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Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2019

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 March 31, 2019								As of December 31, 2018
	Carrying Amount				Fair Value				Carrying Amount				Fair Value
	(In millions)
Assets:
Notes receivable	$	17			$	14			$	17			$	14
Liabilities:
Long-term debt, including current portion (a)	6,558				6,971				6,591				6,697

(a) 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 March 31, 2019 and December 31, 2018:

	As of March 31, 2019								As of December 31, 2018
	Level 2				Level 3				Level 2				Level 3
	(In millions)
Long-term debt, including current portion	$	6,834			$	137			$	6,528			$	169

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 March 31, 2019
(In millions)	Total				Level 1				Level 2				Level 3
Investments in securities (classified within other current and non-current assets)	$	37			$	1			$	18			$	18
Nuclear trust fund investments:
Cash and cash equivalents	15				15				—				—
U.S. government and federal agency obligations	50				50				—				—
Federal agency mortgage-backed securities	96				—				96				—
Commercial mortgage-backed securities	29				—				29				—
Corporate debt securities	100				—				100				—
Equity securities	354				354				—				—
Foreign government fixed income securities	4				—				4				—
Other trust fund investments:
U.S. government and federal agency obligations	1				1				—				—
Derivative assets:
Commodity contracts	929				45				769				115
Interest rate contracts	29				—				29				—
Measured using net asset value practical expedient:
Equity securities — nuclear trust fund investments	70
Equity securities	9
Total assets	$	1,723			$	466			$	1,045			$	133
Derivative liabilities:
Commodity contracts	$	839			$	107			$	615			$	117
Total liabilities	$	839			$	107			$	615			$	117

	As of December 31, 2018
(In millions)	Total				Level 1				Level 2				Level 3
Investments in securities (classified within other current and non-current assets)	$	39			$	2			$	18			$	19
Nuclear trust fund investments:
Cash and cash equivalents	19				19				—				—
U.S. government and federal agency obligations	46				46				—				—
Federal agency mortgage-backed securities	100				—				100				—
Commercial mortgage-backed securities	22				—				22				—
Corporate debt securities	96				—				96				—
Equity securities	312				312				—				—
Foreign government fixed income securities	4				—				4				—
Other trust fund investments:
U.S. government and federal agency obligations	1				1				—				—
Derivative assets:
Commodity contracts	1,042				137				796				109
Interest rate contracts	39				—				39				—
Measured using net asset value practical expedient:
Equity securities — nuclear trust fund investments	64
Equity securities	8
Total assets	$	1,792			$	517			$	1,075			$	128
Derivative liabilities:
Commodity contracts	$	977			$	224			$	664			$	89
Total liabilities	$	977			$	224			$	664			$	89

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

There were no transfers during the three months ended March 31, 2019 and 2018 between Levels 1 and 2. The following tables reconcile, for the three months ended March 31, 2019 and 2018, 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 March 31, 2019
(In millions)	Debt Securities				Derivatives(a)				Total
Beginning balance as of January 1, 2019	$	19			$	20			$	39
Total losses — realized/unrealized included in earnings	—				(10		)		(10		)
Cash received	(1		)		—				(1		)
Purchases	—				(2		)		(2		)
Transfers into Level 3(b)	—				17				17
Transfers out of Level 3(b)	—				(27		)		(27		)
Ending balance as of March 31, 2019	$	18			$	(2	)		$	16
(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 March 31, 2019	$	—			$	(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

	Fair Value Measurement Using Significant Unobservable Inputs (Level 3)
	Three months ended March 31, 2018
(In millions)	Debt Securities				Derivatives(a)				Total
Beginning balance as of January 1, 2018	$	19			$	(15	)		$	4
Total gains — realized/unrealized included in earnings	—				11				11
Purchases	—				1				1
Transfers into Level 3(b)	—				4				4
Transfers out of Level 3(b)	—				4				4
Ending balance as of March 31, 2018	$	19			$	5			$	24
Gains for the period included in earnings attributable to the change in unrealized gains or losses relating to assets or liabilities still held as of March 31, 2018	$	—			$	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 March 31, 2019 and December 31, 2018:

	March 31, 2019
	Fair Value												Input/Range
	Assets				Liabilities				Valuation Technique		Significant Unobservable Input		Low			High				Weighted Average
	(In millions)
Power Contracts	$	89			$	104			Discounted Cash Flow		Forward Market Price (per MWh)		0			$	253			$	28
FTRs	26				13				Discounted Cash Flow		Auction Prices (per MWh)		(42	)		38				0
	$	115			$	117

	December 31, 2018
	Fair Value												Input/Range
	Assets				Liabilities				Valuation Technique		Significant Unobservable Input		Low				High				Weighted Average
	(In millions)
Power Contracts	$	89			$	75			Discounted Cash Flow		Forward Market Price (per MWh)		$	1			$	214			$	31
FTRs	20				14				Discounted Cash Flow		Auction Prices (per MWh)		(90		)		34				0
	$	109			$	89

Fair value inputs, sensitivity analysis

The following table provides sensitivity of fair value measurements to increases/(decreases) in significant unobservable inputs as of March 31, 2019 and December 31, 2018:

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	78	%
Financial institutions	22
Total as of March 31, 2019	100	%

	Net Exposure (a) (b)
Category by Counterparty Credit Quality	(% of Total)
Investment grade	52	%
Non-Investment grade/Non-Rated	48
Total as of March 31, 2019	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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