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Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 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:

			September 30, 2022												December 31, 2021
(In millions)			Carrying Amount						Fair Value						Carrying Amount						Fair Value
Convertible Senior Notes			$	575					$	611					$	518					$	677
Other long-term debt, including current portion			7,523						6,473						7,522						7,650
Total long-term debt, including current portion(a)			$	8,098					$	7,084					$	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:

			September 30, 2022
(In millions)			Total						Level 1						Level 2						Level 3
Investments in securities (classified within other current and non-current assets)			$	19					$	—					$	19					$	—
Nuclear trust fund investments:
Cash and cash equivalents			17						17						—						—
U.S. government and federal agency obligations			85						83						2						—
Federal agency mortgage-backed securities			101						—						101						—
Commercial mortgage-backed securities			37						—						37						—
Corporate debt securities			104						—						104						—
Equity securities			372						372						—						—
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			30						—						30						—
Commodity contracts			14,822						2,873						10,936						1,013
Measured using net asset value practical expedient:
Equity securities — nuclear trust fund investments			71
Equity securities (classified within other non-current assets)			6
Total assets			$	15,667					$	3,346					$	11,231					$	1,013
Derivative liabilities:
Commodity contracts			9,643						1,228						8,084						331
Total liabilities			$	9,643					$	1,228					$	8,084					$	331

			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 nine months ended September 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 September 30, 2022						Three months ended September 30, 2021						Nine months ended September 30, 2022						Nine months ended September 30, 2021
Beginning balance			$	1,403					$	574					$	293					$	(16)
Contracts added from Direct Energy acquisition			—						—						—						(15)
Total (losses)/gains realized/unrealized — included in earnings			(314)						(175)						145						187
Purchases			60						—						89						78
Transfers into Level 3(b)			(466)						(108)						155						64
Transfers out of Level 3(b)			(1)						20						—						13
Ending balance			$	682					$	311					$	682					$	311
(Losses)/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			$	(240)					$	(237)					$	294					$	184

(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 September 30, 2022 and December 31, 2021:

			September 30, 2022
			Fair Value																								Input/Range
(In millions)			Assets						Liabilities						Valuation Technique						Significant Unobservable Input						Low						High						Weighted Average
Natural Gas Contracts			$	90					$	46					Discounted Cash Flow						Forward Market Price (per MMBtu)						$	3					$	35					$	11
Power Contracts			842						221						Discounted Cash Flow						Forward Market Price (per MWh)						20						263						55
FTRs			81						64						Discounted Cash Flow						Auction Prices (per MWh)						(67)						46						1
			$	1,013					$	331

			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 September 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			61		%
Financial institutions			39
Total as of September 30, 2022			100		%

			Net Exposure (a)(b)
Category by Counterparty Credit Quality			(% of Total)
Investment grade			68		%
Non-investment grade/non-rated			32
Total as of September 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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