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Accounting for Derivative Instruments and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Net notional volume buy/(sell) of NRG's open derivative transactions broken out by commodity

The following table summarizes the net notional volume buy/(sell) of NRG's open derivative transactions broken out by category, excluding those derivatives that qualified for the NPNS exception, as of September 30, 2020 and December 31, 2019. Option contracts are reflected using delta volume. Delta volume equals the notional volume of an option adjusted for the probability that the option will be in-the-money at its expiration date.

						Total Volume (In millions)
Category			Units			September 30, 2020						December 31, 2019
Emissions			Short Ton			1						3
Renewable Energy Certificates			Certificates			3						1
Coal			Short Ton			4						10
Natural Gas			MMBtu			(264)						(181)
Power			MWh			51						38
Capacity			MW/Day			(1)						(1)

Fair value within the derivative instrument valuation on the balance sheets

The following table summarizes the fair value within the derivative instrument valuation on the balance sheets:

			Fair Value
			Derivative Assets												Derivative Liabilities
(In millions)			September 30, 2020						December 31, 2019						September 30, 2020						December 31, 2019
Derivatives Not Designated as Cash Flow or Fair Value Hedges:
Commodity contracts current			$	578					$	860					$	495					$	781
Commodity contracts long-term			315						310						318						322
Total Derivatives Not Designated as Cash Flow or Fair Value Hedges			$	893					$	1,170					$	813					$	1,103

Offsetting of derivatives by counterparty assets

The following table summarizes the offsetting of derivatives by counterparty master agreement level and collateral received or paid:

						Gross Amounts Not Offset in the Statement of Financial Position
(In millions)						Gross Amounts of Recognized Assets / Liabilities						Derivative Instruments						Cash Collateral (Held) / Posted						Net Amount
As of September 30, 2020
Commodity contracts:
Derivative assets						$	893					$	(738)					$	(1)					$	154
Derivative liabilities						(813)						738						—						(75)
Total commodity contracts						$	80					$	—					$	(1)					$	79

						Gross Amounts Not Offset in the Statement of Financial Position
(In millions)						Gross Amounts of Recognized Assets / Liabilities						Derivative Instruments						Cash Collateral (Held) / Posted						Net Amount
As of December 31, 2019
Commodity contracts:
Derivative assets						$	1,170					$	(909)					$	(7)					$	254
Derivative liabilities						(1,103)						909						73						(121)
Total commodity contracts						$	67					$	—					$	66					$	133

Offsetting of derivatives by counterparty, liabilities

The following table summarizes the offsetting of derivatives by counterparty master agreement level and collateral received or paid:

						Gross Amounts Not Offset in the Statement of Financial Position
(In millions)						Gross Amounts of Recognized Assets / Liabilities						Derivative Instruments						Cash Collateral (Held) / Posted						Net Amount
As of September 30, 2020
Commodity contracts:
Derivative assets						$	893					$	(738)					$	(1)					$	154
Derivative liabilities						(813)						738						—						(75)
Total commodity contracts						$	80					$	—					$	(1)					$	79

						Gross Amounts Not Offset in the Statement of Financial Position
(In millions)						Gross Amounts of Recognized Assets / Liabilities						Derivative Instruments						Cash Collateral (Held) / Posted						Net Amount
As of December 31, 2019
Commodity contracts:
Derivative assets						$	1,170					$	(909)					$	(7)					$	254
Derivative liabilities						(1,103)						909						73						(121)
Total commodity contracts						$	67					$	—					$	66					$	133

Pre-tax effects of economic hedges that have not been designated as cash flow hedges, ineffectiveness on cash flow hedges and trading activity on the Company's statement of operations

The following table summarizes the pre-tax effects of economic hedges that have not been designated as cash flow hedges or fair value hedges and trading activity on the Company's statement of operations. The effect of commodity hedges is included within operating revenues and cost of operations and the effect of interest rate hedges is included in interest expense.

(In millions)			Three months ended September 30,												Nine months ended September 30,
Unrealized mark-to-market results			2020						2019						2020						2019
Reversal of previously recognized unrealized (gains) on settled positions related to economic hedges			$	(101)					$	(118)					$	(62)					$	(88)
Reversal of acquired (gain)/loss positions related to economic hedges			(2)						(3)						2						(4)
Net unrealized (losses)/gains on open positions related to economic hedges			(15)						57						73						69
Total unrealized mark-to-market (losses)/gains for economic hedging activities			(118)						(64)						13						(23)
Reversal of previously recognized unrealized (gains) on settled positions related to trading activity			(7)						(1)						(14)						(8)
Net unrealized gains/(losses) on open positions related to trading activity			2						(3)						19						23
Total unrealized mark-to-market (losses)/gains for trading activity			(5)						(4)						5						15
Total unrealized (losses)/gains			$	(123)					$	(68)					$	18					$	(8)

			Three months ended September 30,												Nine months ended September 30,
(In millions)			2020						2019						2020						2019
Unrealized gains/(losses) included in operating revenues			$	34					$	(214)					$	83					$	66
Unrealized (losses)/gains included in cost of operations			(157)						146						(65)						(74)
Total impact to statement of operations — energy commodities			$	(123)					$	(68)					$	18					$	(8)
Total impact to statement of operations — interest rate contracts			$	—					$	—					$	—					$	(38)

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