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Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2024

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 long-term debt, including current portion, is as follows:

			March 31, 2024												December 31, 2023
(In millions)			Carrying Amount						Fair Value						Carrying Amount						Fair Value
Convertible Senior Notes			$	483					$	798					$	575					$	739
Other long-term debt, including current portion			10,222						9,894						10,219						9,835
Total long-term debt, including current portion(a)			$	10,705					$	10,692					$	10,794					$	10,574

(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:

			March 31, 2024
			Fair Value
(In millions)			Total						Level 1						Level 2						Level 3
Investments in securities (classified within other current and non-current assets)			$	22					$	—					$	22					$	—
Derivative assets:
Interest rate contracts			25						—						25						—
Foreign exchange contracts			8						—						8						—
Commodity contracts			6,173						1,186						4,708						279
Equity securities measured using net asset value practical expedient (classified within other non-current assets)			6
Total assets			$	6,234					$	1,186					$	4,763					$	279
Derivative liabilities:
Interest rate contracts			$	10					$	—					$	10					$	—
Foreign exchange contracts			2						—						2						—
Commodity contracts			4,894						1,237						3,469						188
Consumer Financing Program			124						—						—						124
Total liabilities			$	5,030					$	1,237					$	3,481					$	312

			December 31, 2023
			Fair Value
(In millions)			Total						Level 1						Level 2						Level 3
Investments in securities (classified within other current and non-current assets)			$	21					$	—					$	21					$	—
Derivative assets:
Interest rate contracts			12						—						12						—
Foreign exchange contracts			5						—						5						—
Commodity contracts			6,138						1,334						4,470						334
Equity securities measured using net asset value practical expedient (classified within other non-current assets)			6
Total assets			$	6,182					$	1,334					$	4,508					$	334
Derivative liabilities:
Interest rate contracts			$	8					$	—					$	8					$	—
Foreign exchange contracts			9						—						9						—
Commodity contracts			5,356						1,413						3,728						215
Consumer Financing Program			134						—						—						134
Total liabilities			$	5,507					$	1,413					$	3,745					$	349

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 months ended March 31, 2024 and 2023, the beginning and ending balances for financial instruments that are recognized at fair value in the condensed consolidated financial statements, using significant unobservable inputs, for commodity derivatives:

			Fair Value Measurement Using Significant Unobservable Inputs (Level 3)
			Commodity Derivatives(a)
(In millions)			Three months ended March 31, 2024						Three months ended March 31, 2023
Beginning balance			$	119					$	505
Total (losses) realized/unrealized included in earnings			(41)						(91)
Purchases			—						41
Transfers into Level 3(b)			15						24
Transfers out of Level 3(b)			(2)						(8)
Ending balance			$	91					$	471
(Losses) 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			$	(37)					$	(55)

(a)Consists of derivative assets and liabilities, net, excluding derivatives liabilities from Consumer Financing Program, which are presented in a separate table below

(b)Transfers into/out of Level 3 are related to the availability of consensus pricing and external broker quotes and are valued as of the end of the reporting period. All transfers in/out of Level 3 are from/to Level 2

Reconciliation of contractual obligations of Consumer Financing Program recognized at fair value

The following table reconciles, for the three months ended March 31, 2024 and 2023, the beginning and ending balances of the contractual obligations from the Consumer Financing Program 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)
			Consumer Financing Program
(In millions)			Three months ended March 31, 2024						Three months ended March 31, 2023
Beginning balance			$	(134)					$	—
Contractual obligations added from the acquisition of Vivint Smart Home			—						(112)
New contractual obligations			(15)						(2)
Settlements			21						3
Total gains included in earnings			4						—
Ending balance			$	(124)					$	(111)

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 March 31, 2024 and December 31, 2023:

			March 31, 2024
			Fair Value																								Input/Range
(In millions, except as noted)			Assets						Liabilities						Valuation Technique						Significant Unobservable Input						Low						High						Weighted Average
Natural Gas Contracts			$	36					$	20					Discounted Cash Flow						Forward Market Price ($ per MMBtu)						$	0					$	11					$	3
Power Contracts			157						91						Discounted Cash Flow						Forward Market Price ($ per MWh)						1						189						41
Capacity Contracts			14						28						Discounted Cash Flow						Forward Market Price ($ per MW/Day)						18						641						284
RECs			58						14						Discounted Cash Flow						Forward Market Price ($ per Certificate)						2						320						16
FTRs			14						35						Discounted Cash Flow						Auction Prices ($ per MWh)						(58)						252						0
Consumer Financing Program			—						124						Discounted Cash Flow						Collateral Default Rates						1.15		%				95.35		%				8.99		%
															Discounted Cash Flow						Collateral Prepayment Rates						2.00		%				3.00		%				2.95		%
															Discounted Cash Flow						Credit Loss Rates						5.50		%				60.00		%				12.84		%
			$	279					$	312

			December 31, 2023
			Fair Value																								Input/Range
(In millions, except as noted)			Assets						Liabilities						Valuation Technique						Significant Unobservable Input						Low						High						Weighted Average
Natural Gas Contracts			$	39					$	65					Discounted Cash Flow						Forward Market Price ($ per MMBtu)						$	1					$	15					$	3
Power Contracts			197						66						Discounted Cash Flow						Forward Market Price ($ per MWh)						1						210						47
Capacity Contracts			21						33						Discounted Cash Flow						Forward Market Price ($ per MW/Day)						49						658						285
RECs			58						14						Discounted Cash Flow						Forward Market Price ($ per Certificate)						2						320						15
FTRs			19						37						Discounted Cash Flow						Auction Prices ($ per MWh)						(58)						252						0
Consumer Financing Program			—						134						Discounted Cash Flow						Collateral Default Rates						0.43		%				93.30		%				8.12		%
															Discounted Cash Flow						Collateral Prepayment Rates						2.00		%				3.00		%				2.95		%
															Discounted Cash Flow						Credit Loss Rates						6.00		%				60.00		%				12.57		%
			$	334					$	349

Fair value inputs, sensitivity analysis

The following table provides sensitivity of fair value measurements to increases/(decreases) in significant, unobservable inputs as of March 31, 2024 and December 31, 2023:

Significant Unobservable Input

Position

Change In Input

Impact on Fair Value Measurement

Forward Market Price Natural Gas/Power/Capacity/RECs

Buy

Increase/(Decrease)

Higher/(Lower)

Forward Market Price Natural Gas/Power/Capacity/RECs

Sell

Increase/(Decrease)

Lower/(Higher)

FTR Prices

Buy

Increase/(Decrease)

Higher/(Lower)

FTR Prices

Sell

Increase/(Decrease)

Lower/(Higher)

Collateral Default Rates

n/a

Increase/(Decrease)

Higher/(Lower)

Collateral Prepayment Rates

n/a

Increase/(Decrease)

Lower/(Higher)

Credit Loss Rates

n/a

Increase/(Decrease)

Higher/(Lower)

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			78		%
Financial institutions			22
Total as of March 31, 2024			100		%

			Net Exposure (a)(b)
Category by Counterparty Credit Quality			(% of Total)
Investment grade			51		%
Non-investment grade/Non-Rated			49
Total as of March 31, 2024			100		%

(a)Counterparty credit exposure excludes 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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