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Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2020

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:

			September 30, 2020												December 31, 2019
(In millions)			Carrying Amount						Fair Value						Carrying Amount						Fair Value
Assets:
Notes receivable			$	10					$	7					$	11					$	8
Liabilities:
Long-term debt, including current portion (a)			5,854						6,309						5,956						6,504

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

Fair value hierarchy for long-term debt

The following table presents the level within the fair value hierarchy for long-term debt, including current portion, as of September 30, 2020 and December 31, 2019:

			September 30, 2020												December 31, 2019
(In millions)			Level 2						Level 3						Level 2						Level 3
Long-term debt, including current portion			$	6,305					$	4					$	6,388					$	116

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:

			September 30, 2020
(In millions)			Total						Level 1						Level 2						Level 3
Investments in securities (classified within other current and non-current assets)			$	15					$	—					$	15					$	—
Nuclear trust fund investments:
Cash and cash equivalents			25						25						—						—
U.S. government and federal agency obligations			49						48						1						—
Federal agency mortgage-backed securities			92						—						92						—
Commercial mortgage-backed securities			38						—						38						—
Corporate debt securities			144						—						144						—
Equity securities			402						402						—						—
Foreign government fixed income securities			6						—						6						—
Other trust fund investments:
U.S. government and federal agency obligations			1						1						—						—
Derivative assets:
Commodity contracts			893						74						592						227
Measured using net asset value practical expedient:
Equity securities — nuclear trust fund investments			72
Equity securities			7
Total assets			$	1,744					$	550					$	888					$	227
Derivative liabilities:
Commodity contracts			$	813					$	70					$	568					$	175
Total liabilities			$	813					$	70					$	568					$	175

			December 31, 2019
(In millions)			Total						Level 1						Level 2						Level 3
Investments in securities (classified within other current and non-current assets)			$	20					$	—					$	20					$	—
Nuclear trust fund investments:
Cash and cash equivalents			17						17						—						—
U.S. government and federal agency obligations			68						68						—						—
Federal agency mortgage-backed securities			100						—						100						—
Commercial mortgage-backed securities			29						—						29						—
Corporate debt securities			109						—						109						—
Equity securities			388						388						—						—
Foreign government fixed income securities			5						—						5						—
Other trust fund investments:
U.S. government and federal agency obligations			1						1						—						—
Derivative assets:
Commodity contracts			1,170						84						893						193
Measured using net asset value practical expedient:
Equity securities — nuclear trust fund investments			78
Equity securities			8
Total assets			$	1,993					$	558					$	1,156					$	193
Derivative liabilities:
Commodity contracts			$	1,103					$	143					$	805					$	155
Total liabilities			$	1,103					$	143					$	805					$	155

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, 2020 and 2019, the beginning and ending balances for financial instruments that are recognized at fair value in the condensed consolidated financial statements, using significant unobservable inputs:

												Fair Value Measurement Using Significant Unobservable Inputs (Level 3)
												Three months ended September 30, 2020															Nine months ended September 30, 2020
(In millions)												Derivatives(a)																					Derivatives(a)
Beginning balance												$	152																				$	38
Total (losses) realized/unrealized— included in earnings												(92)																					(18)
Purchases												(10)																					6
Transfers into Level 3(b)												(11)																					22
Transfers out of Level 3(b)												13																					4
Ending balance												$	52																				$	52
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 period end												$	23																				$	50

(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, 2019																		Nine months ended September 30, 2019
(In millions)			Debt Securities									Derivatives(a)						Total						Debt Securities									Derivatives(a)						Total
Beginning balance			$	19								$	97					$	116					$	19								$	20					$	39
Contracts added from acquisitions			—									(2)						(2)						—									(3)						(3)
Total (losses)/gains realized/unrealized:
Included in earnings			—									(18)						(18)						1									(45)						(44)
Included in OCI			(14)									—						(14)						(14)									—						(14)
Cash received			—									—						—						(1)									—						(1)
Purchases			—									38						38						—									26						26
Transfers into Level 3(b)			—									(126)						(126)						—									4						4
Transfers out of Level 3(b)			—									24						24						—									11						11
Ending balance			$	5								$	13					$	18					$	5								$	13					$	18
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 period end			—									44						44						1									13						14

(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, 2020 and December 31, 2019:

			September 30, 2020
			Fair Value																								Input/Range
(In millions)			Assets						Liabilities						Valuation Technique						Significant Unobservable Input						Low						High						Weighted Average
Power Contracts			$	196					$	167					Discounted Cash Flow						Forward Market Price (per MWh)						$	10					$	116					$	24
FTRs			31						8						Discounted Cash Flow						Auction Prices (per MWh)						(50)						43						0
			$	227					$	175

			December 31, 2019
			Fair Value																								Input/Range
(In millions)			Assets						Liabilities						Valuation Technique						Significant Unobservable Input						Low						High						Weighted Average
Power Contracts			$	151					$	139					Discounted Cash Flow						Forward Market Price (per MWh)						$	8					$	218					$	24
FTRs			42						16						Discounted Cash Flow						Auction Prices (per MWh)						(105)						213						0
			$	193					$	155

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, 2020 and December 31, 2019:

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			88		%
Financial institutions			12
Total as of September 30, 2020			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, 2020			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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Fair Value, by Balance Sheet Grouping Two

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Disclosure of the net exposure to counterparty credit risk by category.

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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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