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Accounting for Derivative Instruments and Hedging Activities (Tables)

9 Months Ended

Sep. 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 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)
Category			Units			September 30, 2022						December 31, 2021
Emissions			Short Ton			1						1
Renewable Energy Certificates			Certificates			11						13
Coal			Short Ton			13						19
Natural Gas			MMBtu			748						813
Oil			Barrels			—						1
Power			MWh			176						185
Foreign Exchange			Dollars			$	502					$	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)			September 30, 2022						December 31, 2021						September 30, 2022						December 31, 2021
Derivatives Not Designated as Cash Flow or Fair Value Hedges:
Foreign exchange contracts - current			$	16					$	—					$	—					$	1
Foreign exchange contracts - long-term			14						1						—						—
Commodity contracts - current			9,922						4,613						6,841						3,386
Commodity contracts - long-term			4,900						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

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 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 / 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 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 / 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 September 30,												Nine months ended September 30,
Unrealized mark-to-market results			2022						2021						2022						2021
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)			2022						2021						2022						2021
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 exchange			26						5						31						1
Total impact to statement of operations - commodities			$	(80)					$	1,793					$	2,900					$	4,025

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