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Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2018

Fair Value Disclosures [Abstract]

Estimated carrying amounts and fair values of NRG's recorded financial instruments not carried at fair market value

The estimated carrying amounts and fair values of NRG's recorded financial instruments not carried at fair market value are as follows:

	As of September 30, 2018								As of December 31, 2017
	Carrying Amount				Fair Value				Carrying Amount				Fair Value
	(In millions)
Assets:
Notes receivable (a)	$	11			$	8			$	2			$	2
Liabilities:
Long-term debt, including current portion (b)	7,331				7,653				9,482				9,739

(a) Includes the current portion of notes receivable which is recorded in prepayments and other current assets on the Company's consolidated balance sheets.

(b) Excludes deferred financing costs, which are recorded as a reduction to long-term debt on the Company's consolidated balance sheets.

The following table presents the level within the fair value hierarchy for long-term debt, including current portion as of September 30, 2018 and December 31, 2017:

	As of September 30, 2018								As of December 31, 2017
	Level 2				Level 3				Level 2				Level 3
	(In millions)
Long-term debt, including current portion	$	7,385			$	268			$	7,432			$	2,307

Assets and liabilities measured and recorded at fair value on the consolidated balance sheets on a recurring basis

The following tables present assets and liabilities measured and recorded at fair value on the Company's condensed consolidated balance sheets on a recurring basis and their level within the fair value hierarchy:

	As of September 30, 2018
	Fair Value
(In millions)	Total				Level 1				Level 2				Level 3
Investments in securities (classified within other non-current assets)	$	21			$	2			$	—			$	19
Nuclear trust fund investments:
Cash and cash equivalents	21				21				—				—
U.S. government and federal agency obligations	41				41				—				—
Federal agency mortgage-backed securities	88				—				88				—
Commercial mortgage-backed securities	19				—				19				—
Corporate debt securities	112				—				112				—
Equity securities	368				368				—				—
Foreign government fixed income securities	4				—				4				—
Other trust fund investments:
U.S. government and federal agency obligations	1				1				—				—
Derivative assets:
Commodity contracts	1,022				210				743				69
Interest rate contracts	53				—				53				—
Measured using net asset value practical expedient:
Equity securities — nuclear trust fund investments	66
Total assets	$	1,816			$	643			$	1,019			$	88
Derivative liabilities:
Commodity contracts	905				271				552				82
Interest rate contracts	2				—				2				—
Total liabilities	$	907			$	271			$	554			$	82

	As of December 31, 2017
	Fair Value
(In millions)	Total				Level 1				Level 2				Level 3
Investments in securities (classified within other non-current assets)	$	22			$	3			$	—			$	19
Nuclear trust fund investments:
Cash and cash equivalents	47				45				2				—
U.S. government and federal agency obligations	43				42				1				—
Federal agency mortgage-backed securities	82				—				82				—
Commercial mortgage-backed securities	14				—				14				—
Corporate debt securities	99				—				99				—
Equity securities	334				334				—				—
Foreign government fixed income securities	5				—				5				—
Other trust fund investments:
U.S. government and federal agency obligations	1				1				—				—
Derivative assets:
Commodity contracts	744				191				509				44
Interest rate contracts	39				—				39				—
Measured using net asset value practical expedient:
Equity securities — nuclear trust fund investments	68
Total assets	$	1,498			$	616			$	751			$	63
Derivative liabilities:
Commodity contracts	674				257				358				59
Interest rate contracts	6				—				6				—
Total liabilities	$	680			$	257			$	364			$	59

Reconciliation of beginning and ending balances for financial instruments that are recognized at fair value in the consolidated financial statements at least annually using significant unobservable inputs

The following tables reconcile, for the three and nine months ended September 30, 2018 and 2017, the beginning and ending balances for financial instruments that are recognized at fair value in the condensed consolidated financial statements, at least annually, using significant unobservable inputs:

	Fair Value Measurement Using Significant Unobservable Inputs (Level 3)
	Three months ended September 30, 2018												Nine months ended September 30, 2018
(In millions)	Debt Securities				Derivatives(a)				Total				Debt Securities				Derivatives(a)				Total
Beginning balance	$	19			$	174			$	193			$	19			$	(15	)		$	4
Contracts acquired in Xoom acquisition	—				—				—				—				12				12
Total losses — realized/unrealized included in earnings	—				—				—				—				(15		)		(15		)
Purchases	—				12				12				—				9				9
Transfers into Level 3 (b)	—				(201		)		(201		)		—				(4		)		(4		)
Transfers out of Level 3 (b)	—				2				2				—				—				—
Ending balance as of September 30, 2018	$	19			$	(13	)		$	6			$	19			$	(13	)		$	6
Losses for the period included in earnings attributable to the change in unrealized gains or losses relating to assets or liabilities still held as of September 30, 2018	—				(3		)		(3		)		—				(18		)		(18		)

(a) Consists of derivative assets and liabilities, net.

