Fair Value of Financial Instruments (Tables)
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3 Months Ended |
Mar. 31, 2024 |
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| Fair Value Disclosures [Abstract] |
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| 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
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| 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 | |
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| 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
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| 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) | | | | | |
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| 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 | | | | | | | | | | | | | | | | | | | | | | | | | |
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| 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) |
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| 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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