investments held by the pension plan in most instances, except for commingled, private credit, private equity, and private real asset funds which are priced at NAVs established by the investment managers.  In instances where pricing is determined to be based on unobservable inputs, a Level 3 classification has been assigned.  Certain securities priced by the investment manager using a proprietary fair value model with unobservable inputs have been classified as Level 3.

    Equity and Preferred Securities.  Investments listed on either a national or foreign securities exchange or traded in the over-the-counter National Market System are generally valued each business day at the official closing price (typically the last reported sale price) on the exchange on which the security is primarily traded and are classified as Level 1.  Equity securities, including common stocks and preferred securities, classified as Level 2 may have been priced by dealer quote or using assumptions based on observable market data, such as yields on bonds from the same issuer or industry.  Certain securities priced by the investment manager using unobservable inputs have been classified as Level 3.

    Corporate Debt Securities.  Corporate bonds are valued based upon recent bid prices or the average of recent bid and asked prices when available (Level 2 inputs) and, if not available, they are valued through matrix pricing models.  Matrix pricing, which is a mathematical technique commonly used to price debt securities that are not actively traded, values debt securities without relying exclusively on quoted prices for the specific securities but rather by relying on the securities' relationship to other benchmark quoted securities (Level 2 inputs).  Certain securities priced by the investment manager using broker pricing or unobservable inputs have been classified as Level 3.

    Mortgage and Asset-Backed Securities.  Residential mortgage-backed securities consist of collateralized mortgage obligations ("CMOs") and U.S. pass-through security pools related to government-sponsored enterprises.  CMO pricing is typically based on either a volatility-driven, multidimensional, single-cash-flow stream model or an option-adjusted spread model.  These models incorporate available market data such as trade information, dealer quotes, market color, spreads, bids, and offers.  Pricing for government-sponsored enterprise securities, including the Federal Home Loan Mortgage Corporation, the Federal National Mortgage Association, and the Government National Mortgage Association, is typically based on