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Accounting for Derivative Instruments and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2023

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, 2023 and December 31, 2022. 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, 2023						December 31, 2022
Emissions			Short Ton			—						1
Renewable Energy Certificates			Certificates			13						15
Coal			Short Ton			12						11
Natural Gas			MMBtu			804						422
Oil			Barrels			—						1
Power			MWh			210						192
Consumer Financing Program			Dollars			942						—
Foreign Exchange			Dollars			590						569
Interest			Dollars			1,400						—

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, 2023						December 31, 2022						June 30, 2023						December 31, 2022
Derivatives Not Designated as Cash Flow or Fair Value Hedges:
Interest rate contracts - current			$	20					$	—					$	—					$	—
Interest rate contracts - long-term			4						—						—						—
Foreign exchange contracts - current			5						11						3						1
Foreign exchange contracts - long-term			3						7						3						1
Consumer Financing Program - short-term			—						—						78						—
Consumer Financing Program - long-term			—						—						37						—
Commodity contracts - current			4,398						7,875						3,751						6,194
Commodity contracts - long-term			2,903						4,101						1,849						2,245
Total Derivatives Not Designated as Cash Flow or Fair Value Hedges			$	7,333					$	11,994					$	5,721					$	8,441

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, 2023
Foreign exchange contracts:
Derivative assets						$	8					$	(5)					$	—					$	3
Derivative liabilities						(6)						5						—						(1)
Total foreign exchange contracts						$	2					$	—					$	—					$	2
Commodity contracts:
Derivative assets						$	7,301					$	(5,344)					$	(340)					$	1,617
Derivative liabilities						(5,600)						5,344						5						(251)
Total commodity contracts						$	1,701					$	—					$	(335)					$	1,366
Consumer Financing Program:
Derivative liabilities						$	(115)					$	—					$	—					$	(115)
Interest rate contracts:
Derivative assets						$	24					$	—					$	—					$	24
Total derivative instruments						$	1,612					$	—					$	(335)					$	1,277

						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, 2022
Foreign exchange contracts:
Derivative assets						$	18					$	(2)					$	—					$	16
Derivative liabilities						(2)						2						—						—
Total foreign exchange contracts						$	16					$	—					$	—					$	16
Commodity contracts:
Derivative assets						$	11,976					$	(7,897)					$	(1,659)					$	2,420
Derivative liabilities						(8,439)						7,897						20						(522)
Total commodity contracts						$	3,537					$	—					$	(1,639)					$	1,898
Total derivative instruments						$	3,553					$	—					$	(1,639)					$	1,914

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, 2023
Foreign exchange contracts:
Derivative assets						$	8					$	(5)					$	—					$	3
Derivative liabilities						(6)						5						—						(1)
Total foreign exchange contracts						$	2					$	—					$	—					$	2
Commodity contracts:
Derivative assets						$	7,301					$	(5,344)					$	(340)					$	1,617
Derivative liabilities						(5,600)						5,344						5						(251)
Total commodity contracts						$	1,701					$	—					$	(335)					$	1,366
Consumer Financing Program:
Derivative liabilities						$	(115)					$	—					$	—					$	(115)
Interest rate contracts:
Derivative assets						$	24					$	—					$	—					$	24
Total derivative instruments						$	1,612					$	—					$	(335)					$	1,277

						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, 2022
Foreign exchange contracts:
Derivative assets						$	18					$	(2)					$	—					$	16
Derivative liabilities						(2)						2						—						—
Total foreign exchange contracts						$	16					$	—					$	—					$	16
Commodity contracts:
Derivative assets						$	11,976					$	(7,897)					$	(1,659)					$	2,420
Derivative liabilities						(8,439)						7,897						20						(522)
Total commodity contracts						$	3,537					$	—					$	(1,639)					$	1,898
Total derivative instruments						$	3,553					$	—					$	(1,639)					$	1,914

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. The effect of the interest rate contracts are included within interest expense. The effect of the Consumer Financing Program is included in other income, net.

(In millions)			Three months ended June 30,												Six months ended June 30,
Unrealized mark-to-market results			2023						2022						2023						2022
Reversal of previously recognized unrealized (gains) on settled positions related to economic hedges			$	(151)					$	(197)					$	(997)					$	(605)
Reversal of acquired loss/(gain) positions related to economic hedges			35						48						10						(12)
Net unrealized gains/(losses) on open positions related to economic hedges			180						868						(893)						3,613
Total unrealized mark-to-market gains/(losses) for economic hedging activities			64						719						(1,880)						2,996
Reversal of previously recognized unrealized losses on settled positions related to trading activity			10						8						11						9
Net unrealized gains/(losses) on open positions related to trading activity			3						(10)						14						(25)
Total unrealized mark-to-market gains/(losses) for trading activity			13						(2)						25						(16)
Total unrealized gains/(losses) - commodities and foreign exchange			$	77					$	717					$	(1,855)					$	2,980

			Three months ended June 30,												Six months ended June 30,
(In millions)			2023						2022						2023						2022
Unrealized gains/(losses) included in revenues - commodities			$	88					$	(150)					$	191					$	(297)
Unrealized gains/(losses) included in cost of operations - commodities			5						858						(2,032)						3,272
Unrealized (losses)/gains included in cost of operations - foreign exchange			(16)						9						(14)						5
Total impact to statement of operations - commodities and foreign exchange			$	77					$	717					$	(1,855)					$	2,980
Total impact to statement of operations - consumer financing program			$	(3)					$	—					$	(3)					$	—
Total impact to statement of operations - interest rate contracts			$	29					$	—					$	24					$	—

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