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Accounting for Derivative Instruments and Hedging Activities
 9 Months Ended
Sep. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Accounting for Derivative Instruments and Hedging Activities Accounting for Derivative Instruments and Hedging Activities
Energy-Related Commodities
As of September 30, 2022, NRG had energy-related derivative instruments extending through 2036. The Company marks these derivatives to market through the statement of operations. NRG has executed energy-related contracts extending through 2038 that qualified for the NPNS exception and were therefore exempt from fair value accounting treatment.
Foreign Exchange Contracts
NRG is exposed to changes in foreign currency primarily associated with the purchase of USD denominated natural gas for its Canadian business. In order to manage the Company's foreign exchange risk, NRG entered into foreign exchange contracts. As of September 30, 2022, NRG had foreign exchange contracts extending through 2026. The Company marks these derivatives to market through the statement of operations.
Volumetric Underlying Derivative Transactions
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, 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)
CategoryUnitsSeptember 30, 2022December 31, 2021
EmissionsShort Ton1 1 
Renewable Energy CertificatesCertificates11 13 
CoalShort Ton13 19 
Natural GasMMBtu748 813 
OilBarrels— 1 
PowerMWh176 185 
Foreign ExchangeDollars$502 $279 

Fair Value of Derivative Instruments
The following table summarizes the fair value within the derivative instrument valuation on the balance sheets:
 Fair Value
 Derivative AssetsDerivative Liabilities
(In millions)September 30, 2022December 31, 2021September 30, 2022December 31, 2021
Derivatives Not Designated as Cash Flow or Fair Value Hedges:   
Foreign exchange contracts - current$16 $— $— $1 
Foreign exchange contracts - long-term14 1 — — 
Commodity contracts - current9,922 4,613 6,841 3,386 
Commodity contracts - long-term4,900 2,526 2,802 1,412 
Total Derivatives Not Designated as Cash Flow or Fair Value Hedges$14,852 $7,140 $9,643 $4,799 
The Company has elected to present derivative assets and liabilities on the balance sheet on a trade-by-trade basis and does not offset amounts at the counterparty master agreement level. In addition, collateral received or paid on the Company's derivative assets or liabilities are recorded on a separate line item on the balance sheet. 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 / LiabilitiesDerivative InstrumentsCash Collateral (Held) / PostedNet Amount
As of September 30, 2022
Foreign exchange contracts:
Derivative assets$30 $— $— $30 
Commodity contracts:
Derivative assets$14,822 $(8,987)$(3,081)$2,754 
Derivative liabilities(9,643)8,987 29 (627)
Total commodity contracts$5,179 $— $(3,052)$2,127 
Total derivative instruments$5,209 $— $(3,052)$2,157 
Gross Amounts Not Offset in the Statement of Financial Position
(In millions)Gross Amounts of Recognized Assets / LiabilitiesDerivative InstrumentsCash Collateral (Held) / PostedNet 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 
Impact of Derivative Instruments on the Statements of Operations
Unrealized gains and losses associated with changes in the fair value of derivative instruments not accounted for as cash flow and fair value hedges are reflected in current period results 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 September 30,Nine months ended September 30,
Unrealized mark-to-market results2022202120222021
Reversal of previously recognized unrealized (gains) on settled positions related to economic hedges
$(387)$(97)$(992)$(58)
Reversal of acquired (gain)/loss positions related to economic hedges
(15)(42)(27)206 
Net unrealized gains on open positions related to economic hedges
313 1,924 3,926 3,875 
Total unrealized mark-to-market (losses)/gains for economic hedging activities
(89)1,785 2,907 4,023 
Reversal of previously recognized unrealized losses/(gains) on settled positions related to trading activity
2 (6)11 (16)
Net unrealized gains/(losses) on open positions related to trading activity
7 14 (18)18 
Total unrealized mark-to-market gains/(losses) for trading activity
9 8 (7)2 
Total unrealized (losses)/gains$(80)$1,793 $2,900 $4,025 

Three months ended September 30,Nine months ended September 30,
(In millions)2022202120222021
Unrealized gains/(losses) included in revenues - commodities$42 $11 $(255)$(97)
Unrealized (losses)/gains included in cost of operations - commodities(148)1,777 3,124 4,121 
Unrealized gains included in cost of operations - foreign exchange26 5 31 1 
Total impact to statement of operations - commodities$(80)$1,793 $2,900 $4,025 
    
The reversals of acquired loss positions were valued based upon the forward prices on the acquisition date. The roll-off amounts were offset by realized gains or losses at the settled prices and are reflected in revenue or cost of operations during the same period.
For the nine months ended September 30, 2022 and 2021, the unrealized gains from open economic hedge positions of $3.9 billion and $3.9 billion, respectively, were primarily due to increases in the value of forward positions as a result of increases in natural gas and power prices.
Credit Risk Related Contingent Features
Certain of the Company's trading agreements contain provisions that entitle the counterparty to demand that the Company post additional collateral if the counterparty determines that there has been deterioration in the Company's credit quality, generally termed “adequate assurance” under the agreements, or require the Company to post additional collateral if there were a downgrade in the Company's credit rating. The collateral potentially required for all contracts with adequate assurance clauses that are in a net liability position as of September 30, 2022 was $1.3 billion. The Company is also party to certain marginable agreements under which it has net liability position, but the counterparty has not called for the collateral due, which was approximately $131 million as of September 30, 2022. In the event of a downgrade in the Company's credit rating and if called for by the counterparty, $30 million of additional collateral would be required for all contracts with credit rating contingent features as of September 30, 2022.
See Note 5, Fair Value of Financial Instruments, for discussion regarding concentration of credit risk.