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Accounting for Derivative Instruments and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2021

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, 2021 and December 31, 2020. 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, 2021						December 31, 2020
Emissions			Short Ton			1						1
Renewable Energy Certificates			Certificates			13						5
Coal			Short Ton			3						2
Natural Gas			MMBtu			663						(286)
Oil			Barrels			1						—
Power			MWh			185						57
Capacity			MW/Day			—						(1)
Foreign Exchange			Dollars			$	218					$	—

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, 2021						December 31, 2020						September 30, 2021						December 31, 2020
Derivatives Not Designated as Cash Flow or Fair Value Hedges:
Foreign exchange contracts - current			$	1					$	—					$	—					$	—
Commodity contracts - current			8,527						560						6,032						499
Commodity contracts - long-term			2,671						261						1,489						385
Total Derivatives Not Designated as Cash Flow or Fair Value Hedges			$	11,199					$	821					$	7,521					$	884

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, 2021
Foreign exchange contracts:
Derivative assets						$	1					$	—					$	—					$	1
Total foreign exchange contracts						$	1					$	—					$	—					$	1
Commodity contracts:
Derivative assets						$	11,198					$	(6,946)					$	(1,712)					$	2,540
Derivative liabilities						(7,521)						6,946						—						(575)
Total commodity contracts						$	3,677					$	—					$	(1,712)					$	1,965
Total derivative instruments						$	3,678					$	—					$	(1,712)					$	1,966

						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, 2020
Commodity contracts:
Derivative assets						$	821					$	(658)					$	(5)					$	158
Derivative liabilities						(884)						658						—						(226)
Total commodity contracts						$	(63)					$	—					$	(5)					$	(68)

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, 2021
Foreign exchange contracts:
Derivative assets						$	1					$	—					$	—					$	1
Total foreign exchange contracts						$	1					$	—					$	—					$	1
Commodity contracts:
Derivative assets						$	11,198					$	(6,946)					$	(1,712)					$	2,540
Derivative liabilities						(7,521)						6,946						—						(575)
Total commodity contracts						$	3,677					$	—					$	(1,712)					$	1,965
Total derivative instruments						$	3,678					$	—					$	(1,712)					$	1,966

						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, 2020
Commodity contracts:
Derivative assets						$	821					$	(658)					$	(5)					$	158
Derivative liabilities						(884)						658						—						(226)
Total commodity contracts						$	(63)					$	—					$	(5)					$	(68)

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 foreign exchange and commodity hedges are included within operating revenues and cost of operations.

(In millions)			Three months ended September 30,												Nine months ended September 30,
Unrealized mark-to-market results			2021						2020						2021						2020
Reversal of previously recognized unrealized (gains) on settled positions related to economic hedges			$	(97)					$	(101)					$	(58)					$	(62)
Reversal of acquired (gain)/loss positions related to economic hedges			(42)						(2)						206						2
Net unrealized gains/(losses) on open positions related to economic hedges			1,924						(15)						3,875						73
Total unrealized mark-to-market gains/(losses) for economic hedging activities			1,785						(118)						4,023						13
Reversal of previously recognized unrealized (gains) on settled positions related to trading activity			(6)						(7)						(16)						(14)
Net unrealized gains on open positions related to trading activity			14						2						18						19
Total unrealized mark-to-market gains/(losses) for trading activity			8						(5)						2						5
Total unrealized gains/(losses)			$	1,793					$	(123)					$	4,025					$	18

			Three months ended September 30,												Nine months ended September 30,
(In millions)			2021						2020						2021						2020
Unrealized gains/(losses) included in operating revenues - commodities			$	11					$	34					$	(97)					$	83
Unrealized gains/(losses) included in cost of operations - commodities			1,777						(157)						4,121						(65)
Unrealized gains included in cost of operations - foreign exchange			5						—						1						—
Total impact to statement of operations			$	1,793					$	(123)					$	4,025					$	18

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