(b) Transfers into/out of Level 3 are related to the availability of external broker quotes and are valued as of the end of the reporting period. All transfers in/out are with Level 2.

	Fair Value Measurement Using Significant Unobservable Inputs (Level 3)
	Three months ended September 30, 2017												Nine months ended September 30, 2017
(In millions)	Debt Securities				Derivatives(a)				Total				Debt Securities				Derivatives(a)				Total
Beginning balance	$	18			$	(9	)		$	9			$	17			$	(64	)		$	(47	)
Total gains/(losses) — realized/unrealized included in earnings	1				(32		)		(31		)		2				12				14
Purchases	—				(9		)		(9		)		—				—				—
Transfers into Level 3 (b)	—				(7		)		(7		)		—				(11		)		(11		)
Transfers out of Level 3 (b)	—				7				7				—				13				13
Ending balance as of September 30, 2017	$	19			$	(50	)		$	(31	)		$	19			$	(50	)		$	(31	)
Losses for the period included in earnings attributable to the change in unrealized gains or losses relating to assets or liabilities still held as of September 30, 2017	—				(16		)		(16		)		—				(12		)		(12		)

(a) Consists of derivative assets and liabilities, net.

(b) Transfers into/out of Level 3 are related to the availability of external broker quotes and are valued as of the end of the reporting period. All transfers in/out are with Level 2.

Significant unobservable inputs used developing fair values, Quantitative Information

The following tables quantify the significant unobservable inputs used in developing the fair value of the Company's Level 3 positions as of September 30, 2018 and December 31, 2017:

	Significant Unobservable Inputs
	September 30, 2018
	Fair Value												Input/Range
	Assets				Liabilities				Valuation Technique		Significant Unobservable Input		Low				High				Weighted Average
	(In millions)
Power Contracts	$	44			$	68			Discounted Cash Flow		Forward Market Price (per MWh)		$	2			$	197			$	23
FTRs	25				14				Discounted Cash Flow		Auction Prices (per MWh)		(90		)		86				—
	$	69			$	82

	Significant Unobservable Inputs
	December 31, 2017
	Fair Value												Input/Range
	Assets				Liabilities				Valuation Technique		Significant Unobservable Input		Low				High				Weighted Average
	(In millions)
Power Contracts	$	33			$	47			Discounted Cash Flow		Forward Market Price (per MWh)		$	10			$	142			$	24
FTRs	11				12				Discounted Cash Flow		Auction Prices (per MWh)		(28		)		46				—
	$	44			$	59

Fair value inputs, sensitivity analysis

The following table provides sensitivity of fair value measurements to increases/(decreases) in significant unobservable inputs as of September 30, 2018 and December 31, 2017:

Significant Unobservable Input		Position		Change In Input		Impact on Fair Value Measurement
Forward Market Price Power		Buy		Increase/(Decrease)		Higher/(Lower)
Forward Market Price Power		Sell		Increase/(Decrease)		Lower/(Higher)
FTR Prices		Buy		Increase/(Decrease)		Higher/(Lower)
FTR Prices		Sell		Increase/(Decrease)		Lower/(Higher)

Net counterparty credit exposure by industry sector and by counterparty credit quality

The following tables highlight net counterparty credit exposure by industry sector and by counterparty credit quality. Net counterparty credit exposure is defined as the aggregate net asset position for NRG with counterparties where netting is permitted under the enabling agreement and includes all cash flow, mark-to-market and NPNS, and non-derivative transactions. The exposure is shown net of collateral held, and includes amounts net of receivables or payables.

	Net Exposure (a) (b)
Category by Industry Sector	(% of Total)
Utilities, energy merchants, marketers and other	83	%
Financial institutions	17
Total as of September 30, 2018	100	%

	Net Exposure (a) (b)
Category by Counterparty Credit Quality	(% of Total)
Investment grade	59	%
Non-Investment grade/Non-Rated	41
Total as of September 30, 2018	100	%

(a) Counterparty credit exposure excludes uranium and coal transportation contracts because of the unavailability of market prices.

(b) The figures in the tables above exclude potential counterparty credit exposure related to RTOs, ISOs, registered commodity exchanges and certain long term contracts.

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Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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