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Fair Value Measurements | 12 Months Ended
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Dec. 31, 2023
Fair Value Disclosures [Abstract] |
Fair Value Measurements | FAIR VALUE MEASUREMENTS We utilize several different valuation techniques to measure the fair value of assets and liabilities, relying primarily on the market approach of using prices and other market information for identical and/or comparable assets and liabilities for those items that are measured on a recurring basis. We use a mid-market valuation convention (the mid-point price between bid and ask prices) as a practical expedient to measure fair value for the majority of our assets and liabilities and use valuation techniques to maximize the use of observable inputs and minimize the use of unobservable inputs. Our valuation policies and procedures were developed, maintained and validated by a centralized risk management group that reports to the Vistra Chief Financial Officer. Fair value measurements of derivative assets and liabilities incorporate an adjustment for credit-related nonperformance risk. These nonperformance risk adjustments take into consideration master netting arrangements, credit enhancements and the credit risks associated with our credit standing and the credit standing of our counterparties (see Note 17 for additional information regarding credit risk associated with our derivatives). We utilize credit ratings and default rate factors in calculating these fair value measurement adjustments. We categorize our assets and liabilities recorded at fair value based upon the following fair value hierarchy: •Level 1 valuations use quoted prices in active markets for identical assets or liabilities that are accessible at the measurement date. Our Level 1 assets and liabilities include CME or ICE (electronic commodity derivative exchanges) futures and options transacted through clearing brokers for which prices are actively quoted. We report the fair value of CME and ICE transactions without taking into consideration margin deposits, with the exception of certain margin amounts related to changes in fair value on certain CME transactions that are legally characterized as settlement of derivative contracts rather than collateral. •Level 2 valuations utilize over-the-counter broker quotes, quoted prices for similar assets or liabilities that are corroborated by correlations or other mathematical means, and other valuation inputs such as interest rates and yield curves observable at commonly quoted intervals. We attempt to obtain multiple quotes from brokers that are active in the markets in which we participate and require at least one quote from two brokers to determine a pricing input as observable. The number of broker quotes received for certain pricing inputs varies depending on the depth of the trading market, each individual broker's publication policy, recent trading volume trends and various other factors. •Level 3 valuations use unobservable inputs for the asset or liability. Unobservable inputs are used to the extent observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. We use the most meaningful information available from the market combined with internally developed valuation methodologies to develop our best estimate of fair value. Significant unobservable inputs used in the valuation models include volatility curves, correlation curves, illiquid pricing delivery periods and locations and credit-related nonperformance risk assumptions. These inputs and valuation models are developed and maintained by employees trained and experienced in market operations and fair value measurements and validated by the Company's risk management group. The fair value input hierarchy level to which an asset or liability measurement in its entirety falls is determined based on the lowest level input that is significant to the measurement. Assets and liabilities measured at fair value on a recurring basis consisted of the following at the respective balance sheet dates shown below:
| December 31, 2023 |  | December 31, 2022
| Level 1 |  | Level 2 |  | Level 3 (a) |  | Reclass (b) |  | Total |  | Level 1 |  | Level 2 |  | Level 3 (a) |  | Reclass (b) |  | Total
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commodity contracts | $ | 2,886 |  |  | $ | 628 |  |  | $ | 630 |  |  | $ | 14 |  |  | $ | 4,158 |  |  | $ | 3,512 |  |  | $ | 789 |  |  | $ | 791 |  |  | $ | 13 |  |  | $ | 5,105 |
Interest rate swaps | — |  |  | 64 |  |  | — |  |  | — |  |  | 64 |  |  | — |  |  | 135 |  |  | — |  |  | — |  |  | 135 |
Nuclear decommissioning trust – equity securities (c) | 638 |  |  | — |  |  | — |  |  | — |  |  | 638 |  |  | 532 |  |  | — |  |  | — |  |  | — |  |  | 532 |
Nuclear decommissioning trust – debt securities (c) | — |  |  | 734 |  |  | — |  |  | — |  |  | 734 |  |  | — |  |  | 658 |  |  | — |  |  | — |  |  | 658 |
