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Fair Value of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2019
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 amounts and fair values of NRG's recorded financial instruments not carried at fair market value are as follows:
 
As of June 30, 2019
 
As of December 31, 2018
 
Carrying Amount
 
Fair Value
 
Carrying Amount
 
Fair Value
 
(In millions)
Assets:
 
 
 
 
 
 
 
Notes receivable 
$
12

 
$
8

 
$
17

 
$
14

Liabilities:
 
 
 
 
 
 
 
Long-term debt, including current portion (a)
5,951

 
6,422

 
6,591

 
6,697


(a) Excludes deferred financing costs, which are recorded as a reduction to long-term debt on the Company's consolidated balance sheets
The following table presents the level within the fair value hierarchy for long-term debt, including current portion, as of June 30, 2019 and December 31, 2018:
 
As of June 30, 2019
 
As of December 31, 2018
 
Level 2
 
Level 3
 
Level 2
 
Level 3
 
(In millions)
Long-term debt, including current portion
$
6,305

 
$
117

 
$
6,528

 
$
169
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:
 
As of June 30, 2019
(In millions)
Total
 
Level 1
 
Level 2
 
Level 3
Investments in securities (classified within other current and non-current assets)
$
38

 
$
—

 
$
19

 
$
19

Nuclear trust fund investments:
 
 
 
 
 
 
 
Cash and cash equivalents
25

 
25

 
—

 
—

U.S. government and federal agency obligations
57

 
57

 
—

 
—

Federal agency mortgage-backed securities
92

 
—

 
92

 
—

Commercial mortgage-backed securities
29

 
—

 
29

 
—

Corporate debt securities
102

 
—

 
102

 
—

Equity securities
366

 
366

 
—

 
—

Foreign government fixed income securities
4

 
—

 
4

 
—

Other trust fund investments:
 
 
 
 
 
 
 
U.S. government and federal agency obligations
1

 
1

 
—

 
—

Derivative assets:
 
 
 
 
 
 
 
Commodity contracts
1,276

 
131

 
770

 
375

Measured using net asset value practical expedient:
 
 
 
 
 
 
 
Equity securities — nuclear trust fund investments
73

 


 


 


       Equity securities
9

 
 
 
 
 
 
Total assets
$
2,072

 
$
580

 
$
1,016

 
$
394

Derivative liabilities:
 
 
 
 
 
 
 
Commodity contracts
$
1,152

 
$
245

 
$
629

 
$
278

Total liabilities
$
1,152

 
$
245

 
$
629

 
$
278



 
As of December 31, 2018
(In millions)
Total
 
Level 1
 
Level 2
 
Level 3
Investments in securities (classified within other current and non-current assets)
$
39

 
$
2

 
$
18

 
$
19

Nuclear trust fund investments:
 
 
 
 
 
 
 
Cash and cash equivalents
19

 
19

 
—

 
—

U.S. government and federal agency obligations
46

 
46

 
—

 
—

Federal agency mortgage-backed securities
100

 
—

 
100

 
—

Commercial mortgage-backed securities
22

 
—

 
22

 
—

Corporate debt securities
96

 
—

 
96

 
—

Equity securities
312

 
312

 
—

 
—

Foreign government fixed income securities
4

 
—

 
4

 
—

Other trust fund investments:
 
 
 
 
 
 
 
U.S. government and federal agency obligations
1

 
1

 
—

 
—

Derivative assets:
 
 
 
 
 
 
 
Commodity contracts
1,042

 
137

 
796

 
109

Interest rate contracts
39

 
—

 
39

 
—

Measured using net asset value practical expedient:
 
 
 
 
 
 
 
Equity securities — nuclear trust fund investments
64

 
 
 
 
 
 
       Equity securities
8

 
 
 
 
 
 
Total assets
$
1,792

 
$
517

 
$
1,075

 
$
128

Derivative liabilities:
 
 
 
 
 
 
 
Commodity contracts
$
977

 
$
224

 
$
664

 
$
89

Total liabilities
$
977

 
$
224

 
$
664

 
$
89
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 There were no transfers during the three and six months ended June 30, 2019 and 2018 between Levels 1 and 2. The following tables reconcile, for the three and six months ended June 30, 2019 and 2018, the beginning and ending balances for financial instruments that are recognized at fair value in the condensed consolidated financial statements, at least annually, using significant unobservable inputs:
 
Fair Value Measurement Using Significant Unobservable Inputs (Level 3)
 
Three months ended June 30, 2019
 
Six months ended June 30, 2019
(In millions)
Debt Securities
 
Derivatives(a)
 
Total
 
Debt Securities
 
Derivatives(a)
 
Total
Beginning balance
$
18

 
$
(2
)
 
