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Accounting for Derivative Instruments and Hedging Activities (Tables)

9 Months Ended

Sep. 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 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 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, 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

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, 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

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, 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

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 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					$	—

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