Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2012

Fair Value of Financial Instruments Disclosure [Abstract]

Estimated carrying values and fair values of NRG's recorded financial instruments

The estimated carrying values and fair values of NRG's recorded financial instruments not carried at fair market value are as follows:

	As of September 30, 2012				As of December 31, 2011
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
	(In millions)
Assets:
Notes receivable	$	84	$	84	$	156	$	161
Liabilities:
Long-term debt, including current portion	11,342		11,817		9,729		9,716

Assets and liabilities measured and recorded at fair value on the consolidated balance sheet on a recurring basis

The following tables present assets and liabilities measured and recorded at fair value on the Company's condensed consolidated balance sheet on a recurring basis and their level within the fair value hierarchy:

	As of September 30, 2012
	Fair Value
(In millions)	Level 1		Level 2		Level 3		Total
Investment in available-for-sale securities (classified within other     non-current assets):
Debt securities	$	—	$	—	$	11	$	11
Marketable equity securities	1		—		—		1
Trust fund investments:
Cash and cash equivalents	4		—		—		4
U.S. government and federal agency obligations	34		—		—		34
Federal agency mortgage-backed securities	—		63		—		63
Commercial mortgage-backed securities	—		6		—		6
Corporate debt securities	—		72		—		72
Equity securities	240		—		46		286
Foreign government fixed income securities	—		5		—		5
Derivative assets:
Commodity contracts	1,733		1,226		27		2,986
Total assets	$	2,012	$	1,372	$	84	$	3,468
Derivative liabilities:
Commodity contracts	$	1,601	$	1,263	$	25	$	2,889
Interest rate contracts	—		134		—		134
Total liabilities	$	1,601	$	1,397	$	25	$	3,023

	As of December 31, 2011
	Fair Value
(In millions)	Level 1		Level 2		Level 3		Total
Investment in available-for-sale securities (classified within other non-current assets):
Debt securities	$	—	$	—	$	7	$	7
Marketable equity securities	1		—		—		1
Trust fund investments:
Cash and cash equivalents	2		—		—		2
U.S. government and federal agency obligations	44		—		—		44
Federal agency mortgage-backed securities	—		63		—		63
Commercial mortgage-backed securities	—		7		—		7
Corporate debt securities	—		54		—		54
Equity securities	209		—		42		251
Foreign government fixed income securities	—		4		—		4
Derivative assets:
Commodity contracts	2,661		1,930		75		4,666
Total assets	$	2,917	$	2,058	$	124	$	5,099
Derivative liabilities:
Commodity contracts	$	2,757	$	1,283	$	67	$	4,107
Interest rate contracts	—		108		—		108
Total liabilities	$	2,757	$	1,391	$	67	$	4,215

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 tables reconcile, for the three and nine months ended September 30, 2012, and 2011, the 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:

	Fair Value Measurement Using Significant Unobservable Inputs (Level 3)
	Three months ended September 30, 2012										Nine months ended September 30, 2012
	Debt Securities		Trust Fund Investments								Debt Securities		Trust Fund Investments
(In millions)					Derivatives(a)			Total							Derivatives(a)			Total
Beginning balance	$	9	$	43	$	171		$	223		$	7	$	42	$	8		$	57
Total gains/(losses) - realized/unrealized:
Included in earnings	—		—		(9		)	(9		)	—		—		(3		)	(3		)
Included in OCI	2		—		—			2			4		—		—			4
Included in nuclear decommissioning obligations	—		3		—			3			—		3		—			3
Purchases	—		—		(109		)	(109		)	—		1		(1		)	—
Transfers into Level 3 (b)	—		—		(31		)	(31		)	—		—		4			4
Transfers out of Level 3 (b)	—		—		(20		)	(20		)	—		—		(6		)	(6		)
Ending balance as of September 30, 2012	$	11	$	46	$	2		$	59		$	11	$	46	$	2		$	59
The amount of the total (losses)/gains for the period included in earnings attributable to the change in unrealized gains relating to assets still held as of September 30, 2012	$	—	$	—	$	(5	)	$	(5	)	$	—	$	—	$	1		$	1

	Fair Value Measurement Using Significant Unobservable Inputs (Level 3)
	Three months ended September 30, 2011												Nine months ended September 30, 2011
	Debt Securities			Trust Fund Investments									Debt Securities		Trust Fund Investments
(In millions)							Derivatives(a)			Total								Derivatives(a)			Total
Beginning balance	$	9		$	41		$	(26	)	$	24		$	8	$	39		$	(27	)	$	20
Total gains/(losses) - realized/unrealized:
Included in earnings	—			—			—			—			—		—			19			19
Included in OCI	(1		)	—			—			(1		)	—		—			—			—
Included in nuclear decommissioning obligations	—			(8		)	—			(8		)	—		(7		)	—			(7		)
Purchases	—			—			(2		)	(2		)	—		1			6			7
Transfers into Level 3 (b)	—			—			13			13			—		—			(17		)	(17		)
Transfers out of Level 3 (b)	—			—			8			8			—		—			12			12
Ending balance as of September 30, 2011	$	8		$	33		$	(7	)	$	34		$	8	$	33		$	(7	)	$	34
The amount of the total gains for the period included in earnings attributable to the change in unrealized gains relating to assets still held as of September 30, 2011	$	—		$	—		$	(1	)	$	(1	)	$	—	$	—		$	6		$	6

(a) Consists of derivatives assets and liabilities, net.

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

Schedule of credit risk

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 Normal Purchase Normal Sale, or NPNS, and non-derivative transactions. The exposure is shown net of collateral held, and includes amounts net of receivables or payables.

	Net Exposure (a)
Category	(% of Total)
Financial institutions	46	%
Utilities, energy merchants, marketers and other	51
Coal and emissions	1
Independent System Operators, or ISOs	2
Total as of September 30, 2012	100	%

	Net Exposure (a)
Category	(% of Total)
Investment grade	63	%
Non-Investment grade	2
Non-rated (b)	35
Total as of September 30, 2012	100	%

(a) Counterparty credit exposure excludes uranium and coal transportation contracts because of the unavailability of market prices.

(b) For non-rated counterparties, the majority are related to ISO and municipal public power entities, which are considered investment grade equivalent ratings based on NRG's internal credit ratings.