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Fair Value of Financial Instruments (Tables) | 3 Months Ended
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Mar. 31, 2022
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 value and fair value of the Company's financial instruments not carried at fair market value are as follows:
| March 31, 2022 |  | December 31, 2021
(In millions) | Carrying Amount |  | Fair Value |  | Carrying Amount |  | Fair Value
Convertible Senior Notes | $ | 575 |  |  | $ | 633 |  |  | $ | 518 |  |  | $ | 677 |
Other long-term debt, including current portion | 7,523 |  |  | 7,128 |  |  | 7,522 |  |  | 7,650 |
Total long-term debt, including current portion(a) | $ | 8,098 |  |  | $ | 7,761 |  |  | $ | 8,040 |  |  | $ | 8,327 |
(a) Excludes deferred financing costs, which are recorded as a reduction to long-term debt in the Company's consolidated balance sheets
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, 2022
(In millions) | Total |  | Level 1 |  | Level 2 |  | Level 3
Investments in securities (classified within other current and non-current assets) | $ | 17 |  |  | $ | — |  |  | $ | 17 |  |  | $ | — |
Nuclear trust fund investments: |  |  |  |  |  |  |
Cash and cash equivalents | 17 |  |  | 17 |  |  | — |  |  | — |
U.S. government and federal agency obligations | 106 |  |  | 105 |  |  | 1 |  |  | — |
Federal agency mortgage-backed securities | 104 |  |  | — |  |  | 104 |  |  | — |
Commercial mortgage-backed securities | 41 |  |  | — |  |  | 41 |  |  | — |
Corporate debt securities | 116 |  |  | — |  |  | 116 |  |  | — |
Equity securities | 471 |  |  | 471 |  |  | — |  |  | — |
Foreign government fixed income securities | 2 |  |  | — |  |  | 2 |  |  | — |
Other trust fund investments (classified within other non-current assets): |  |  |  |  |  |  |
U.S. government and federal agency obligations | 1 |  |  | 1 |  |  | — |  |  | — |
Derivative assets: |  |  |  |  |  |  |
Commodity contracts | 12,650 |  |  | 2,528 |  |  | 9,403 |  |  | 719 |
Measured using net asset value practical expedient: |  |  |  |  |  |  |
Equity securities — nuclear trust fund investments | 92 |  |  |  |  |  |  |
Equity securities (classified within other non-current assets) | 7 |  |  |  |  |  |  |
Total assets | $ | 13,624 |  |  | $ | 3,122 |  |  | $ | 9,684 |  |  | $ | 719 |
Derivative liabilities: |  |  |  |  |  |  |
Foreign exchange contracts | $ | 4 |  |  | $ | — |  |  | $ | 4 |  |  | $ | — |
Commodity contracts | 8,049 |  |  | 1,173 |  |  | 6,685 |  |  | 191 |
Total liabilities | $ | 8,053 |  |  | $ | 1,173 |  |  | $ | 6,689 |  |  | $ | 191 |
| December 31, 2021
(In millions) | Total |  | Level 1 |  | Level 2 |  | Level 3
Investments in securities (classified within other current and non-current assets) | $ | 32 |  |  | $ | 15 |  |  | $ | 17 |  |  | $ | — |
Nuclear trust fund investments: |  |  |  |  |  |  |
Cash and cash equivalents | 33 |  |  | 33 |  |  | — |  |  | — |
U.S. government and federal agency obligations | 112 |  |  | 111 |  |  | 1 |  |  | — |
Federal agency mortgage-backed securities | 100 |  |  | — |  |  | 100 |  |  | — |
Commercial mortgage-backed securities | 44 |  |  | — |  |  | 44 |  |  | — |
Corporate debt securities | 122 |  |  | — |  |  | 122 |  |  | — |
Equity securities | 494 |  |  | 494 |  |  | — |  |  | — |
Foreign government fixed income securities | 4 |  |  | — |  |  | 4 |  |  | — |
Other trust fund investments (classified within other non-current assets): |  |  |  |  |  |  |