Sub-total | $ | 3,524 |  |  | $ | 1,426 |  |  | $ | 630 |  |  | $ | 14 |  |  | 5,594 |  |  | $ | 4,044 |  |  | $ | 1,582 |  |  | $ | 791 |  |  | $ | 13 |  |  | 6,430 |
Assets measured at net asset value (d): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Nuclear decommissioning trust – equity securities (c) |  |  |  |  |  |  |  |  | 579 |  |  |  |  |  |  |  |  |  |  | 458 |
Total assets |  |  |  |  |  |  |  |  | $ | 6,173 |  |  |  |  |  |  |  |  |  |  | $ | 6,888 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commodity contracts | $ | 3,815 |  |  | $ | 1,395 |  |  | $ | 1,674 |  |  | $ | 14 |  |  | $ | 6,898 |  |  | $ | 5,297 |  |  | $ | 933 |  |  | $ | 2,010 |  |  | $ | 13 |  |  | $ | 8,253 |
Interest rate swaps | — |  |  | 48 |  |  | — |  |  | — |  |  | 48 |  |  | — |  |  | 83 |  |  | — |  |  | — |  |  | 83 |
Total liabilities | $ | 3,815 |  |  | $ | 1,443 |  |  | $ | 1,674 |  |  | $ | 14 |  |  | $ | 6,946 |  |  | $ | 5,297 |  |  | $ | 1,016 |  |  | $ | 2,010 |  |  | $ | 13 |  |  | $ | 8,336 |
____________ (a)See table below for description of Level 3 assets and liabilities. (b)Fair values for each level are determined on a contract basis, but certain contracts are in both an asset and a liability position. This reclassification represents the adjustment needed to reconcile to the gross amounts presented on our consolidated balance sheet. (c)The nuclear decommissioning trust investment is included in the investments line in our consolidated balance sheets. See Note 22. (d)The fair value amounts presented in this line are intended to permit reconciliation of the fair value hierarchy to the amounts presented in our consolidated balance sheets. Certain investments measured at fair value using the net asset value per share (or its equivalent) have not been classified in the fair value hierarchy. Net asset value as a practical expedient is the classification used for assets that do not have readily determinable fair values. Commodity contracts consist primarily of natural gas, electricity, coal and emissions agreements and include financial instruments entered into for economic hedging purposes as well as physical contracts that have not been designated as NPNS. Interest rate swaps are used to reduce exposure to interest rate changes by converting floating-rate interest to fixed rates. See Note 17 for further discussion regarding derivative instruments. Nuclear decommissioning trust assets represent securities held for the purpose of funding the future retirement and decommissioning of our nuclear generation facility. These investments include equity, debt and other fixed-income securities consistent with investment rules established by the NRC and the PUCT. The following tables present the fair value of the Level 3 assets and liabilities by major contract type and the significant unobservable inputs used in the valuations at December 31, 2023 and 2022:
December 31, 2023
|  | Fair Value |  |  |  |  |  |  |  |  |  |
Contract Type (a) |  | Assets |  | Liabilities |  | Total |  | Valuation Technique |  | Significant Unobservable Input |  | Range (b) |  | Average (b)
Electricity purchases and sales |  | $ | 449 |  |  | $ | (1,273) |  |  | $ | (824) |  |  | Income Approach |  | Hourly price curve shape (c) |  | $ | — |  | to | $ | 85 |  |  | $ | 44 |
|  |  |  |  |  |  |  |  | MWh
|  |  |  |  |  |  |  |  |  | Illiquid delivery periods for hub power prices and Heat Rates (d) |  | $ | 30 |  | to | $ | 110 |  |  | $ | 71 |
|  |  |  |  |  |  |  |  |  |  | MWh
Options |  | 1 |  |  | (237) |  |  | (236) |  |  | Option Pricing Model |  | Natural gas to power correlation (e) |  | 10 | % | to | 100 | % |  | 55 | %
|  |  |  |  |  |  |  | Power and natural gas volatility (e) |  | 10 | % | to | 870 | % |  | 441 | %
Financial transmission rights |  | 157 |  |  | (34) |  |  | 123 |  |  | Market Approach (f) |  | Illiquid price differences between settlement points (g) |  | $ | (85) |  | to | $ | 25 |  |  | $ | (30) |
|  |  |  |  |  |  |  |  | MWh
Natural gas |  | 9 |  |  | (112) |  |  | (103) |  |  | Income Approach |  | Natural gas basis (h) |  | $ | — |  | to | $ | 15 |  |  | $ | 6 |
|  |  |  |  |  |  |  |  | MMBtu
|  |  |  |  |  |  |  |  | Illiquid delivery periods (i) |  | $ | — |  | to | $ | 5 |  |  | $ | 4 |
|  |  |  |  |  |  |  |  |  |  |  | MMBtu
Other (j) |  | 14 |  |  | (18) |  |  | (4) |  |  |  |  |  |  |  |  |  |  |
Total |  | $ | 630 |  |  | $ | (1,674) |  |  | $ | (1,044) |  |  |  |  |  |  |  |  |  |  |
December 31, 2022
|  | Fair Value |  |  |  |  |  |  |  |  |  |
Contract Type (a) |  | Assets |  | Liabilities |  | Total |  | Valuation Technique |  | Significant Unobservable Input |  | Range (b) |  | Average (b)
Electricity purchases and sales |  | $ | 603 |  |  | $ | (1,332) |  |  | $ | (729) |  |  | Income Approach |  | Hourly price curve shape (c) |  | $ | — |  | to | $ | 80 |  |  | $ | 38 |
|  |  |  |  |  |  |  |  | MWh |  |
|  |  |  |  |  |  |  |  |  | Illiquid delivery periods for hub power prices and Heat Rates (d) |  | $ | 25 |  | to | $ | 95 |  |  | $ | 60 |