$
16

 
$
19

 
$
20

 
$
39

Contracts added from acquisitions
—

 
(1
)
 
(1
)
 
—

 
(1
)
 
(1
)
Total gains/(losses) — realized/unrealized included in earnings
1

 
(17
)
 
(16
)
 
1

 
(27
)
 
(26
)
Cash received
—

 
—

 
—

 
(1
)
 
—

 
(1
)
Purchases
—

 
(10
)
 
(10
)
 
—

 
(12
)
 
(12
)
Transfers into Level 3(b)
—

 
113

 
113

 
—

 
130

 
130

Transfers out of Level 3(b)
—

 
14

 
14

 
—

 
(13
)
 
(13
)
Ending balance as of June 30, 2019
$
19

 
$
97

 
$
116

 
$
19

 
$
97

 
$
116

Gains/(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 June 30, 2019
$
1

 
$
(19
)
 
$
(18
)
 
$
1

 
$
(31
)
 
$
(30
)
(a)
Consists of derivative assets and liabilities, net
(b)
Transfers into/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
 
Fair Value Measurement Using Significant Unobservable Inputs (Level 3)
 
Three months ended June 30, 2018
 
Six months ended June 30, 2018
(In millions)
Debt Securities
 
Derivatives(a)
 
Total
 
Debt Securities
 
Derivatives(a)
 
Total
Beginning balance
$
19

 
$
5

 
$
24

 
$
19

 
$
(15
)
 
$
4

Contracts added in XOOM acquisition
—

 
12

 
12

 
—

 
12

 
12

Total (losses) — realized/unrealized
included in earnings
—

 
(27
)
 
(27
)
 
—

 
(16
)
 
(16
)
Purchases
—

 
(4
)
 
(4
)
 
—

 
(3
)
 
(3
)
Transfers into Level 3(b)
—

 
193

 
193

 
—

 
197

 
197

Transfers out of Level 3(b)
—

 
(5
)
 
(5
)
 
—

 
(1
)
 
(1
)
Ending balance as of June 30, 2018
$
19

 
$
174

 
$
193

 
$
19

 
$
174

 
$
193

(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 June 30, 2018
$
—

 
$
(27
)
 
$
(27
)
 
$
—

 
$
(15
)
 
$
(15
)

(a)
Consists of derivative assets and liabilities, net
(b)
Transfers into/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
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 June 30, 2019 and December 31, 2018:
 
June 30, 2019
 
Fair Value
 
 
 
Input/Range
 
Assets
 
Liabilities
 
Valuation Technique
 
Significant Unobservable Input
 
Low
 
High
 
Weighted Average
 
(In millions)
 
 
 
 
 
 
 
 
 
 
Power Contracts
$
347

 
$
261

 
Discounted Cash Flow
 
Forward Market Price (per MWh)
 
$
4

 
$
142

 
$
25

FTRs
28

 
17

 
Discounted Cash Flow
 
Auction Prices (per MWh)
 
(134
)
 
52

 
0
 
$
375

 
$
278

 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
Fair Value
 
 
 
Input/Range
 
Assets
 
Liabilities
 
Valuation Technique
 
Significant Unobservable Input
 
Low
 
High
 
Weighted Average
 
(In millions)
 
 
 
 
 
 
 
 
 
 
Power Contracts
$
89

 
$
75

 
Discounted Cash Flow
 
Forward Market Price (per MWh)
 
$
1

 
$
214

 
$
31

FTRs
20

 
14

 
Discounted Cash Flow
 
Auction Prices (per MWh)
 
(90
)
 
34

 
0
 
$
109

 
$
89

 
 
 
 
 
 
 
 
 
 
Fair value inputs, sensitivity analysis The following table provides sensitivity of fair value measurements to increases/(decreases) in significant unobservable inputs as of June 30, 2019 and December 31, 2018:
Significant Unobservable Input
 
Position
 
Change In Input
 
Impact on Fair Value Measurement
Forward Market Price Power
 
Buy
 
Increase/(Decrease)
 
Higher/(Lower)
Forward Market Price Power
 
Sell
 
Increase/(Decrease)
 
Lower/(Higher)
FTR Prices
 
Buy
 
Increase/(Decrease)
 
Higher/(Lower)
FTR Prices
 
Sell
 
Increase/(Decrease)
 
Lower/(Higher)
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
84
%
Financial institutions
16

Total as of June 30, 2019
100
%
 
Net Exposure (a) (b)
Category by Counterparty Credit Quality
(% of Total)
Investment grade
53
%
Non-investment grade/non-rated
47

Total as of June 30, 2019
100
%
(a)
Counterparty credit exposure excludes uranium and 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