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Fair Value Measurements
 12 Months Ended
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, 2023December 31, 2022
Level
1		Level
2		Level
3 (a)		Reclass (b)TotalLevel
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)AssetsLiabilitiesTotalValuation TechniqueSignificant Unobservable InputRange (b)Average (b)
Electricity purchases and sales$449 $(1,273)$(824)Income ApproachHourly price curve shape (c)$— to$85 $44 
MWh
Illiquid delivery periods for hub power prices and Heat Rates (d)
$30 to$110 $71 
MWh
Options1 (237)(236)Option Pricing Model
Natural gas to power correlation (e)
10 %to100 %55 %
Power and natural gas volatility (e)
10 %to870 %441 %
Financial transmission rights157 (34)123 Market Approach (f)Illiquid price differences between settlement points (g)$(85)to$25 $(30)
MWh
Natural gas9 (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)AssetsLiabilitiesTotalValuation TechniqueSignificant Unobservable InputRange (b)Average (b)
Electricity purchases and sales$603 $(1,332)$(729)Income ApproachHourly price curve shape (c)$— to$80 $38 
MWh
Illiquid delivery periods for hub power prices and Heat Rates (d)
$25 to$95 $60 
MWh
Options— (483)(483)Option Pricing Model
Natural gas to power correlation (e)
10 %to100 %56 %
Power and natural gas volatility (e)
5 %to620 %313 %
Financial transmission rights132 (31)101 Market Approach (f)Illiquid price differences between settlement points (g)$(35)to$10 $(11)
MWh
Natural gas20 (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,
202320222021
Net asset (liability) balance at beginning of period$(1,219)$(360)$22 
Total unrealized valuation losses(765)(1,382)(53)
Purchases, issuances and settlements (a):
Purchases222 185 114 
Issuances(30)(62)(36)
Settlements136 345 (314)
Transfers into Level 3 (b)(48)(30)(2)
Transfers out of Level 3 (b)660 85 (91)
Net change (c)175 (859)(382)
Net (liability) balance at end of period$(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.