|  |  |  |  |  |  |  |  |  |  | MWh |  |
Options |  | — |  |  | (483) |  |  | (483) |  |  | Option Pricing Model |  | Natural gas to power correlation (e) |  | 10 | % | to | 100 | % |  | 56 | %
|  |  |  |  |  |  |  | Power and natural gas volatility (e) |  | 5 | % | to | 620 | % |  | 313 | %
Financial transmission rights |  | 132 |  |  | (31) |  |  | 101 |  |  | Market Approach (f) |  | Illiquid price differences between settlement points (g) |  | $ | (35) |  | to | $ | 10 |  |  | $ | (11) |
|  |  |  |  |  |  |  |  | MWh |  |
Natural gas |  | 20 |  |  | (155) |  |  | (135) |  |  | Income Approach |  | Natural gas basis (h) |  | $ | — |  | to | $ | 30 |  |  | $ | 13 |
|  |  |  |  |  |  |  |  | MMBtu
Other (j) |  | 36 |  |  | (9) |  |  | 27 |  |  |  |  |  |  |  |  |  |  |
Total |  | $ | 791 |  |  | $ | (2,010) |  |  | $ | (1,219) |  |  |  |  |  |  |  |  |  |  |
____________ (a)Electricity purchase and sales contracts include power and Heat Rate positions in ERCOT, PJM, ISO-NE, NYISO, MISO and CAISO regions. The forward purchase contracts (swaps and options) used to hedge electricity price differences between settlement points are referred to as congestion revenue rights (CRRs) in ERCOT and financial transmission rights (FTRs) in PJM, ISO-NE, NYISO and MISO regions. Natural gas includes swaps and forward contracts. Options consist of physical electricity options, spread options and natural gas options. (b)The range of the inputs may be influenced by factors such as time of day, delivery period, season and location. The average represents the arithmetic average of the underlying inputs and is not weighted by the related fair value or notional amount. (c)Primarily based on the historical range of forward average hourly ERCOT North Hub and ERCOT South and West Zone prices. (d)Primarily based on historical forward ERCOT and PJM power prices and ERCOT Heat Rate variability. (e)Primarily based on the historical forward correlation and volatility within ERCOT and PJM. (f)While we use the market approach, there is insufficient market data to consider the valuation liquid. (g)Primarily based on the historical price differences between settlement points within ERCOT hubs and load zones. (h)Primarily based on the historical forward PJM and Northeast natural gas basis prices and fixed prices. (i)Primarily based on the historical forward natural gas fixed prices. (j)Other includes contracts for coal and environmental allowances. There were no transfers between Level 1 and Level 2 of the fair value hierarchy for the years ended December 31, 2023, 2022 and 2021. See the table below for discussion of transfers between Level 2 and Level 3 for the years ended December 31, 2023, 2022 and 2021. The following table presents the changes in fair value of the Level 3 assets and liabilities for the years ended December 31, 2023, 2022 and 2021.
| Year Ended December 31,
| 2023 |  | 2022 |  | 2021
Net asset (liability) balance at beginning of period | $ | (1,219) |  |  | $ | (360) |  |  | $ | 22 |
Total unrealized valuation losses | (765) |  |  | (1,382) |  |  | (53) |
Purchases, issuances and settlements (a): |  |  |  |  |
Purchases | 222 |  |  | 185 |  |  | 114 |
Issuances | (30) |  |  | (62) |  |  | (36) |
Settlements | 136 |  |  | 345 |  |  | (314) |
Transfers into Level 3 (b) | (48) |  |  | (30) |  |  | (2) |
Transfers out of Level 3 (b) | 660 |  |  | 85 |  |  | (91) |
Net change (c) | 175 |  |  | (859) |  |  | (382) |
Net (liability) balance at end of period | $ | (1,044) |  |  | $ | (1,219) |  |  | $ | (360) |
Unrealized valuation losses relating to instruments held at end of period | $ | (676) |  |  | $ | (977) |  |  | $ | (364) |
____________ (a)Settlements reflect reversals of unrealized mark-to-market valuations previously recognized in net income. Purchases and issuances reflect option premiums paid or received, including CRRs and FTRs. (b)Includes transfers due to changes in the observability of significant inputs. All Level 3 transfers during the periods presented are in and out of Level 2. For the year ended December 31, 2023, transfers into Level 3 primarily consist of power derivatives where forward pricing inputs have become unobservable and transfers out of Level 3 primarily consist of power and coal derivatives where forward pricing inputs have become observable. For the year ended December 31, 2022, transfers into Level 3 primarily consist of power and coal derivatives where forward pricing inputs have become unobservable and transfers out of Level 3 primarily consist of power, natural gas, and coal derivatives where forward pricing inputs have become observable. (c)Activity excludes change in fair value in the month positions settle. Substantially all changes in values of commodity contracts are reported as operating revenues in our consolidated statements of operations.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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