As of September 30, 2023, NRG had energy-related derivative instruments extending through 2036. The Company marks these derivatives to market through the consolidated statement of operations. NRG has executed energy-related contracts extending through 2036 that qualified for the NPNS exception and were therefore exempt from fair value accounting treatment.

NRG is exposed to changes in interest rate through the Company's issuance of variable rate debt. To manage the Company's interest rate risk, NRG enters into interest rate swap agreements. In the first quarter of 2023, the Company entered into $1.0 billion of interest rate swaps through 2027 to hedge the floating rate on the Term Loan acquired with the Vivint Smart Home acquisition. Additionally, the Company entered into interest rate swaps to hedge the floating rate on the Revolving Credit Facility extending through 2024, with $300 million outstanding as of September 30, 2023.

NRG is exposed to changes in foreign currency primarily associated with the purchase of U.S. dollar denominated natural gas for its Canadian business. To manage the Company's foreign exchange risk, NRG entered into foreign exchange contracts. As of September 30, 2023, NRG had foreign exchange contracts extending through 2027. The Company marks these derivatives to market through the consolidated statement of operations.

Under the Consumer Financing Program, Vivint Smart Home pays a monthly fee to Financing Providers based on either the average daily outstanding balance of the loans or the number of outstanding loans. For certain loans, Vivint Smart Home incurs fees at the time of the loan origination and receives proceeds that are net of these fees. Vivint Smart Home also shares the liability for credit losses, depending on the credit quality of the subscriber. Due to the nature of certain provisions under the Consumer Financing Program, the Company records a derivative liability that is not designated as a hedging instrument and is adjusted to fair value, measured using the present value of the estimated future payments. Changes to the fair value are recorded through other income, net in the consolidated statement of operations. The following represent the contractual future payment obligations with the Financing Providers under the Consumer Financing Program that are components of the derivative:

The derivative is classified as a Level 3 instrument. The derivative positions are valued using a discounted cash flow model, with inputs consisting of available market data, such as market yield discount rates, as well as unobservable internally derived assumptions, such as collateral prepayment rates, collateral default rates and credit loss rates. These derivatives are priced quarterly using a credit valuation adjustment methodology. In summary, the fair value represents an estimate of the present value of the cash flows Vivint Smart Home will be obligated to pay to the Financing Provider for each component of the derivative.

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, 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	September 30, 2023	December 31, 2022
Emissions	Short Ton	—	1
Renewable Energy Certificates	Certificates	12	15
Coal	Short Ton	10	11
Natural Gas	MMBtu	841	422
Oil	Barrels	—	1
Power	MWh	201	192
Consumer Financing Program	Dollars	1,142	—
Foreign Exchange	Dollars	566	569
Interest	Dollars	1,300	—


	Fair Value
	Derivative Assets				Derivative Liabilities
(In millions)	September 30, 2023		December 31, 2022		September 30, 2023		December 31, 2022




Derivatives Not Designated as Cash Flow or Fair Value Hedges:
Interest rate contracts - current	$	21	$	—	$	—	$	—
Interest rate contracts - long-term	11		—		—		—
Foreign exchange contracts - current	7		11		—		1
Foreign exchange contracts - long-term	5		7		1		1
Consumer Financing Program - short-term	—		—		83		—
Consumer Financing Program - long-term	—		—		45		—
Commodity contracts - current	3,682		7,875		3,045		6,194
Commodity contracts - long-term	2,514		4,101		1,506		2,245
Total Derivatives Not Designated as Cash Flow or Fair Value Hedges	$	6,240	$	11,994	$	4,680	$	8,441

The Company has elected to present derivative assets and liabilities on the consolidated 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 consolidated 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 / Liabilities		Derivative Instruments		Cash Collateral (Held) /Posted		Net Amount
As of September 30, 2023
Foreign exchange contracts:
Derivative assets	$	12	$	(1)	$	—	$	11
Derivative liabilities	(1)		1		—		—
Total foreign exchange contracts	$	11	$	—	$	—	$	11
Commodity contracts:
Derivative assets	$	6,196	$	(4,331)	$	(269)	$	1,596
Derivative liabilities	(4,551)		4,331		11		(209)
Total commodity contracts	$	1,645	$	—	$	(258)	$	1,387
Consumer Financing Program:
Derivative liabilities	$	(128)	$	—	$	—	$	(128)
Interest rate contracts:
Derivative assets	$	32	$	—	$	—	$	32


Total derivative instruments	$	1,560	$	—	$	(258)	$	1,302


	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

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 consolidated 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 September 30,				Nine months ended September 30,
Unrealized mark-to-market results	2023		2022		2023		2022
Reversal of previously recognized unrealized (gains) on settled positions related to economic hedges	$	(522)	$	(387)	$	(1,519)	$	(992)
Reversal of acquired (gain)/loss positions related to economic hedges	(6)		(15)		4		(27)
Net unrealized gains/(losses) on open positions related to economic hedges	475		313		(418)		3,926
Total unrealized mark-to-market (losses)/gains for economic hedging activities	(53)		(89)		(1,933)		2,907
Reversal of previously recognized unrealized losses on settled positions related to trading activity	—		2		11		11

Net unrealized (losses)/gains on open positions related to trading activity	(1)		7		13		(18)
Total unrealized mark-to-market (losses)/gains for trading activity	(1)		9		24		(7)
Total unrealized (losses)/gains - commodities and foreign exchange	$	(54)	$	(80)	$	(1,909)	$	2,900


	Three months ended September 30,				Nine months ended September 30,
(In millions)	2023		2022		2023		2022
Unrealized (losses)/gains included in revenues - commodities	$	(71)	$	42	$	120	$	(255)
Unrealized gains/(losses) included in cost of operations - commodities	8		(148)		(2,024)		3,124
Unrealized gains/(losses) included in cost of operations - foreign exchange	9		26		(5)		31
Total impact to statement of operations - commodities and foreign exchange	$	(54)	$	(80)	$	(1,909)	$	2,900
Total impact to statement of operations - consumer financing program	$	(1)	$	—	$	(4)	$	—
Total impact to statement of operations - interest rate contracts	$	8	$	—	$	32	$	—

The reversals of acquired (gain)/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, 2023, the $418 million unrealized loss from open economic hedge positions was primarily the result of a decrease in the value of forward positions as a result of decreases in natural gas and power prices in the East and West.

For the nine months ended September 30, 2022, the $3.9 billion unrealized gain from open economic hedge positions was primarily due to increases in the value of forward positions as a result of increases in natural gas and power prices.

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, 2023 was $647 million. 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 $70 million as of September 30, 2023. In the event of a downgrade in the Company's credit rating and if called for by the counterparty, $3 million of additional collateral would be required for all contracts with credit rating contingent features as of September 30, 2023.