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Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2021

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:

			March 31, 2021												December 31, 2020
(In millions)			Carrying Amount						Fair Value						Carrying Amount						Fair Value
Assets:
Notes receivable			$	2					$	2					$	2					$	2
Liabilities:
Long-term debt, including current portion (a)			9,609						10,007						8,781						9,446

(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 March 31, 2021 and December 31, 2020:

			March 31, 2021												December 31, 2020
(In millions)			Level 2						Level 3						Level 2						Level 3
Long-term debt, including current portion			$	9,182					$	825					$	9,446					$	—

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:

			March 31, 2021
(In millions)			Total						Level 1						Level 2						Level 3
Investments in securities (classified within other current and non-current assets)			$	24					$	10					$	14					$	—
Nuclear trust fund investments:
Cash and cash equivalents			20						20						—						—
U.S. government and federal agency obligations			73						72						1						—
Federal agency mortgage-backed securities			78						—						78						—
Commercial mortgage-backed securities			40						—						40						—
Corporate debt securities			136						—						136						—
Equity securities			466						466						—						—
Foreign government fixed income securities			7						1						6						—
Other trust fund investments:
U.S. government and federal agency obligations			1						1						—						—
Derivative assets:
Commodity contracts			2,824						195						2,365						264
Measured using net asset value practical expedient:
Equity securities — nuclear trust fund investments			89
Equity securities			8
Total assets			$	3,766					$	765					$	2,640					$	264
Derivative liabilities:
Foreign exchange contracts			$	2					$	—					$	2					$	—
Commodity contracts			2,438						205						2,128						105
Total liabilities			$	2,440					$	205					$	2,130					$	105

			December 31, 2020
(In millions)			Total						Level 1						Level 2						Level 3
Investments in securities (classified within other current and non-current assets)			$	25					$	10					$	15					$	—
Nuclear trust fund investments:
Cash and cash equivalents			23						23						—						—
U.S. government and federal agency obligations			70						69						1						—
Federal agency mortgage-backed securities			89						—						89						—
Commercial mortgage-backed securities			36						—						36						—
Corporate debt securities			144						—						144						—
Equity securities			434						434						—						—
Foreign government fixed income securities			7						1						6						—
Other trust fund investments:
U.S. government and federal agency obligations			1						1						—						—
Derivative assets:
Commodity contracts			821						59						623						139
Measured using net asset value practical expedient:
Equity securities — nuclear trust fund investments			87
Equity securities			8
Total assets			$	1,745					$	597					$	914					$	139
Derivative liabilities:
Commodity contracts			$	884					$	86					$	643					$	155
Total liabilities			$	884					$	86					$	643					$	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 table reconciles, for the three months ended March 31, 2021 and 2020, 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 March 31, 2021															Three months ended March 31, 2020
(In millions)												Derivatives(a)																					Derivatives(a)
Beginning balance												$	(16)																				$	38
Contracts added from Direct Energy acquisition												(15)																					—
Total gains realized/unrealized— included in earnings												180																					22
Purchases												20																					8
Transfers into Level 3(b)												4																					8
Transfers out of Level 3(b)												(14)																					(3)
Ending balance												$	159																				$	73
Gains/(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 period end												$	146																				$	(9)

(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, 2021 and December 31, 2020:

			March 31, 2021
			Fair Value																								Input/Range
(In millions)			Assets						Liabilities						Valuation Technique						Significant Unobservable Input						Low						High						Weighted Average
Natural Gas Contracts			$	3					$	—					Discounted Cash Flow						Forward Market Price (per MMBtu)						$	1					$	16					$	14
Power Contracts			234						91						Discounted Cash Flow						Forward Market Price (per MWh)						1						237						29
FTRs			27						14						Discounted Cash Flow						Auction Prices (per MWh)						(33)						320						0
			$	264					$	105

			December 31, 2020
			Fair Value																								Input/Range
(In millions)			Assets						Liabilities						Valuation Technique						Significant Unobservable Input						Low						High						Weighted Average
Power Contracts			$	111					$	143					Discounted Cash Flow						Forward Market Price (per MWh)						$	10					$	105					$	21
FTRs			28						12						Discounted Cash Flow						Auction Prices (per MWh)						(28)						43						0
			$	139					$	155

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, 2021 and December 31, 2020:

Significant Unobservable Input

Position

Change In Input

Impact on Fair Value Measurement

Forward Market Price Natural Gas/Power

Buy

Increase/(Decrease)

Higher/(Lower)

Forward Market Price Natural Gas/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			79		%
Financial institutions			21
Total as of March 31, 2021			100		%

			Net Exposure (a)(b)
Category by Counterparty Credit Quality			(% of Total)
Investment grade			61		%
Non-investment grade/non-rated			39
Total as of March 31, 2021			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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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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