Company: TVC
Filing Date: 2025-11-13
Form Type: 10-K
Source: 0001376986-25-000056
Chunk: 171

Company: Tennessee Valley Authority
Filing Date: 2025-11-13
Form: 10-K
Item: Item 8
Chunk 171
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-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 quotes from the To Be Announced ("TBA") market, which is highly liquid with multiple electronic platforms that facilitate the execution of trading between investors and broker/dealers.  Prices from the TBA market are then compared against other live data feeds as well as input obtained directly from the dealer community.  Most residential mortgage-backed securities are considered to be priced using Level 2 inputs because of the nature of their market-data-based pricing models.  Certain securities priced by vendors using a single broker quote or unobservable inputs have been classified as Level 3.

Commercial mortgage-backed and asset-backed securities are typically priced based on a single-cash-flow stream model, which incorporates available market data such as trade information, dealer quotes, market color, spreads, bids, and offers.  Because of the market-data-based nature of such pricing models, these securities are typically classified as Level 2.  Certain securities priced by investment managers using broker pricing or unobservable inputs have been classified as Level 3.

    Debt Securities Issued by U.S. Treasury.  For U.S. Treasury securities, fair values reflect the closing price reported in the active market in which the security is traded (Level 1 inputs). 

    Debt Securities Issued by Foreign Governments.  Foreign government bonds and foreign government inflation-linked securities are typically priced based on proprietary discounted cash flow models, incorporating option-adjusted spread features 

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as appropriate.  Debt securities issued by foreign governments are classified as Level 2 because of the nature of their market-data-based pricing models.

    Debt Securities Issued by State and Local Governments.  Debt securities issued by state and local governments are typically priced using market-data-based pricing models, and are therefore classified as Level 2.  These pricing models incorporate market data such as quotes, trading levels, spread relationships, and yield curves, as applicable.  

    Commingled Funds.  The pension plan