U.S. government and federal agency obligations | 1 |  |  | 1 |  |  | — |  |  | — |
Derivative assets: |  |  |  |  |  |  |
Foreign exchange contracts | 1 |  |  | — |  |  | 1 |  |  | — |
Commodity contracts | 7,139 |  |  | 981 |  |  | 5,701 |  |  | 457 |
Measured using net asset value practical expedient: |  |  |  |  |  |  |
Equity securities — nuclear trust fund investments | 99 |  |  |  |  |  |  |
Equity securities (classified within other non-current assets) | 7 |  |  |  |  |  |  |
Total assets | $ | 8,188 |  |  | $ | 1,635 |  |  | $ | 5,990 |  |  | $ | 457 |
Derivative liabilities: |  |  |  |  |  |  |
Foreign exchange contracts | $ | 1 |  |  | $ | — |  |  | $ | 1 |  |  | $ | — |
Commodity contracts | 4,798 |  |  | 626 |  |  | 4,008 |  |  | 164 |
Total liabilities | $ | 4,799 |  |  | $ | 626 |  |  | $ | 4,009 |  |  | $ | 164 |
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, 2022 and 2021, 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)
| Derivatives(a)
(In millions) | Three months ended March 31, 2022 |  | Three months ended March 31, 2021
Beginning balance | $ | 293 |  |  | $ | (16) |
Contracts added from Direct Energy acquisition | — |  |  | (15) |
Total gains realized/unrealized — included in earnings | 166 |  |  | 180 |
Purchases | 23 |  |  | 20 |
Transfers into Level 3(b) | 53 |  |  | 4 |
Transfers out of Level 3(b) | (7) |  |  | (14) |
Ending balance | $ | 528 |  |  | $ | 159 |
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 | $ | 237 |  |  | $ | 146 |
(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, 2022 and December 31, 2021:
| March 31, 2022
| Fair Value |  |  |  | Input/Range
(In millions) | Assets |  | Liabilities |  | Valuation Technique |  | Significant Unobservable Input |  | Low |  | High |  | Weighted Average
Power Contracts | $ | 676 |  |  | $ | 153 |  |  | Discounted Cash Flow |  | Forward Market Price (per MWh) |  | $ | 6 |  |  | $ | 278 |  |  | $ | 47 |
FTRs | 43 |  |  | 38 |  |  | Discounted Cash Flow |  | Auction Prices (per MWh) |  | (105) |  |  | 43 |  |  | 0
| $ | 719 |  |  | $ | 191 |  |  |  |  |  |  |  |  |  |  |
| December 31, 2021
| Fair Value |  |  |  | Input/Range
(In millions) | Assets |  | Liabilities |  | Valuation Technique |  | Significant Unobservable Input |  | Low |  | High |  | Weighted Average
Natural Gas Contracts | $ | 16 |  |  | $ | 1 |  |  | Discounted Cash Flow |  | Forward Market Price (per MWh) |  | $ | 3 |  |  | $ | 40 |  |  | $ | 15 |
Power Contracts | 392 |  |  | 121 |  |  | Discounted Cash Flow |  | Forward Market Price (per ton) |  | 3 |  |  | 212 |  |  | 35 |
FTRs | 49 |  |  | 42 |  |  | Discounted Cash Flow |  | Auction Prices (per MWh) |  | (122) |  |  | 43 |  |  | 0
| $ | 457 |  |  | $ | 164 |  |  |  |  |  |  |  |  |  |  |
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, 2022 and December 31, 2021:
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 | 59 | %
Financial institutions | 41 |
Total as of March 31, 2022 | 100 | %
| Net Exposure (a)(b)
Category by Counterparty Credit Quality | (% of Total)
Investment grade | 59 | %
Non-investment grade/non-rated | 41 |
Total as of March 31, 2022 | 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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- Definition 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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- Definition 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). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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