Company: TVC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001376986-25-000044
Chunk: 439

Company: Tennessee Valley Authority
Filing Date: 2025-07-29
Form: 10-Q
Item: Part II, Item 5
Chunk 439
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 discounts each financial instrument using the historical default rate (as reported by Moody's for CY 1983 to CY 2024) 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 no change in the fair value of assets and a less than $3 million decrease in the fair value of liabilities at June 30, 2025.

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Table of Contents                               Draft 4.0                    07/24/2025 5:00 PM

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 June 30, 2025, 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 June 30, 2025(in millions)Quoted Prices in Active Markets forIdentical Assets(Level 1)Significant OtherObservable Inputs(Level 2)SignificantUnobservableInputs(Level 3)TotalAssetsInvestments    Equity securities$736 $— $— $736 Government debt securities(1)(2)408 44 — 452 Corporate debt securities(3)— 379 — 379 Mortgage and asset-backed securities— 35 — 35 Institutional mutual funds352 — — 352 Forward debt securities contracts— 18 — 18 Cash equivalents and other short-term investments(2)(4)48 202 — 250 Private equity funds measured at net asset value(5)— — — 868 Private real asset funds measured at net asset value(5)— — — 474 Private credit funds measured at net asset value(5)— — — 267 Commingled funds measured at net asset value(5)— — — 1,446 Total investments1,544 678 — 5,277 Commodity contract derivatives— 6 — 6 Commodity derivatives under the FHP— 24 — 24