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Accounting for Derivative Instruments and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2022

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 June 30, 2022 and December 31, 2021. 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			June 30, 2022						December 31, 2021
Emissions			Short Ton			—						1
Renewable Energy Certificates			Certificates			11						13
Coal			Short Ton			12						19
Natural Gas			MMBtu			832						813
Oil			Barrels			—						1
Power			MWh			179						185
Foreign Exchange			Dollars			$	405					$	279

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)			June 30, 2022						December 31, 2021						June 30, 2022						December 31, 2021
Derivatives Not Designated as Cash Flow or Fair Value Hedges:
Foreign exchange contracts - current			$	3					$	—					$	—					$	1
Foreign exchange contracts - long-term			3						1						—						—
Commodity contracts - current			11,320						4,613						8,000						3,386
Commodity contracts - long-term			4,545						2,526						2,565						1,412
Total Derivatives Not Designated as Cash Flow or Fair Value Hedges			$	15,871					$	7,140					$	10,565					$	4,799

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 June 30, 2022
Foreign exchange contracts:
Derivative assets						$	6					$	—					$	—					$	6
Commodity contracts:
Derivative assets						$	15,865					$	(9,937)					$	(3,719)					$	2,209
Derivative liabilities						(10,565)						9,937						73						(555)
Total commodity contracts						$	5,300					$	—					$	(3,646)					$	1,654
Total derivative instruments						$	5,306					$	—					$	(3,646)					$	1,660

						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, 2021
Foreign exchange contracts:
Derivative assets						$	1					$	(1)					$	—					$	—
Derivative liabilities						(1)						1						—						—
Total foreign exchange contracts						$	—					$	—					$	—					$	—
Commodity contracts:
Derivative assets						$	7,139					$	(4,440)					$	(831)					$	1,868
Derivative liabilities						(4,798)						4,440						17						(341)
Total commodity contracts						$	2,341					$	—					$	(814)					$	1,527
Total derivative instruments						$	2,341					$	—					$	(814)					$	1,527

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 June 30, 2022
Foreign exchange contracts:
Derivative assets						$	6					$	—					$	—					$	6
Commodity contracts:
Derivative assets						$	15,865					$	(9,937)					$	(3,719)					$	2,209
Derivative liabilities						(10,565)						9,937						73						(555)
Total commodity contracts						$	5,300					$	—					$	(3,646)					$	1,654
Total derivative instruments						$	5,306					$	—					$	(3,646)					$	1,660

						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, 2021
Foreign exchange contracts:
Derivative assets						$	1					$	(1)					$	—					$	—
Derivative liabilities						(1)						1						—						—
Total foreign exchange contracts						$	—					$	—					$	—					$	—
Commodity contracts:
Derivative assets						$	7,139					$	(4,440)					$	(831)					$	1,868
Derivative liabilities						(4,798)						4,440						17						(341)
Total commodity contracts						$	2,341					$	—					$	(814)					$	1,527
Total derivative instruments						$	2,341					$	—					$	(814)					$	1,527

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 revenues and cost of operations.

(In millions)			Three months ended June 30,												Six months ended June 30,
Unrealized mark-to-market results			2022						2021						2022						2021
Reversal of previously recognized unrealized (gains)/losses on settled positions related to economic hedges			$	(197)					$	22					$	(605)					$	39
Reversal of acquired loss/(gain) positions related to economic hedges			48						103						(12)						248
Net unrealized gains on open positions related to economic hedges			868						1,392						3,613						1,951
Total unrealized mark-to-market gains for economic hedging activities			719						1,517						2,996						2,238
Reversal of previously recognized unrealized losses/(gains) on settled positions related to trading activity			8						(3)						9						(10)
Net unrealized (losses)/gains on open positions related to trading activity			(10)						(7)						(25)						4
Total unrealized mark-to-market (losses) for trading activity			(2)						(10)						(16)						(6)
Total unrealized gains			$	717					$	1,507					$	2,980					$	2,232

			Three months ended June 30,												Six months ended June 30,
(In millions)			2022						2021						2022						2021
Unrealized (losses) included in revenues - commodities			$	(150)					$	(80)					$	(297)					$	(108)
Unrealized gains included in cost of operations - commodities			858						1,589						3,272						2,344
Unrealized gains/(losses) included in cost of operations - foreign exchange			9						(2)						5						(4)
Total impact to statement of operations - commodities			$	717					$	1,507					$	2,980					$	2,232

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