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Fair Value of Financial Instruments (Tables)

3 Months Ended

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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