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Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 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:

			June 30, 2022												December 31, 2021
(In millions)			Carrying Amount						Fair Value						Carrying Amount						Fair Value
Convertible Senior Notes			$	575					$	623					$	518					$	677
Other long-term debt, including current portion			7,523						6,573						7,522						7,650
Total long-term debt, including current portion(a)			$	8,098					$	7,196					$	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:

			June 30, 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			96						94						2						—
Federal agency mortgage-backed securities			103						—						103						—
Commercial mortgage-backed securities			36						—						36						—
Corporate debt securities			112						—						112						—
Equity securities			392						392						—						—
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:
Foreign exchange contracts			6						—						6						—
Commodity contracts			15,865						2,531						11,056						2,278
Measured using net asset value practical expedient:
Equity securities — nuclear trust fund investments			78
Equity securities (classified within other non-current assets)			6
Total assets			$	16,731					$	3,035					$	11,334					$	2,278
Derivative liabilities:
Commodity contracts			10,565						1,329						8,361						875
Total liabilities			$	10,565					$	1,329					$	8,361					$	875

			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 and six months ended June 30, 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 June 30, 2022						Three months ended June 30, 2021						Six months ended June 30, 2022						Six months ended June 30, 2021
Beginning balance			$	528					$	159					$	293					$	(16)
Contracts added from Direct Energy acquisition			—						—						—						(15)
Total gains realized/unrealized — included in earnings			293						182						459						362
Purchases			6						58						29						78
Transfers into Level 3(b)			568						168						621						172
Transfers out of Level 3(b)			8						7						1						(7)
Ending balance			$	1,403					$	574					$	1,403					$	574
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			$	297					$	275					$	534					$	421

(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 June 30, 2022 and December 31, 2021:

			June 30, 2022
			Fair Value																								Input/Range
(In millions)			Assets						Liabilities						Valuation Technique						Significant Unobservable Input						Low						High						Weighted Average
Natural Gas Contracts			$	55					$	56					Discounted Cash Flow						Forward Market Price (per MMBtu)						$	3					$	17					$	5
Power Contracts			2,144						762						Discounted Cash Flow						Forward Market Price (per MWh)						7						263						56
FTRs			79						57						Discounted Cash Flow						Auction Prices (per MWh)						(307)						75						1
			$	2,278					$	875

			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 MMBtu)						$	3					$	40					$	15
Power Contracts			392						121						Discounted Cash Flow						Forward Market Price (per MWh)						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 June 30, 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			78		%
Financial institutions			22
Total as of June 30, 2022			100		%

			Net Exposure (a)(b)
Category by Counterparty Credit Quality			(% of Total)
Investment grade			52		%
Non-investment grade/non-rated			48
Total as of June 30, 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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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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